Market timing e avaliação de desempenho dos fundos brasileiros

Leusin, Liliana de Magalhães Castro; Brito, Ricardo D.

doi:10.1590/s0034-75902008000200003

Cited by 18 publications

(16 citation statements)

References 7 publications

(9 reference statements)

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“…According to Avramov and Wermers (2006), in the United States of America, the explanation is derived from the e ects of the intra-and inter-industry allocation of fund assets, paying attention to the business cycle (economic changes between recessions and expansions), and to the investment sectors. Along these lines, greater performance related to the abilities of managers in Brazil has been shown by Brito (2003), Leusin and Brito (2008), and Malaquias and Eid Jr. (2014), among other academics, who found that some managers add value for investors. For example, Leusin and Brito (2008) note that some fund managers are skilled in investing in variable income and can anticipate the prices of these assets in relation to xed income ones, thus achieving better returns than passive managers.…”

Section: Introductionmentioning

confidence: 85%

“…Along these lines, greater performance related to the abilities of managers in Brazil has been shown by Brito (2003), Leusin and Brito (2008), and Malaquias and Eid Jr. (2014), among other academics, who found that some managers add value for investors. For example, Leusin and Brito (2008) note that some fund managers are skilled in investing in variable income and can anticipate the prices of these assets in relation to xed income ones, thus achieving better returns than passive managers.…”

Section: Introductionmentioning

confidence: 85%

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Aspects of manager, portfolio allocation, and fund performance in Brazil

Maestri

Malaquias

2018

Rev. contab. finanç.

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ABSTRACTis paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. e aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can a ect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain di erences in the fund performance, which increases the relevance of this study. erefore, the impact of this research lies in its revealing a signi cant relationship between riskadjusted return and the portion of portfolios allocated to xed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and xed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the e ectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in xed income, managers with more funds under management, and larger funds.

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Section: Introductionmentioning

confidence: 85%

Section: Introductionmentioning

confidence: 85%

Aspects of manager, portfolio allocation, and fund performance in Brazil

Maestri

Malaquias

2018

Rev. contab. finanç.

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“…ability to anticipate movements in asset prices (Jordão & De Moura, 2011;Leusin & Brito, 2008;Treynor & Mazuy, 1966). Th us, managers can change the exposure of a fund to market factors from the perspectives of market fl uctuations, e.g.…”

Section: Exposure To Market Risk Factorsmentioning

confidence: 99%

Exposition to Factors of the Investment Funds Market in Brazil

Maestri

Malaquias

2016

Rev. contab. finanç.

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The growth of the investment funds industry in Brazil and its international representativeness indicate the relevance of analyzing this sector. Literature has shown the effects that market factors can have on the performance of investment funds. One way of evaluating the relation between funds' returns and market factors' variations is the return-based style analysis. In this context, this research aimed to investigate, through the style analysis, the exposition to various market factors in two modalities of investment funds. With this analysis, we may infer differences between the allocations and the composition of portfolios, constructing a panorama of sensitivity of funds' returns to the market factors addressed in the study. The database consisted of daily returns of 508 funds, out of which 385 are fixed income funds and 123 are Neutral Long & Short multimarket funds, within the period from January 3, 2005, to July 11, 2014. Through the style analysis, with 6 market factors, we found a difference between the composition of portfolios of multimarket funds and portfolios of fixed income funds. Regarding the evolution of the composition of portfolios in these funds, we observed that the investment style of funds does not seem to be constant over time, something which may be a positive evidence concerning the changes that managers promote in their portfolios, seeking to achieve better profitability indicators.

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“…Leusin and Brito (2008), using the CAPM plus the market timing term from Treynor and Mazuy as a benchmark, found a fairly high number of funds with positive and significant alphas (15 funds in a sample of 243) during the period 1998-2003. Gomes and Cresto (2010) analyze the performance of funds that employ the long-short strategy, using the same approach of Leusin and Brito, and find strong evidence of superior performance: 8 of 45 funds using the CAPM, and 17 of 45 when using the CAPM plus the market timing.…”

Section: Introductionmentioning

confidence: 99%

Performance of Mutual Equity Funds in Brazil A Bootstrap Analysis

Laes

Silva

2013

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that returns of the best performers are more due to luck than skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is caused mainly by bad management, rather than by bad luck. It is also showed that the largest funds perform better than the small or middle-sized funds. © 2014 National Association of Postgraduate Centers in Economics, ANPEC. Production and hosting by Elsevier B.V. All rights reserved. A base para as análises foi o modelo de quatro fatores de Carhart, sobre o qual foram aplicados procedimentos de bootstrap a fim de separar habilidade de sorte nas análises. Os resultados indicaram que os retornos dos fundos de melhor performance se deveram mais à sorte do que propriamente da habilidade de seus gestores. Para os fundos de pior performance, pelo contrário, há evidência estatística de que seu mau desempenho foi causado principalmente pela má gestão, e não por azar. Os resultados indicaram também que os maiores fundos apresentaram desempenho superior ao dos fundos de pequeno e médio porte no período.

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Market timing e avaliação de desempenho dos fundos brasileiros

Cited by 18 publications

References 7 publications

Aspects of manager, portfolio allocation, and fund performance in Brazil

Aspects of manager, portfolio allocation, and fund performance in Brazil

Exposition to Factors of the Investment Funds Market in Brazil

Performance of Mutual Equity Funds in Brazil A Bootstrap Analysis

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