文章基本信息

标题：Long-Short Fund Performance Evaluation in Brazil
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作者：Fábio Augusto Reis Gomes ; Vicente Cresto
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2010
卷号：8
期号：4
页码：505-529
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：Long-Short Funds should be able to provide positive returns, above the opportunity cost and independent of market conditions, once they can have both long and short positions. For this reason, this study aims to evaluate the Long-Short funds in Brazil, assessing whether customers of these products are buying just market returns (Beta), or if there is excess return (alpha) independent of the stock market. Analyzing a sample of 76 funds from January 2, 2001 to March 31, 2008, using daily and monthly data, we found evidence that a small number of funds are able to generate excess return. Besides, this excess does not exhibit persistence. Finally, there is little or no evidence for market timing.
其他摘要：Long-Short Funds should be able to provide positive returns, above the opportunity cost and independent of market conditions, once they can have both long and short positions. For this reason, this study aims to evaluate the Long-Short funds in Brazil, assessing whether customers of these products are buying just market returns (Beta), or if there is excess return (alpha) independent of the stock market. Analyzing a sample of 76 funds from January 2, 2001 to March 31, 2008, using daily and monthly data, we found evidence that a small number of funds are able to generate excess return. Besides, this excess does not exhibit persistence. Finally, there is little or no evidence for market timing.
关键词：Mutual Funds;Hedge Funds;Long-Short;Performance Evaluation;Fundos de Investimentos, Hedge Funds, Long-Short, Avaliação de Desempenho.
其他关键词：Mutual Funds; Hedge Funds; Long-Short; Performance Evaluation;G10, G23, G24