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Persistence in Mutual Fund Performance in Brazil

Author

Listed:
  • João Nascimento Nerasti

    (Universidade de São Paulo)

  • Claudio Ribeiro Lucinda

Abstract

This paper aims to investigate the existence of persistence in superior performance in Brazilian stock market funds from 2001 to 2014. In order to do so, we used a sample free of survivorship bias and four different market models to characterize the expected return and risk relationship. In all models we were not able to find evidence consistent with superior performance, indicating performance differences could be more attributed to different exposures to risk factors than superior skill. Some additional evidence was found the momentum factor seems to explain a large part of the funds’ excess returns in both top and bottom deciles.

Suggested Citation

  • João Nascimento Nerasti & Claudio Ribeiro Lucinda, 2016. "Persistence in Mutual Fund Performance in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(2), pages 269-297.
    • Handle: RePEc:brf:journl:v:14:y:2016:i:2:p:269-297
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    More about this item

    Keywords

    Performance Persistence; Portfolio Management; Performance Evaluation.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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