Author
Listed:
- João Antonio de Mendonça Júnior
- Carlos Heitor Campani
- Ricardo Pereira Câmara Leal
Abstract
This article proposes a scoring model for the selection of actively managed Brazilian stock funds with positive and significant Jensen's alpha. Two performance measures and eight fund characteristics were obtained between 2004 and 2014. The characteristics set is broad and was coded as binary variables. The sample consists of 1,417 funds and minimizes survivorship bias because it includes new and discontinued funds. The scoring was estimated through a binary logistic regression. Less than ten percent of stock funds displayed significant positive alphas. The model denotes past performance as the most important characteristic to select a stock fund with a significant positive alpha. Independent management, investment in other FIA funds and new or younger funds also relate to this selection. Out of sample tests indicate that high scoring stock funds frequently exhibit significant positive and rarely significant negative alphas. High scoring stock funds frequently beat equally weighed portfolios, especially as to risk adjusted returns. There are several indications that professional managers seek to limit volatility, even if it means sacrificing returns. These are important implications for individual investors.
Suggested Citation
João Antonio de Mendonça Júnior & Carlos Heitor Campani & Ricardo Pereira Câmara Leal, 2017.
"Stock Fund Selection and the Individual Investor,"
RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 21(spe), pages 41-62.
Handle:
RePEc:abg:anprac:v:21:y:2017:i:spe:1253
Download full text from publisher
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:abg:anprac:v:21:y:2017:i:spe:1253. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Information Technology of ANPAD (email available below). General contact details of provider: http://anpad.org.br .
Please note that corrections may take a couple of weeks to filter through
the various RePEc services.