Brazilian equity mutual funds: a general outlook based on performance

dc.contributor.advisorMergulhão, João de Mendonça
dc.contributor.authorAlmeida, André Guerra Paiva de
dc.contributor.unidadefgvEscolas::EESPpor
dc.date.accessioned2015-09-23T16:59:01Z
dc.date.available2015-09-23T16:59:01Z
dc.date.issued2015
dc.description.abstractThis dissertation main goal is to overview the Brazilian equity mutual funds returns. We find that active management is not effective for Ibovespa index, since Ibovespa active funds do not outperform the Ibovespa referenced funds. However, for IBrX index, active management do outperform the passive strategy. We found that Sustainable funds returns do not outperform the market, Endowment funds show poor performance, which could indicate strong regulation imposition over endowment funds portfolios. The size of a fund shows positive correlation to mean average returns and alphas. A fund’s lifetime is positively correlated to returns and to alphas, which could be related to more risk-taking by younger managers in order to pursue higher expected returns and, consequently, bigger inflows. Younger funds tend to have lower performance probably because, in taking more risks, they do not perform as expected. In addition, we find that the decreasing trend of the alpha evolution along the time is a sign of the industry decreasing returns of scale, which entails that managers have more difficulties to beat the market portfolio. Top 10s rankings show that funds appear more than once on the top 10s, which shows persistence of funds’ performance. Finally, concerning the deciles and quartiles rankings, the frequency of appearances changes among performance measures. There are measures which, when compared to others, strongly change the top and bottom for the decile and quartile members.eng
dc.identifier.citationALMEIDA, André Guerra Paiva de. Brazilian equity mutual funds: a general outlook based on performance. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.
dc.identifier.urihttps://hdl.handle.net/10438/14086
dc.language.isoeng
dc.subjectFundos mútuos de açõespor
dc.subjectInvestimentospor
dc.subjectIndústria de fundospor
dc.subjectMercado financeiropor
dc.subject.areaEconomiapor
dc.subject.bibliodataAdministraçãopor
dc.subject.bibliodataCapital de riscopor
dc.titleBrazilian equity mutual funds: a general outlook based on performanceeng
dc.typeDissertationeng
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