Persistence in Equity Fund Performance in Brazil

We examine performance persistence in the large and growing Brazilian equity fund market from 2000 to 2012. We find a significant risk-adjusted spread between a portfolio of top- and bottom-performing funds, which supports the idea that performance persists. This spread remains after controlling for...

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Autores:
Berggrun Preciado, Luis
Tipo de recurso:
Article of investigation
Fecha de publicación:
2014
Institución:
Universidad ICESI
Repositorio:
Repositorio ICESI
Idioma:
eng
OAI Identifier:
oai:repository.icesi.edu.co:10906/79790
Acceso en línea:
http://www.tandfonline.com/doi/abs/10.2753/REE1540-496X500202
http://www.scopus.com/inward/record.url?eid=2-s2.0-84904957789&partnerID=tZOtx3y1
http://hdl.handle.net/10906/79790
https://doi.org/10.2753/REE1540-496X500202
Palabra clave:
Economía
Negocios y management
Economics
Business
Capital - Brasil
Mercado
Fondos
Rights
openAccess
License
https://creativecommons.org/licenses/by-nc-nd/4.0/
Description
Summary:We examine performance persistence in the large and growing Brazilian equity fund market from 2000 to 2012. We find a significant risk-adjusted spread between a portfolio of top- and bottom-performing funds, which supports the idea that performance persists. This spread remains after controlling for market, size, distress, and momentum risk factors and tends to be larger and more significant for a set of small and retail funds. The spread is mostly driven by the underperformance of the bottom decile of funds, which is consistent with the existence of some fund managers with insufficient skills to recover investment costs. © 2014 M.E. Sharpe, Inc. All rights reserved.