Performance das melhores ideias dos gestores de fundos de ações brasileiros
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Data
2012-04-16
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Orientador(res)
Berriel, Tiago Couto
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Resumo
I build a portfolio of stocks that Brazilian portfolio managers believe will have the best return. This portfolio outperforms the benchmark by 1.8% per month. These stocks are the stocks managers have ex ante the most conviction in, they are identified as each manager’s biggest overweight when comparing his portfolio to a benchmark. This excess return is statically and economically meaningful. This 'best idea' portfolio is built from the monthly holdings reported by Brazilian mutual funds to the Brazilian securities exchange commission from 2006 to 2011.