Persistence in Mutual Fund Performance in Brazil

João Nascimento Nerasti () and Claudio Lucinda
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João Nascimento Nerasti: Universidade de São Paulo

Brazilian Review of Finance, 2016, vol. 14, issue 2, 269-297

Abstract: This paper aims to investigate the existence of persistence in superior performance in Brazilian stock market funds from 2001 to 2014. In order to do so, we used a sample free of survivorship bias and four different market models to characterize the expected return and risk relationship. In all models we were not able to find evidence consistent with superior performance, indicating performance differences could be more attributed to different exposures to risk factors than superior skill. Some additional evidence was found the momentum factor seems to explain a large part of the funds’ excess returns in both top and bottom deciles.

Keywords: Performance Persistence; Portfolio Management; Performance Evaluation. (search for similar items in EconPapers)
JEL-codes: G11 G14 G24 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:14:y:2016:i:2:p:269-297

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