ETDs @PUC-Rio
| Título: | CONSISTENCE OF PERFORMANCE IN STOCK FUNDS IN BRAZIL | ||||||||||||||||||||||||||||||||||||||||
| Autor: |
LUIS FILIPE ROSSI |
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| Colaborador(es): |
ANTONIO CARLOS FIGUEIREDO PINTO - Orientador |
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| Catalogação: | 03/SET/2004 | Língua(s): | PORTUGUESE - BRAZIL |
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| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||||||||||||||||||||||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=5411&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=5411&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.5411 | ||||||||||||||||||||||||||||||||||||||||
| Resumo: | |||||||||||||||||||||||||||||||||||||||||
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The present dissertation intents to analyze the
consistence of performance in stock funds in Brazil, from
july/1994 to june/2001. We search the answer to the
following question: through the analysis of times series
of returns of stock funds in Brazil, is it possible to
determine the most likely winners in the future? In other
words: the performance of stock funds is consistent along
time, allowing for the building of models with predictive
power? The methodology applied was a quantitative
approach, prices with complete information. I analyzed
time series of financial returns of stock funds. The tests
for consistence of performance were Contingency Tables 2X2
(with risk adjustment and without risk adjustment through
alfa s of Jensen) and Portfolio Change Measure (PCM). The
outcomes presents a pattern of consistency between
the 1st and the 2nd periods analyzed. This standard is
absent between the 2nd and the 3rd periods. The observed
pattern of consistence is stronger for the worse
performance. We applied tests to detect and measure the
effects of survival bias and transaction costs in the
returns of funds. The outcomes, obtained trough the
analysis of the weighted portfolios and the statements of
sources and uses of cash, are the absence of survival bias
and effects of transactions costs in the returns of the
stock funds analyzed. The performance of the stock funds
analyzed must to be considered to be unsatisfactory.
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