Evaluation of investment funds through different performance measures

Bibliographic Details
Main Author: Borges Júnior, Dermeval Martins
Publication Date: 2021
Format: Article
Language: eng
por
Source: GEPROS. Gestão da Produção. Operações e Sistemas
Download full: https://revista.feb.unesp.br/gepros/article/view/2787
Summary: Purpose - The aim of this study is to examine the evaluation of Brazilian equity funds from different performance measures.Theoretical framework - In the literature, several indexes are available that can be used to evaluate the performance of investment funds.Design/methodology/approach - Monthly return data were collected from 1,901 Brazilian equity funds. Fund performance was estimated using four indexes: the Sharpe ratio, the Sortino ratio, Jensen’s alpha, and the Treynor ratio.Findings - The results showed that all four performance measures are positively associated. This means that there are no significant differences in the ranking of Brazilian equity funds in terms of performance.Research, Practical & Social implications - The comparison of different performance indexes contributes to the literature on the subject by providing further data for researchers to adequately define the indexes considered in studies on the performance of funds.Originality/value - This study fills a gap in the literature regarding the analysis of performance measures of investment funds.Keywords - Mutual funds. Equity funds. Performance.
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spelling Evaluation of investment funds through different performance measuresFundos de InvestimentoFundos de AçõesDesempenhoPurpose - The aim of this study is to examine the evaluation of Brazilian equity funds from different performance measures.Theoretical framework - In the literature, several indexes are available that can be used to evaluate the performance of investment funds.Design/methodology/approach - Monthly return data were collected from 1,901 Brazilian equity funds. Fund performance was estimated using four indexes: the Sharpe ratio, the Sortino ratio, Jensen’s alpha, and the Treynor ratio.Findings - The results showed that all four performance measures are positively associated. This means that there are no significant differences in the ranking of Brazilian equity funds in terms of performance.Research, Practical & Social implications - The comparison of different performance indexes contributes to the literature on the subject by providing further data for researchers to adequately define the indexes considered in studies on the performance of funds.Originality/value - This study fills a gap in the literature regarding the analysis of performance measures of investment funds.Keywords - Mutual funds. Equity funds. Performance.A Fundacao para o Desenvolvimento de Bauru (FunDeB)2021-12-13info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttps://revista.feb.unesp.br/gepros/article/view/278710.15675/gepros.v16i4.2787Revista Gestão da Produção Operações e Sistemas; v. 16 n. 4 (2021); 391984-2430reponame:GEPROS. Gestão da Produção. Operações e Sistemasinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengporhttps://revista.feb.unesp.br/gepros/article/view/2787/pdfhttps://revista.feb.unesp.br/gepros/article/view/2787/1896Copyright (c) 2021 Revista Gestão da Produção Operações e Sistemasinfo:eu-repo/semantics/openAccessBorges Júnior, Dermeval Martins2023-11-22T15:25:11Zoai:ojs.gepros.emnuvens.com.br:article/2787Revistahttps://revista.feb.unesp.br/geprosPUBhttps://revista.feb.unesp.br/gepros/oaigepros@feb.unesp.br||abjabbour@feb.unesp.br1984-24301809-614Xopendoar:2023-11-22T15:25:11GEPROS. Gestão da Produção. Operações e Sistemas - Universidade Estadual Paulista (UNESP)false
dc.title.none.fl_str_mv Evaluation of investment funds through different performance measures
title Evaluation of investment funds through different performance measures
spellingShingle Evaluation of investment funds through different performance measures
Borges Júnior, Dermeval Martins
Fundos de Investimento
Fundos de Ações
Desempenho
title_short Evaluation of investment funds through different performance measures
title_full Evaluation of investment funds through different performance measures
title_fullStr Evaluation of investment funds through different performance measures
title_full_unstemmed Evaluation of investment funds through different performance measures
title_sort Evaluation of investment funds through different performance measures
author Borges Júnior, Dermeval Martins
author_facet Borges Júnior, Dermeval Martins
author_role author
dc.contributor.author.fl_str_mv Borges Júnior, Dermeval Martins
dc.subject.por.fl_str_mv Fundos de Investimento
Fundos de Ações
Desempenho
topic Fundos de Investimento
Fundos de Ações
Desempenho
description Purpose - The aim of this study is to examine the evaluation of Brazilian equity funds from different performance measures.Theoretical framework - In the literature, several indexes are available that can be used to evaluate the performance of investment funds.Design/methodology/approach - Monthly return data were collected from 1,901 Brazilian equity funds. Fund performance was estimated using four indexes: the Sharpe ratio, the Sortino ratio, Jensen’s alpha, and the Treynor ratio.Findings - The results showed that all four performance measures are positively associated. This means that there are no significant differences in the ranking of Brazilian equity funds in terms of performance.Research, Practical & Social implications - The comparison of different performance indexes contributes to the literature on the subject by providing further data for researchers to adequately define the indexes considered in studies on the performance of funds.Originality/value - This study fills a gap in the literature regarding the analysis of performance measures of investment funds.Keywords - Mutual funds. Equity funds. Performance.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-13
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://revista.feb.unesp.br/gepros/article/view/2787
10.15675/gepros.v16i4.2787
url https://revista.feb.unesp.br/gepros/article/view/2787
identifier_str_mv 10.15675/gepros.v16i4.2787
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv https://revista.feb.unesp.br/gepros/article/view/2787/pdf
https://revista.feb.unesp.br/gepros/article/view/2787/1896
dc.rights.driver.fl_str_mv Copyright (c) 2021 Revista Gestão da Produção Operações e Sistemas
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2021 Revista Gestão da Produção Operações e Sistemas
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv A Fundacao para o Desenvolvimento de Bauru (FunDeB)
publisher.none.fl_str_mv A Fundacao para o Desenvolvimento de Bauru (FunDeB)
dc.source.none.fl_str_mv Revista Gestão da Produção Operações e Sistemas; v. 16 n. 4 (2021); 39
1984-2430
reponame:GEPROS. Gestão da Produção. Operações e Sistemas
instname:Universidade Estadual Paulista (UNESP)
instacron:UNESP
instname_str Universidade Estadual Paulista (UNESP)
instacron_str UNESP
institution UNESP
reponame_str GEPROS. Gestão da Produção. Operações e Sistemas
collection GEPROS. Gestão da Produção. Operações e Sistemas
repository.name.fl_str_mv GEPROS. Gestão da Produção. Operações e Sistemas - Universidade Estadual Paulista (UNESP)
repository.mail.fl_str_mv gepros@feb.unesp.br||abjabbour@feb.unesp.br
_version_ 1824500436282900480

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