EQUITY FUNDS IN BRAZIL: METRICS FOR PERFORMANCE EVALUATION

Authors

  • Bolivar Godinho de Oliveira Filho
  • Almir Ferreira de Sousa

Keywords:

Investment Funds, Stocks, Performance Evaluation.

Abstract

The purpose of this work is to calculate the performance measurements of equity funds in the Brazilian market and to determine the probability of a fund, which had shown good performance in relation to its peers, to maintain this position in the next period. As a specific purpose, we sought to investigate what levels of performance are more associated to the expectations of good performance. The main contribution of this work consists in developing a model for the analysis of investment funds in the Brazilian market that could be used by investors to select the best funds to invest their resources. We sought to analyze what performance metrics are the best to discriminate funds with good performance through the statistical technique of binary logistic regression, whose response allows to establish the likelihood of funds with superior performance and the importance of the variables for this occurrence. The approach is innovative. The results of the study showed that the model computed an 81% hit rate in its classification matrix and defined the statistically significant variables that must be considered in the choice of funds, in order of importance: management fee, Treynor Index, generalized Sharpe ratio, Modigliani Index and performance fee.

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Author Biographies

  • Bolivar Godinho de Oliveira Filho

    Professor de Finanças na Universidade Federal de São Paulo –
    (UNIFESP) - Campus Osasco – Osasco-SP, Brasil
    Economista com pós-graduação em Finanças pela FGV-SP
    Doutor em Finanças pela FEA-USP
    Mestre em Administração pela PUC-SP

  • Almir Ferreira de Sousa
    Professor Associado da Universidade de São Paulo – São Paulo-SP, Brasil Doutor em Administração pela FEA-USP Mestre em Administração pela FEA-USP Graduado em Economia pela Faculdade de Economia, Finanças e Administração de São Paulo.

Published

2015-08-20

Issue

Section

Finanças

How to Cite

EQUITY FUNDS IN BRAZIL: METRICS FOR PERFORMANCE EVALUATION. (2015). REGE Revista De Gestão, 22(1), 61-76. https://revistas.usp.br/rege/article/view/102623