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Performance Analysis of Brazilian Hedge Funds

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  • Jordão, Gustavo A.
  • Moura, Marcelo L.

Abstract

We investigate Brazilian hedge funds, a fast-growing market with US$160 billion of assets under management as of September 2009. This study tests the claim that hedge funds can produce abnormal returns (generate alpha), gain market momentum (present market timing) and maintain a low correlation with market risk (zero beta). We find empirical evidence of the existence of high performance funds, although they are rare. Using a robust set of models, we find that, on average, only 5% of funds had positive and significant alphas and just 4% of the fund managers had market timing ability. However, a mitigation of market risk was observed among the hedge funds; approximately 35% of funds showed no correlation with the market. We also investigate the hedge funds' performance during the financial crisis of 2008 (June 2008 to November 2008) and during the subsequent period of rapid recovery (December 2008 to August 2009).
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Suggested Citation

  • 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.
    • Handle: RePEc:ibm:ibmecp:wpe_236
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    References listed on IDEAS

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    Cited by:

    1. Alkis Theonas Pitelis & Christos Pitelis, 2016. "New Roles that Key Developing Countries Will Have in the Provision of Finance for Europe," Working papers wpaper138, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    2. repec:eee:riibaf:v:42:y:2017:i:c:p:1196-1207 is not listed on IDEAS
    3. Stoforos, Chrysostomos E. & Degiannakis, Stavros & Palaskas, Theodosios B., 2017. "Hedge fund returns under crisis scenarios: A holistic approach," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1196-1207.

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