Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis

Abstract

This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from October 2007 to February 2011. A period containing what was characterized by many as the worst world financial crisis since the great depression of the 1930’s. Despite the financial turmoil, results indicate the existence of a representative group of funds with abnormal returns as well as evidence of a joint persistence of funds with time frames of 1 to 3 months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.