Persistência de Desempenho em Fundos de Ações no Brasil

This paper aims to investigate the existence of persistence in superiorperformance in Brazilian stock market funds from 2001 to 2014. In order todo so, we used a sample free of survivorship bias and four different marketmodels to characterize the expected return and risk relationship. In allmodels we were not able to find evidence consistent with superiorperformance, indicating performance differences could be more attributed todifferent exposures to risk factors than superior skill. Some additionalevidence was found the momentum factor seems to explain a large part of thefunds’ excess returns in both top and bottom deciles.