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Performance Analysis of Hedge Funds in Brazil

Maria Manuela de Orleans e Bragança, Marcelo de Sales Pessoa

Abstract


This work aims to verify if brazilian Hedge Funds generate positive alphas, that is, if managers have skill and contribute positively to the return of their funds during the period 2003 through 2013. To find the alphas, we estimate a seven-factor model based, mainly, on the work of Edwards and Caglayan (2001), including an iliquidity factor to the model. We found that, in general, these funds earn negative alphas. The results differ widely by Anbima classification and by sample. We also verify if there is performance persistence over time by using a non-parametric model based on contingency tables. It was not found evidence of persistence.

Keywords


Performance Analysis; Factor Model; Performance Persistence.




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