ID: 4524
Authors:
Fábio Augusto Reis Gomes, Vicente Cresto.
Source:
Revista Brasileira de Finanças, v. 8, n. 4, p. 505-529, October-December, 2010. 25 page(s).
Keyword:
Hedge Funds , Long-Short , Mutual Funds , Performance Evaluation
Document type: Article (Portuguese)
Show Abstract
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.
