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Performance evaluation models applied to the Brazilian mutual funds market

Author

Listed:
  • Diogo Corso Kruk
  • Rene Coppe Pimentel

Abstract

Purpose - This paper analyzes alternative performance evaluation models applied to equity mutual funds under conditional and unconditional approaches in the Brazilian market. Design/methodology/approach - The analysis is conducted using CAPM's single factor, Fama–French three and five factors, under their conditional and unconditional versions in a sample of 896 equity mutual funds from 2008 to 2019. Findings - The results suggest that the use of three- or five-factor models is especially relevant to reduce the effect of market anomalies in performance assessment. Additionally, results show that conditional approaches, adding time-varying alphas and betas with macroeconomic variables, provide higher explanatory power than their unconditional peers. Originality/value - The results are relevant in the unique economic environment characterized by historically high interest rate and high market volatility.

Suggested Citation

  • Diogo Corso Kruk & Rene Coppe Pimentel, 2022. "Performance evaluation models applied to the Brazilian mutual funds market," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 19(8), pages 2134-2151, November.
    • Handle: RePEc:eme:ijoemp:ijoem-01-2021-0153
    DOI: 10.1108/IJOEM-01-2021-0153
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    More about this item

    Keywords

    Mutual funds; Performance evaluation; Market efficiency; Emerging markets; G11; G23;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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