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Long-Short Fund Performance Evaluation in Brazil

Author

Listed:
  • Fábio Augusto Reis Gomes

    (Insper Instituto de Ensino e Pesquisa)

  • Vicente Cresto

    (Insper Instituto de Ensino e Pesquisa)

Abstract

Long-Short Funds should be able to provide positive returns, above the opportunity cost and independent of market conditions, once they can have both long and short positions. For this reason, this study aims to evaluate the Long-Short funds in Brazil, assessing whether customers of these products are buying just market returns (Beta), or if there is excess return (alpha) independent of the stock market. Analyzing a sample of 76 funds from January 2, 2001 to March 31, 2008, using daily and monthly data, we found evidence that a small number of funds are able to generate excess return. Besides, this excess does not exhibit persistence. Finally, there is little or no evidence for market timing.

Suggested Citation

  • Fábio Augusto Reis Gomes & Vicente Cresto, 2010. "Long-Short Fund Performance Evaluation in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(4), pages 505-529.
    • Handle: RePEc:brf:journl:v:8:y:2010:i:4:p:505-529
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    More about this item

    Keywords

    Mutual Funds; Hedge Funds; Long-Short; Performance Evaluation;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G2 - Financial Economics - - Financial Institutions and Services

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