Open AccessO Ouro Atua Como Hedge ou Valor Refúgio Diante de Desvalorizações da BM&FBOVESPA?
Author(s) -
Leonardo Carvalho,
Ademir Luis Teles Brito,
Malu Brandão Moura,
Eliane Silva Conceição,
Miguel Angel Rivera Castro
Publication year - 2017
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v14n4.2016.57701
Subject(s) - humanities , physics , philosophy , political science
This work has analyzed the performance of 31 behavioral mutual funds inthe USA, Europe and Japan described in Santoni and Kelshiker (2010). Wereobserved the performances of the funds and their respective benchmarks infour indicators: the Sharpe index, Sortino Index, Omega Measure and theBehavioral Performance Measure. The horizon of analysis was 10 years (Jan/04to Dec/14) divided in intervals of 6, 12, 36, 60 and 120 months. Based onthe consolidation of indicators the funds were ranked and classified intothree bands of performance: top, middle and bottom. In the interval of 120months there was, in general, no significant (5%) difference in the averageperformance between the funds and the benchmarks. The analysis by intervalsindicated that the performance of the funds in relation to the benchmarksworsen as the investment horizon increases. In shorter intervals (6 and 12months) there was, in average, a significant difference in performance whilein longer maturities (36 and 60 months) the average performance of the fundswas significantly lower than the benchmarks. In the mean of all intervalsthe average performance of the funds was significantly lower than thebenchmarks