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Sergio Da Silva, Newton Da Costa, Jr, Joao Tusi and Andre Santos
 
''Evaluating Brazilian mutual funds with stochastic frontiers''
( 2005, Vol. 13 No.2 )
 
 
We evaluate the performance of 307 Brazilian stock mutual funds employing stochastic frontiers. We list the top ten actively managed funds and the bottom ten for the period April 2001-July 2003, and show that a fund's efficiency increases with management skill to beat the market. We also find that portfolios with low volatility tend to be more efficient. Yet we find no relationship between fund size and performance, though this might be blurred by a survivorship bias.
 
 
Keywords:
JEL: M2 - Business Economics: General
G1 - General Financial Markets: General (includes Measurement and Data)
 
Manuscript Received : Oct 25 2005 Manuscript Accepted : Dec 06 2005

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