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This article analyzes patterns of convergence in series of return of investment funds in shares in Brazil, from the use of the methodology of Phillips and Sul (2007). Unlike the theory of portfolios and in disagreement with the characteristics of this marketregulation, transparency, efficiency and informational transaction costs -, it shows a heterogeneous behavior, from the formation of four clubs with specific transition and composition dynamics. The private nature of the management legal entity, the incentives associated with the recovery of low administrative fees, in addition to rates of performance and the emphasis on gains offset by risks, differentiate funds that are losers or winners.Keywords: Stock investment funds in Brazil. Clubs of convergence. Performance weighted by risk. Private and public management. Collection of fees and incentives.

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In this article we analyze the capacity to price and predict the returns of stock mutual funds in the Brazilian market, using the capital asset pricing model (CAPM) and the factor models developed by Fama and French (1993) and Carhart (1997). The first results show an expected outcome: better pricing performance of the CAPM vis-à-vis the other models for mutual funds that track the São Paulo Stock Exchange Index (Ibovespa). The main contribution, however, consists of the evidence that the factor models perform better in pricing and in-sample forecasting of the returns of funds that outperform the market and have higher total assets. This evidence suggests that models should be constructed based on specific factors for investment funds that capture these effects, which is corroborated by the preliminary results in Linhares, Matos and Zech (2009).

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