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Performance of mutual equity funds in Brazil – A bootstrap analysis

Author

Listed:
  • Marco Antonio Laes

    (University of São Paulo, Brazil)

  • Marcos Eugênio da Silva

    (University of São Paulo, Brazil)

Abstract

This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that returns of the best performers are more due to luck than skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is caused mainly by bad management, rather than by bad luck. It is also showed that the largest funds perform better than the small or middle-sized funds.

Suggested Citation

  • Marco Antonio Laes & Marcos Eugênio da Silva, 2014. "Performance of mutual equity funds in Brazil – A bootstrap analysis," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 15(3), pages 294-306.
    • Handle: RePEc:anp:econom:v:15:y:2014:3:294_306
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    Citations

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    Cited by:

    1. Rina Rachmawati & Sugeng Wahyudi & Irene Rini Demi Pangestuti & Najmudin, 2020. "Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(2), pages 77-87, April.
    2. Hsiu-lang Chen & Rodrigo F. Malaquias, 2018. "Does Individual Fund Shareholder Structure Matter? A Study of Exclusive Funds in Brazil," Review of Economics & Finance, Better Advances Press, Canada, vol. 12, pages 1-15, May.
    3. Paulo Matos & Guilherme Padilha & Maurício Benegas, 2016. "On the management efficiency of Brazilian stock mutual funds," Operational Research, Springer, vol. 16(3), pages 365-399, October.

    More about this item

    Keywords

    Equity funds; Performance analysis; Bootstrap;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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