文章基本信息

标题：Evaluating Brazilian mutual funds with stochastic frontiers
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作者：Sergio Da Silva ; Newton Da Costa Jr ; Joao Tusi 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2005
卷号：13
出版社：Economics Bulletin
摘要：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.