Analyzing stock funds metrics by means of causal relationships with their management skills.

Abstract

With the steep rise in the number of shares of investment funds in Brazil, there is an urgent need to identify those which have better management skills. Thus, this study was developed aiming to discover which common metrics present in Brazilian stock funds have a causal relationship with their management skills, measured by the Jensen’s Alpha. For that purpose, we selected 14 stock fund metrics in order to verify an existing causal relationship between each one and the Alpha. At last, we indicate six metrics which are able to be used as proxy for the alpha generation.