Análise do Desempenho Recente de Fundos de Investimento no Brasil

Recent Performance Analysis of Mutual Funds in Brazil

Nelson Fonseca, Aureliano Bressan (), Robert Iquiapaza and João Guerra

MPRA Paper from University Library of Munich, Germany

Abstract: This study analyzes the performance of Brazilian Investment Funds between May 2001 and May 2006, using as a guideline the division in fixed-income funds and equity funds. The performance is evaluated in terms of risk and return, using Sharpe and Sortino indexes, with the returns and volatilities being also analyzed through t and F tests. The results indicate that the two categories did not present any significant statistical difference in terms of the mean return in the period. However, differences in the variance along the period generated a better risk x return relation for the fixed income funds, a result that is associated with the high interest rates that were experienced during that period.

Keywords: Investment funds; Sharpe index; Sortino index (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2007-04
New Economics Papers: this item is included in nep-cfn and nep-rmg
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Citations: View citations in EconPapers (2)

Published in Contabilidade Vista & Revista 18.1(2007): pp. 95-116

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:2994

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