Manipulation-Proof Performance Evaluation of Brazilian Fixed Income and Multimarket Funds

14 Pages Posted: 23 Jul 2008

See all articles by Jose Renato Haas Ornelas

Jose Renato Haas Ornelas

Banco Central do Brasil

Aquiles Farias

Government of the Federative Republic of Brazil - Central Bank of Brazil

Antonio F. A. Silva Jr.

Federal University of Bahia - UFBA

Date Written: July 18, 2008

Abstract

Traditional performance measures are based on the mean-variance framework. Emerging literature in performance evaluation is concerned with other moments of returns' distribution and also to avoid manipulation of performance measures by portfolio managers. This paper compares two performance measures: the traditional Sharpe Ratio and a recently proposed measure, the Manipulation-Proof Performance Measure (MPPM) using a sample of Brazilian Fixed Income and Multimarkets funds. We found a low rank correlation between MPPM and Sharpe Ratio. The Top Funds' Lists of the two measures reveals that very few funds are present on both lists. Furthermore, data shows low risk-adjusted performance persistence over time, especially for Multimarkets, and when using a short-time interval.

Keywords: Perfornance Evaluation, Hedge Funds, Mutual Funds

JEL Classification: G11, G20

Suggested Citation

Ornelas, Jose Renato Haas and Farias, Aquiles and Silva Jr., Antonio F. A., Manipulation-Proof Performance Evaluation of Brazilian Fixed Income and Multimarket Funds (July 18, 2008). Available at SSRN: https://ssrn.com/abstract=1162735 or http://dx.doi.org/10.2139/ssrn.1162735

Jose Renato Haas Ornelas (Contact Author)

Banco Central do Brasil ( email )

P.O. Box 08670
SBS Quadra 3 Bloco B - Edificio-Sede
Brasilia, Distrito Federal 70074-900
Brazil

HOME PAGE: http://www.bcb.gov.br

Aquiles Farias

Government of the Federative Republic of Brazil - Central Bank of Brazil ( email )

P.O. Box 08670
SBS Quadra 3 Bloco B - Edificio-Sede
Brasilia DF 70074-900, Distr. Federal 70074-900
Brazil

Antonio F. A. Silva Jr.

Federal University of Bahia - UFBA ( email )

Av. Reitor Miguel Calmon, s/n
Vale do Canela
Salvador, Bahia
Brazil

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