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Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis

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  • Marcelo Moura
  • Gustavo P. Joaquim

Abstract

This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from October 2007 to February 2011. A period containing what was characterized by many as the worst world financial crisis since the great depression of the 1930’s. Despite the financial turmoil, results indicate the existence of a representative group of funds with abnormal returns as well as evidence of a joint persistence of funds with time frames of 1 to 3 months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.

Suggested Citation

  • Marcelo Moura & Gustavo P. Joaquim, 2011. "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Business and Economics Working Papers 138, Unidade de Negocios e Economia, Insper.
    • Handle: RePEc:aap:wpaper:138
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