Long-Short Fund Performance Evaluation in Brazil

Fábio Gomes and Vicente Cresto ()
Additional contact information
Vicente Cresto: Insper Instituto de Ensino e Pesquisa

Brazilian Review of Finance, 2010, vol. 8, issue 4, 505-529

Abstract: Long-Short Funds should be able to provide positive returns, above the opportunity cost and independent of market conditions, once they can have both long and short positions. For this reason, this study aims to evaluate the Long-Short funds in Brazil, assessing whether customers of these products are buying just market returns (Beta), or if there is excess return (alpha) independent of the stock market. Analyzing a sample of 76 funds from January 2, 2001 to March 31, 2008, using daily and monthly data, we found evidence that a small number of funds are able to generate excess return. Besides, this excess does not exhibit persistence. Finally, there is little or no evidence for market timing.

Keywords: Mutual Funds; Hedge Funds; Long-Short; Performance Evaluation (search for similar items in EconPapers)
JEL-codes: G10 G2 G23 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/1641/2135 (application/pdf)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1641 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:8:y:2010:i:4:p:505-529

Access Statistics for this article

Brazilian Review of Finance is currently edited by Marcio Laurini

More articles in Brazilian Review of Finance from Brazilian Society of Finance
Bibliographic data for series maintained by Marcio Laurini ().