Performance of Mutual Equity Funds in Brazil – A Bootstrap Analysis

26 Pages Posted: 9 Sep 2013

See all articles by Marco Laes

Marco Laes

University of São Paulo (USP) - Department of Economics

Marcos Silva

University of Sao Paulo (USP) - Department of Economics)

Date Written: August 1, 2013

Abstract

This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For analyses, Carhart’s four-factor model is used as the benchmark model for performance, and bootstrap procedures are applied to separate skill from luck. The results show that the returns of top ranked funds were more because of luck than the skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance was caused mainly by bad management, and not by bad luck. It also showed that the large funds performed better than the small- or middle-sized funds.

Keywords: Equity Funds, Performance Analysis, Bootstrap

JEL Classification: C15, G11, G15, G23

Suggested Citation

Laes, Marco and Silva, Marcos, Performance of Mutual Equity Funds in Brazil – A Bootstrap Analysis (August 1, 2013). Available at SSRN: https://ssrn.com/abstract=2322767 or http://dx.doi.org/10.2139/ssrn.2322767

Marco Laes (Contact Author)

University of São Paulo (USP) - Department of Economics ( email )

Av. Prof. Luciano Gualberto 908
Sao Paulo SP, 05508-900
Brazil

Marcos Silva

University of Sao Paulo (USP) - Department of Economics) ( email )

Rua Luciano Gualberto, 315
São Paulo, São Paulo 14800-901
Brazil

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