Orientador(es)
Resumo(s)
This thesis demonstrates that mutual fund performance persistence can be profitably
exploited with a simple investment strategy. Funds are invested based on the top
decile of an ex-ante raw returns rank. Strategy was tested under diverse
circumstances and in different fund categories. It is demonstrated that strategies
with shorter estimation and rebalancing periods – up to 1 year and 6 months
respectively – consistently outperform the respective benchmarks, reaching
annualized returns and Sharpe ratios of up to 24.3% and 0.89 respectively. Results
are robust across all fund categories with over 42% of the risk-adjusted results being
statistically significant. Robustness was also confirmed in expansion and recession
periods, with weaker results in the later. It was shown that with transaction costs
strategy returns are partially eroded, being the shorter rebalancing strategies – 1
month - the most affected. However it is proved that under realistic circumstances
the best performing strategies still outperform by far the respective benchmarks.