Evaluating Brazilian mutual funds with stochastic frontiers

We evaluate the performance of 307 Brazilian stock mutual funds employing stochastic frontiers. We list the top ten actively managed funds and the bottom ten for the period April 2001-July 2003, and show that a fund's efficiency increases with management skill to beat the market. We also find that portfolios with low volatility tend to be more efficient. Yet we find no relationship between fund size and performance, though this might be blurred by a survivorship bias.

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Year of publication:	2005-12-06
Authors:	Silva, Sergio Da ; Newton Da Costa, Jr ; Tusi, Joao ; Santos, Andre
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 13.2005, 2, p. 1-6
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	M2 - Business Economics ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010629796