Fund Flows and Performance in Brazil

Berggrun, Luis; Lizarzaburu, Edmundo R.

doi:10.2139/ssrn.2144490

Cited by 7 publications

(10 citation statements)

References 31 publications

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“…Nesse sentido, o Brasil expandiu a visibilidade de sua indústria de fundos a partir de 1994, com a implantação do Plano Real, do controle da inflação e da inserção de políticas de investimentos (FONSECA et al, 2007;VARGA;WENGERT, 2011;BERGGRUN;LIZARZABURU, 2015).…”

Section: Introductionunclassified

Effects of Manager Characteristics on Portfolio Composition of Multimarket Funds

Malaquias

Maestri

2017

RUC

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RESUMOA formação das carteiras de fundos de investimentos está sujeita às diferentes características de risco dos ativos que as compõem e a escolha desses ativos pode ser influenciada pelas particularidades do gestor. Nesse contexto, o objetivo desta pesquisa foi analisar se algumas variáveis referentes ao gestor interferem na alocação de recursos nas carteiras dos fundos multimercados. A amostra estudada compreendeu 6.659 fundos multimercados brasileiros com 327.270 observações mensais no período de Setembro/2009 a Janeiro/2016. Para fins de análise de robustez, foi utilizada também uma sub-amostra, com o objetivo de eliminar um potencial viés de incubação. Os testes de hipóteses ocorreram por técnicas econométricas com dados em painel. Os resultados evidenciaram que a composição das carteiras sofre influência de características dos gestores, como experiência, quantidade de fundos administrados, localização do gestor e gestores que apresentam melhor performance que seus pares.

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Section: Introductionunclassified

Effects of Manager Characteristics on Portfolio Composition of Multimarket Funds

Malaquias

Maestri

2017

RUC

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“…Th is fact led to the breakdown of factors that hindered the advancement of investment funds, such as unstable economic conditions, poor regulation, and high infl ation rates (Almenara Andaku & Pinto, 2003;Berggrun & Lizarzaburu, 2015;Fonseca, Bressan, Iquiapaza & Guerra, 2007;Laes & da Silva, 2014;Saad & Ribeiro, 2006).…”

Section: Introductionmentioning

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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“…Nesse sentido, entre os países emergentes, o Brasil se destaca por seu mercado financeiro desenvolvido e uma próspera indústria financeira, mesmo com a instabilidade macroeconômica causada por crises financeiras (BRIÈRE;SIGNORI, 2013). Assim, a visibilidade da indústria financeira brasileira veio à tona com a expansão dos fundos de investimentos a partir de 1994, a partir da implantação do Plano Real, do controle da inflação e da inserção de políticas de investimentos (FONSECA et al, 2007;VARGA;WENGERT, 2011;BERGGRUN;LIZARZABURU, 2015).…”

Section: Estrutura Do Trabalhounclassified

Características do gestor, composição das carteiras e desempenho dos fundos multimercados brasileiros

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This work aims to contribute to the literature on investment funds in emerging markets to address the portfolio composition and performance of Brazilian hedge funds under the manager's perspective. This is because in emerging countries an efficient allocation of assets in the portfolios of the funds is subject to different risk characteristics of the active participants of these portfolios, in addition to the composition of the portfolios be a possible explanation for the differences in performance of the funds. Moreover, from the perspective of the manager, the choice of the assets that make up their portfolios and the performance of the funds it manages, may be subject to the influence of special features such as: experience, amount of funds under management, manager location and managers who have better performance than your peers. So the problem that prompted this research was: which variables related to the manager affect the portfolio composition and performance of hedge funds? Therefore, the Brazilian hedge funds registered with the CVM were analyzed, considering free survival bias samples for the period from September 2009 to January 2016. The first sample included 6,659 funds with 327,270 monthly observations and the second involved 5,309 funds, with an equal number of observations as contemplated indicators for the period. Hypothesis tests were conducted by econometric techniques in Stata® software. The results showed that the composition of the portfolio is influenced by characteristics of managers, as experience, amount of funds under management, manager and location managers who have better performance than their peers. These features of the manager, the experience and the amount of funds under management are also important to explain the performance achieved by hedge funds, beyond this be explained by the allocation of fixed and variable income assets. It should be noted that, when considering the confidence interval of the coefficients of these variables, the composition of the portfolios (fixed and variable income) is presented as the main factor that helps to explain a potential change of the performance of Brazilian hedge funds.

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Fund Flows and Performance in Brazil

Cited by 7 publications

References 31 publications

Effects of Manager Characteristics on Portfolio Composition of Multimarket Funds

Effects of Manager Characteristics on Portfolio Composition of Multimarket Funds

Exposition to Factors of the Investment Funds Market in Brazil

Características do gestor, composição das carteiras e desempenho dos fundos multimercados brasileiros

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