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Recent Performance Analysis of Mutual Funds in Brazil (Analise Do Desempenho Recente De Fundos De Investimento No Brasil)
Nelson Ferreira Fonseca Federal University of Minas Gerais (UFMG) - Center for Pos Graduation and Research in Administration (CEPEAD) Aureliano Angel Bressan Federal University of Minas Gerais (UFMG) Robert Aldo Iquiapaza Federal University of Minas Gerais - UFMG João Paulo Guerra affiliation not provided to SSRN Contabilidade Vista & Revista, Vol. 18, No. 1, pp. 95-116, January/March 2007 Abstract: This study analyzes the performance of Brazilian Investment Funds between May 2001 and May 2006, using as a guideline the division in fixed-income funds and equity funds. The performance is evaluated in terms of risk and return, using Sharpe and Sortino indexes, with the returns and volatilities being also analyzed through t and F tests. The results indicate that the two categories did not present any significant statistical difference in terms of the mean return in the period. However, differences in the variance along the period generated a better risk x return relation for the fixed income funds, a result that is associated with the high interest rates that were experienced during that period.
Keywords: Investment Funds, Mutual funds, Sharpe Index, Sortino Index, Brazil JEL Classifications: G23 Accepted Paper SeriesDate posted: July 10, 2008 ; Last revised: July 10, 2008Suggested CitationContact Information
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