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Evaluating Brazilian mutual funds with stochastic frontiers

Author

Listed:
  • Sergio Da Silva

    (Department of Economics, Federal University of Santa Catarina)

  • Newton Da Costa, Jr

    (Department of Economics, Federal University of Santa Catarina)

  • Joao Tusi

    (Department of Economics, Federal University of Santa Catarina)

  • Andre Santos

    (Department of Economics, Federal University of Santa Catarina)

Abstract

We evaluate the performance of 307 Brazilian stock mutual funds employing stochastic frontiers. We list the top ten actively managed funds and the bottom ten for the period April 2001-July 2003, and show that a fund's efficiency increases with management skill to beat the market. We also find that portfolios with low volatility tend to be more efficient. Yet we find no relationship between fund size and performance, though this might be blurred by a survivorship bias.

Suggested Citation

  • Sergio Da Silva & Newton Da Costa, Jr & Joao Tusi & Andre Santos, 2005. "Evaluating Brazilian mutual funds with stochastic frontiers," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-6.
    • Handle: RePEc:ebl:ecbull:eb-05m20002
    as

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    File URL: http://www.accessecon.com/pubs/EB/2005/Volume13/EB-05M20002A.pdf
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    References listed on IDEAS

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    3. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
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    5. Battese, George E. & Corra, Greg S., 1977. "Estimation Of A Production Frontier Model: With Application To The Pastoral Zone Of Eastern Australia," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 21(3), pages 1-11, December.
    6. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
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    8. Annaert, Jan & van den Broeck, Julien & Vander Vennet, Rudi, 2003. "Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach," European Journal of Operational Research, Elsevier, vol. 151(3), pages 617-632, December.
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    Cited by:

    1. John D. Lamb & Kai-Hong Tee, 2024. "Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance," Annals of Operations Research, Springer, vol. 332(1), pages 891-907, January.
    2. Hung, Pi-Hsia & Lien, Donald & Kuo, Ming-Sin, 2020. "Window dressing in equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 338-354.
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    5. Pi‐Hsia Hung & Donald Lien & Yun‐Ju Chien, 2020. "Portfolio concentration and fund manager performance," Review of Financial Economics, John Wiley & Sons, vol. 38(3), pages 423-451, July.

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    More about this item

    JEL classification:

    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
    • G1 - Financial Economics - - General Financial Markets

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