COSTA, Henrique Lamounier.; OLIVEIRA, Victor Henriques.; GENARO, Alan de.
Resumo:
In this study the performance of equity funds in Brazil between January 2001 and January 2021
is assessed. The False Discovery Rate methodology is applied to the entire sample, as well as
to sub-samples differentiating bank-affiliated funds from those unaffiliated. The results suggest
that some managers are able to generate positive alphas after controlling for luck and that bankaffiliated
funds achieve positive (negative) alphas less (more) frequently. The results also show
that the location of alphas in the cross-sectional distribution differs across the sub-samples, with
important academic and practical implications. Lastly, there is evidence that positive and
negative performance persist, and that bank-unaffiliated funds are responsible for such
phenomenon.