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Robson Costa Reis,Marcelo Cabus Klotzle,Antonio Carlos Figueiredo Pinto,Leonardo Lima Gomes
Pág. 479 - 522
This work has analyzed the performance of 31 behavioral mutual funds in the USA, Europe and Japan described in Santoni and Kelshiker (2010). Were observed the performances of the funds and their respective benchmarks in four indicators: the Sharpe index,...
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Leonardo Oliveira Penna de Carvalho,Ademir Luis Teles Brito,Malu Brandão Moura,Eliane Silva Conceição,Eliane Silva Conceição,Miguel Angel Rivera Castro,Miguel Angel Rivera Castro
Pág. 579 - 595
This work has analyzed the performance of 31 behavioral mutual funds in the USA, Europe and Japan described in Santoni and Kelshiker (2010). Were observed the performances of the funds and their respective benchmarks in four indicators: the Sharpe index,...
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Xiaoyan Wu,Vasco Salazar Soares,Luís Dias Pacheco,Fernando Oliveira Tavares
Pág. 403 - 433
Mutual funds performance evaluation measures allow to establish rankings and play an essential role for investors who want to make investment decisions. The choice of suitable measure should take into account the risk preference of investors. This paper ...
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Claudio Samanez Bisso,João Frois Caldeira,Carlos Patricio Samanez,Gheisa Roberta Telles Esteves
Pág. 323 - 352
This paper applies the method known as data envelopment analysis (DEA) to acess the performance of investment funds in Brazil during the period 2012-2014, evaluating a representative sample that is framed in the "Free Shares" category. The results show e...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two mo...
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Leonardo Lima Gomes,Luiz Eduardo Brandão,Antonio Carlos Figueiredo Pinto
Pág. 45 - 67
The Brazilian electric power industry has been undergoing significant structural changes, including the creation of a free market for electricity. To obtain above average margins, some firms attempt to increase profits by entering into uncovered trading ...
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