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Análise do Desempenho Recente de Fundos de Investimento no Brasil
[Recent Performance Analysis of Mutual Funds in Brazil]

  • Fonseca, Nelson
  • Bressan, Aureliano
  • Iquiapaza, Robert
  • Guerra, João

This study analyzes the performance of Brazilian Investment Funds between May 2001 and May 2006, using as a guideline the division in fixed-income funds and equity funds. The performance is evaluated in terms of risk and return, using Sharpe and Sortino indexes, with the returns and volatilities being also analyzed through t and F tests. The results indicate that the two categories did not present any significant statistical difference in terms of the mean return in the period. However, differences in the variance along the period generated a better risk x return relation for the fixed income funds, a result that is associated with the high interest rates that were experienced during that period.

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File URL: http://mpra.ub.uni-muenchen.de/2994/1/MPRA_paper_2994.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2994.

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Date of creation: Apr 2007
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Publication status: Published in Contabilidade Vista & Revista 18.1(2007): pp. 95-116
Handle: RePEc:pra:mprapa:2994
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Web page: http://mpra.ub.uni-muenchen.de

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  1. Varga, G., 1999. "Índice de Sharpe e outros Indicadores de Performance Aplicados a Fundos de Ações Brasileiros," Finance Lab Working Papers flwp_12, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  2. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
  3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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