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Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis

Author

Listed:
  • Gustavo Passarelli Giroud Joaquim

    (Insper - Institute of Education and Research)

  • Marcelo Leite Moura

Abstract

This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from September 2007 to February 2011, a period marked by what was characterized by many as the world’s worst financial crisis since the great depression of the 1930s. Despite the financial turmoil, the results indicate the existence of a representative group of funds with abnormal returns and evidence of a joint persistence of funds with time frames of one to three months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.

Suggested Citation

  • Gustavo Passarelli Giroud Joaquim & Marcelo Leite Moura, 2011. "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(4), pages 525-548.
    • Handle: RePEc:brf:journl:v:9:y:2011:i:4:p:525-548
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    References listed on IDEAS

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    Cited by:

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    2. Alkis Theonas Pitelis & Christos Pitelis, 2016. "New Roles that Key Developing Countries Will Have in the Provision of Finance for Europe," Working papers wpaper138, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    3. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.
    4. Mamede, Samuel de Paiva Naves & Malaquias, Rodrigo Fernandes, 2017. "Monday effect in Brazilian hedge funds with immediate redemption," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 47-53.

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    More about this item

    Keywords

    multimarket funds; hedge funds; alpha calculation; performance evaluation; persistence; Brazilian funds;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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