Keywords
Mutual Funds
Equity Funds
Active Management
Portfolio Management
How to Cite
Abstract
The aim was to evaluate the performance of active index stock funds in the Brazilian market, over more than 21 years, based on the CAPM model, in order to highlight if there exist management skills to outperform the Ibovespa benchmark, controlling for the influence of survivorship bias in the generation of abnormal returns. The study used secondary data and a quantitative approach. The sample considered 588 active index stock funds from January 1997 to December 2019. The abnormal returns were calculated by regressing the funds’ monthly returns against the Ibovespa’ monthly returns, both in excess of the CDI rate. That is, using the regression equation of the CAPM model. The results revealed that the analyzed funds, in average and median values, had a positive significant performance. From the total sample, 64.6% of the funds showed a positive alpha, that is, a risk-adjusted performance superior to that of the Ibovespa in the analyzed period. It was also found that the survival bias factor, in the long run, had considerable influence on the performance results. The performance of the discontinued funds was, on average, significantly lower than that of the funds in operation. These results may support further research and decision making by investors who wish to understand the abnormal returns of these funds relative to the Ibovespa over the long term, and also to assist in the selection of funds aiming at superior returns to those provided by the benchmark index.
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