Performance of Mutual Equity Funds in Brazil – A Bootstrap Analysis

This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For analyses, Carhart's four-factor model is used as the benchmark model for performance, and bootstrap procedures are applied to separate skill from luck. The results show that the returns of top ranked funds were more because of luck than the skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance was caused mainly by bad management, and not by bad luck. It also showed that the large funds performed better than the small- or middle-sized funds