Recent Performance Analysis of Mutual Funds in Brazil (Analise Do Desempenho Recente De Fundos De Investimento No Brasil)

Contabilidade Vista & Revista, Vol. 18, No. 1, pp. 95-116, January/March 2007

22 Pages Posted: 10 Jul 2008

See all articles by Nelson Ferreira Fonseca

Nelson Ferreira Fonseca

Federal University of Minas Gerais (UFMG) - Center for Post Graduation and Research in Administration (CEPEAD)

Aureliano A. Bressan

Federal University of Minas Gerais (UFMG) - Center for Post Graduation and Research in Administration (CEPEAD)

Robert Aldo Iquiapaza

Federal University of Minas Gerais (UFMG) - Center for Post Graduation and Research in Administration (CEPEAD)

João Paulo Guerra

affiliation not provided to SSRN

Date Written: March 30, 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 Classification: G23

Suggested Citation

Fonseca, Nelson Ferreira and Bressan, Aureliano Angel and Iquiapaza, Robert Aldo and Guerra, João Paulo, Recent Performance Analysis of Mutual Funds in Brazil (Analise Do Desempenho Recente De Fundos De Investimento No Brasil) (March 30, 2007). Contabilidade Vista & Revista, Vol. 18, No. 1, pp. 95-116, January/March 2007, Available at SSRN: https://ssrn.com/abstract=1156606

Nelson Ferreira Fonseca

Federal University of Minas Gerais (UFMG) - Center for Post Graduation and Research in Administration (CEPEAD)

Av. Antônio Carlos, 6.627, Prédio FACE - Bloco 01
Pampulha
Belo Horizonte, MG 31270-901
Brazil

HOME PAGE: http://www.cepead.face.ufmg.br

Aureliano Angel Bressan

Federal University of Minas Gerais (UFMG) - Center for Post Graduation and Research in Administration (CEPEAD) ( email )

Av. Antonio Carlos, 6627
MG30170-120 Belo Horizonte, 31270-901
Brazil

Robert Aldo Iquiapaza (Contact Author)

Federal University of Minas Gerais (UFMG) - Center for Post Graduation and Research in Administration (CEPEAD) ( email )

Av. Antônio Carlos 6627 - Pampulha
Faculdade de Ciências Econômicas
Belo Horizonte, MG 31270-901
Brazil

HOME PAGE: http://www.cepead.face.ufmg.br

João Paulo Guerra

affiliation not provided to SSRN

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