Abstract
Foundations, methodological and empirical possibilities of measurement and analysis in the performance of financial investments within investment funds have been developed since they were once introduced in the 1970s, thus establishing a path of growing acceptance in financial markets and universities’ academies. The first approaches over the efficiency of these funds, considering their stochastic implications, occurred in the late 1990s and have evolved with the help of SFA – Stochastic Frontier Analysis, although it still needs more careful verification. This article measured and analyzed the stochastic frontier of efficiency over 33 different Brazilian investment funds from 2012 to 2015. For doing so, Battese and Coelli’s (1995) specifications was used. It shows the effects of inefficiencies, which are defined as explicit functions of specific factors in the context of panel data funds. They are estimated by the maximum likelihood method. Sharpe ratios (SR) were also calculated for comparative purposes. Based on these two indicators (SFA and SR), the most recommendable funds to invest and the ones in which the application should not be performed were identified. Such procedures have stimulated the necessary and promising studies, as well as future researches, which, in turn, may establish new methodological formulation as an efficient and effective instrument to choose the best and the safest funds to invest.
Highlights
Investment funds are one of the most important investment options in today’s financial market, due to their increasing quantity and to the options available, and for the importance they have in domestic savings and in the allocation of resources in productive activities (Amaral, Vilaça, Barbosa, & Bressan, 2004)
Investigated the performance persistence of stock funds in the Brazilian market between 2000 and According to the studies and the research sum- 2012. They found the evidence that performance marized so far, it can be noticed the great at- endures once there is significant adjusted risk of tention given to indicate the best investment to bid-ask spread between portfolios of better and make since the creation of classic performance worse performance
Insufficient statistical significance occurred due to the invariability of intra-fund rates over 4 years. It means that efficiency variations do not have statistical importance, an aspect, which is numerically visible through inexpressive reductions in annual average inefficiency
Summary
Investment funds are one of the most important investment options in today’s financial market, due to their increasing quantity and to the options available, and for the importance they have in domestic savings and in the allocation of resources in productive activities (Amaral, Vilaça, Barbosa, & Bressan, 2004). Investigated the performance persistence of stock funds in the Brazilian market between 2000 and According to the studies and the research sum- 2012 They found the evidence that performance marized so far, it can be noticed the great at- endures once there is significant adjusted risk of tention given to indicate the best investment to bid-ask spread between portfolios of better and make since the creation of classic performance worse performance. Ficiency frontier analysis to the studies and research on the profitability of investment funds, Fonseca, Kanitz, and Bassani (2014) checked in the possibilities of forecasting and planning the their study the performance of 46 Brazilian funds portfolio management have been significantly of private equity and venture capital from 1990 to amplified with the support of sturdier methods 2013, in comparison to the American market. Cussed so far, it becomes clear that the recent use of DEA and SFA methods has risen the efficiency Six years later, Battese and Coelli (1988) elaboratfrontier analysis of investment funds
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