Performance of mutual equity funds in Brazil – A bootstrap analysis

Marco Antonio Laes and Marcos Eugênio da Silva
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Marco Antonio Laes: University of São Paulo, Brazil
Marcos Eugênio da Silva: University of São Paulo, Brazil

Economia, 2014, vol. 15, issue 3, 294_306

Abstract: This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that returns of the best performers are more due to luck than skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is caused mainly by bad management, rather than by bad luck. It is also showed that the largest funds perform better than the small or middle-sized funds.

Keywords: Equity funds; Performance analysis; Bootstrap (search for similar items in EconPapers)
JEL-codes: C15 G11 G15 G23 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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