Resumen
We intend to investigate whether active portfolio managers have higher security selection ability than passive managers in Brazil. We built net monthly historical returns and estimated gross historical returns series from January 1996 till October 2006 of 626 stock mutual funds. We used the regression model proposed by Carhart (1997) with the addition of a market timing factor and analyzed the alpha coef?cient sign and signi?cance. Our results show that a signi?cant number of managers exploit well-known strategies as size, book-to-market ratio, momentum and market timing. When we use net returns series as the dependent variable, we ?nd that only 4.8% of active portfolios have positive and signi?cant alphas. Active portfolio performance on average is not signi?cantly different than passive portfolio performance. But when we run the regressions using the estimated gross returns, we found that 10.3% of active funds have positive and signi?cant alphas, and on average the performance of active funds is signi?cantly positive. Our results are in accordance with Jensen?s (1978) version of ef?cient market, in which asset prices re?ect existing information till the moment when marginal bene?ts of using information do not exceed marginal costs.