Performance of Belgian mutual funds : do size and momentum matter ?

In light of the well-known empirical failures of the one-factor CAPM, mutual-fund performance evaluation should venture beyond the one-factor type of performance analysis. In this paper we introduce momentum and size factors into the picture, and evaluate the performance of a large set of equity funds managed in Belgium. There is a fairly strong exposure to the small-firm effect, but the evidence of momentum chasing is less clear-cut and, if anything, seems to be negative. As in other studies, the average fund underperforms. Nor do we find any instances of excess performance when grouping funds by management company.status: publishe