Sorte ou habilidade: uma avaliação dos fundos de investimento no Brasil

Borges, Elaine Cristina; Martelanc, Roy

doi:10.5700/rausp1194

Cited by 23 publications

(24 citation statements)

References 35 publications

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“…Destacam-se: o Capital Asset Pricing Model (CAPM), o Arbitrage Pricing Theory (APT), o de três e o de cinco fatores, propostos por Fama e French, e o de quatro fatores, proposto por Carhart. Citam-se, ainda, extensões em estudos que buscam melhorar o poder explicativo desses modelos testando novos parâmetros (Barber et al, 2016;Barillas & Shanken, 2018;Borges & Martelanc, 2015;Tran-Dieu, 2015;).…”

Section: Introductionunclassified

Fundos de Investimento: Performance Aplicando Modelo Carhart e Análise Envoltória de Dados

et al. 2018

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Resumo Este estudo avalia o desempenho de fundos de investimento brasileiros em ações, comparando retornos reais e indicadores paramétricos e não paramétricos de performance. A estimativa de desempenho e classificação dos fundos foi realizada com base na observação dos retornos reais e dos alfas obtidos do modelo de regressão linear paramétrica, de Carhart. Os indicadores foram comparados com os scores de eficiência relativa da análise envoltória de dados, do modelo não paramétrico de Banker, Charnes e Cooper. Os alfas foram estimados considerando os impactos dos fatores de mercado, tamanho, valor e momento nos retornos reais de cada fundo e os scores, tendo como insumos risco sistêmico, recursos disponíveis, custos e risco total, e, como produto de análise, os retornos. Identificou-se queda de performance dos fundos, apontada pela literatura, alta correlação dos alfas com os retornos reais, baixa correlação dos scores com retornos e mais baixa correlação entre alfas e scores. Isso indica que a escolha da medida de avaliação a ser utilizada consiste em uma importante etapa da seleção de ativos. Montaram-se, ainda, carteiras teóricas pautadas na eficiência e alfas identificando-se performance superior das carteiras baseada na eficiência, sendo que nenhuma delas superou a carteira de mercado.

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Section: Introductionunclassified

Fundos de Investimento: Performance Aplicando Modelo Carhart e Análise Envoltória de Dados

et al. 2018

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“…On one hand, investors have shown more and more interest in investing their resources in investment funds, seeing the possibility of liquidity, portfolio diversi cation, resource management by specialized professionals, and superior/abnormal expected returns (Borges & Martelanc, 2015;Laes & Silva, 2014;Nanda, Narayanan, & Warther, 2000;Varga & Wengert, 2011). In addition, both sophisticated investors (such as market analysts) and non-professional investors have found in funds the possibility of freedom of movement (entry and exit) and access to the diversity of assets in the economy (Funchal, Lourenço, & Motoki, 2016).…”

Section: Introductionmentioning

confidence: 99%

“…In addition, both sophisticated investors (such as market analysts) and non-professional investors have found in funds the possibility of freedom of movement (entry and exit) and access to the diversity of assets in the economy (Funchal, Lourenço, & Motoki, 2016). Knowledge obtained through nancial education increases the importance of saving, and funds represent an alternative with considerable growth in the Brazilian market (Borges & Martelanc, 2015). On the other hand, investment professionals, for example fund administrators and managers, can use fund performance as marketing in order to attract the attention of investors with the possibilities of maximizing earnings (Gupta & Jithendranathan, 2012).…”

Section: Introductionmentioning

confidence: 99%

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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“…Finally, the study lists reasons not only where to invest, but to also why not to invest in other funds (Ceretta & Costa, 2001). Borges and Martelanc (2015) examined whether fund performance is due to luck or the active efforts of managers. They used the Fama and French (1993) and Carhart method, comparing simulated funds using random draws in which alpha was equal to zero.…”

Section: Theoretical Frameworkmentioning

confidence: 99%

Relationship between Portfolio Distribution, Management, and Composition and the Performance of Brazilian Fixed-Income Investment Funds (2011-2018)

Boalin¹,

Gatsios²,

Lima³

et al. 2020

TEL

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This study analyzes the relationship between portfolio distribution, management, and composition indicators and the performance of fixed-income funds in Brazil. It provides support to investors when making decisions regarding their investments. A sample composed of 1039 Brazilian fixed-income funds from January 2011 to December 2019 was analyzed using a panel data analysis methodology and considering robust standard errors. The performance fee charged by funds was found to be the variable that most helped increase the performance of Brazilian fixed-income funds. In addition, portfolios characterized by a higher proportion of fixed-income assets, less experienced management, managers concurrently responsible for a large number of funds, and greater net assets contributed substantially to improved fund performance, by generating the best risk-adjusted returns.

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Sorte ou habilidade: uma avaliação dos fundos de investimento no Brasil

Cited by 23 publications

References 35 publications

Fundos de Investimento: Performance Aplicando Modelo Carhart e Análise Envoltória de Dados

Fundos de Investimento: Performance Aplicando Modelo Carhart e Análise Envoltória de Dados

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

Relationship between Portfolio Distribution, Management, and Composition and the Performance of Brazilian Fixed-Income Investment Funds (2011-2018)

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