Home/Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis
Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis
Código: WPE – 234
Gustavo P. Joaquim
This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from October 2007 to February 2011. A period containing what was characterized by many as the worst world financial crisis since the great depression of the 1930’s. Despite the financial turmoil, results indicate the existence of a representative group of funds with abnormal returns as well as evidence of a joint persistence of funds with time frames of 1 to 3 months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.