Market timing and an assessment of the performance of brazilian investment funds

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Liliana de M. C. Leusin
Ricardo D. Brito

Abstract

This work evaluates the performance of Brazilian investment funds vis-à-vis their market timing, in other words, their capacity to preempt differences in the return on shares relative to a fi xed income asset. Parametric and non-parametric tests (as developed by Henriksson and Merton) were used for analyzing the performance of 243 funds for the period between September 1998 and October 2003. Evidence wasfound of the market timing skills of a minority of fund managers, a result that is apparently due to their greater facility for forecasting any large differences in return between the share market and the risk-free interest rate.

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How to Cite
LEUSIN, L. de M. C.; BRITO, R. D. Market timing and an assessment of the performance of brazilian investment funds. RAE - Revista de Administracao de Empresas , [S. l.], v. 48, n. 2, p. 22–36, 2008. Disponível em: https://periodicos.fgv.br/rae/article/view/36588. Acesso em: 27 may. 2024.
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