Persistence in Equity Fund Performance in Brazil

EMERGING MARKETS FINANCE AND TRADE, v. 50, p. 16-33, 2014.

Posted: 9 Jan 2020

See all articles by Gyorgy Varga

Gyorgy Varga

FCE Consulting

Luis Berggrun

CESA; Universidad ICESI - Economics & Management

Benito Umaña

Universidad del Bío-Bío

Samuel A. Mongrut

Instituto Tecnologico y de Estudios Superiores de Monterrey (ITESM)

Date Written: December 18, 2014

Abstract

We examine performance persistence in the large and growing Brazilian equity fund market from 2000 to 2012. We find a significant risk-adjusted spread between a portfolio of top- and bottom-performing funds, which supports the idea that performance persists. This spread remains after controlling for market, size, distress, and momentum risk factors and tends to be larger and more significant for a set of small and retail funds. The spread is mostly driven by the underperformance of the bottom decile of funds, which is consistent with the existence of some fund managers with insufficient skills to recover investment costs.

Keywords: equity fund performance, Latin America, persistence

JEL Classification: G20, G15

Suggested Citation

Varga, Gyorgy and Berggrun, Luis and Umaña, Benito and Mongrut, Samuel A., Persistence in Equity Fund Performance in Brazil (December 18, 2014). EMERGING MARKETS FINANCE AND TRADE, v. 50, p. 16-33, 2014., Available at SSRN: https://ssrn.com/abstract=3506332

Gyorgy Varga

FCE Consulting ( email )

Brazil
552125579284 (Phone)
552122655116 (Fax)

HOME PAGE: http://www.fce.com.br

Luis Berggrun (Contact Author)

CESA ( email )

Calle 35 No. 6-16
Bogota
Colombia

Universidad ICESI - Economics & Management ( email )

Cali
Colombia

Benito Umaña

Universidad del Bío-Bío ( email )

Avda. Collao No. 1202 Casilla 5-C
Av. Collao 1202, Conception 4081112
Chile

Samuel A. Mongrut

Instituto Tecnologico y de Estudios Superiores de Monterrey (ITESM) ( email )

Av. Eugenio Garza Sada #2501
Col. Tecnológico
Monterrey, Nuevo León 64849
Mexico

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