Análise do Desempenho Recente de Fundos de Investimento no Brasil
[Recent Performance Analysis of Mutual Funds in Brazil]
AbstractThis study analyzes the performance of Brazilian Investment Funds between May 2001 and May 2006, using as a guideline the division in fixed-income funds and equity funds. The performance is evaluated in terms of risk and return, using Sharpe and Sortino indexes, with the returns and volatilities being also analyzed through t and F tests. The results indicate that the two categories did not present any significant statistical difference in terms of the mean return in the period. However, differences in the variance along the period generated a better risk x return relation for the fixed income funds, a result that is associated with the high interest rates that were experienced during that period.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 2994.
Date of creation: Apr 2007
Date of revision:
Publication status: Published in Contabilidade Vista & Revista 18.1(2007): pp. 95-116
Investment funds; Sharpe index; Sortino index;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-12 (All new papers)
- NEP-CFN-2007-05-12 (Corporate Finance)
- NEP-RMG-2007-05-12 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Jordão, Gustavo A. & Moura, Marcelo L., 2011.
"Performance Analysis of Brazilian Hedge Funds,"
Insper Working Papers
wpe_236, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Knebel Baggio, Daniel & Kelm, Martinho Luis & Ferruz Agudo, Luis & Marco Sanjuán, Isabel, 2009. "Análise da formação de carteiras de investimentos: uma aplicação no mercado acionário brasileiro," Gestión Joven "Revista de la Agrupación Joven Iberoamericana de Contabilidad y Administración de Empresas". Young Management "Journal of the Young Iberomerican Group of Accounting and Business Admi, Asociación Española de Contabilidad y Administración de Empresas (AECA). Spanish Accounting and Business Administration Association., issue 3, June.
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