Performance evaluation models applied to the Brazilian mutual funds market

Diogo Corso Kruk and Rene Coppe Pimentel

International Journal of Emerging Markets, 2022, vol. 19, issue 8, 2134-2151

Abstract: Purpose - This paper analyzes alternative performance evaluation models applied to equity mutual funds under conditional and unconditional approaches in the Brazilian market. Design/methodology/approach - The analysis is conducted using CAPM's single factor, Fama–French three and five factors, under their conditional and unconditional versions in a sample of 896 equity mutual funds from 2008 to 2019. Findings - The results suggest that the use of three- or five-factor models is especially relevant to reduce the effect of market anomalies in performance assessment. Additionally, results show that conditional approaches, adding time-varying alphas and betas with macroeconomic variables, provide higher explanatory power than their unconditional peers. Originality/value - The results are relevant in the unique economic environment characterized by historically high interest rate and high market volatility.

Keywords: Mutual funds; Performance evaluation; Market efficiency; Emerging markets; G11; G23 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ijoemp:ijoem-01-2021-0153

DOI: 10.1108/IJOEM-01-2021-0153

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