Fundos de investimento multimercado: a liberdade de ação do gestor importa?

Storck, Bruno Armezindo; Motoki, Fábio Yoshio Suguri

doi:10.11606/issn.1982-6486.rco.2021.175889

Cited by 3 publications

(4 citation statements)

References 35 publications

(48 reference statements)

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“…Thus, the VaR values are lower than the VaR of the aforementioned commodities portfolios (a, b, c). The results show that the most diversified portfolios were those that presented the least risk, and this result is different from that found by Storck and Motoki (2021), who studied multimarket funds in the free strategy category. Just as the free equity fund has in its portfolio several assets from different sectors, the index ETF (Ibovespa) itself is diversified, which helps to reduce the concentration risk.…”

Section: Returns Logarithm On Vale Common Equities (Vale3)contrasting

confidence: 95%

“….The results found indicated that the diversification funds strategy was able to reduce risk and proved to be an important tool to be considered in an equity portfolio. These results were different from what was found by Storck and Motoki (2021), with emphasis on the fact that these authors studied multimarket funds in the free strategy category.…”

Section: Introductioncontrasting

confidence: 99%

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Historical VaR as a stock fund diversification assessment tool

Oliveira

Antônio²,

Gatsios³

2022

AMBIENTE

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Purpose: The aim of this study is to assess the potential maximum loss in more concentrated investment portfolios and more diversified portfolios using the VaR calculation as a tool for controlling and managing market risk. For this, the study proposes to answer the following research question: "Do more diversified equity funds present less risk?" Methodology: The historical simulation model was applied, considering seven portfolios of equity investment funds (FIAs) and 493 daily returns, under the 95% confidence level. Results: The results indicated that the maximum expected loss is higher in more concentrated portfolios. Therefore, the diversification strategy helped to reduce risk and is an important instrument to be considered in a stock portfolio. Contributions of the Study: The main contribution of the study is to provide subsidies for investors and asset managers, while providing a simulation and practical application of VaR in the analysis of portfolio diversification in equity investment funds.

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Section: Returns Logarithm On Vale Common Equities (Vale3)contrasting

confidence: 95%

Section: Introductioncontrasting

confidence: 99%

Historical VaR as a stock fund diversification assessment tool

Oliveira

Antônio²,

Gatsios³

2022

AMBIENTE

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“…The age of the funds is measured by the natural logarithm of the fund's age in years, at the start of each year, and its expected relationship with performance is negative (Aiken et al, 2021;Storck & Motoki, 2021) due to the fact that smaller funds have agility and flexibility to invest at the right time and generally arise in response to certain demands, such as a recession (Stafylas & Andrikopoulos, 2020). In addition, because they do not have a stabilized career in the market, executives of newer funds take more risks and expose themselves more to risk in investments than their already-established peers, which may indicate better performance (Correia et al, 2018).…”

Section: Methodsmentioning

confidence: 99%

Lockup periods during lockdown periods in the context of Brazilian funds

Malaquias

Júnior

2023

Rev. contab. finanç.

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This article aimed to test the effect of lockup periods on the performance of Brazilian equity funds and multimarket funds, considering the period affected by the 2019 coronavirus disease (COVID-19). This study contributes to better understanding the effects of redemption restrictions imposed on quotaholders, a relevant subject considering the increase in the number of funds in Brazil. This effect is analyzed with particular focus on the period affected by the COVID-19 pandemic. The results of this study have implications for individual and professional investors and may also interest large families of Brazilian funds, given that the establishment of lockup periods forms part of a long-term decision. The research has the potential to impact planning in the fund industry, the financial planning of small and large investors, as well as the literature on the subject, motivating the undertaking of new research. The sample was composed of 17,417 Brazilian funds, 13,581 of which were multimarket funds and 3,836 were equity funds, covering the period from January of 2018 to December of 2021. Various subsamples were evaluated for robustness purposes. The hypotheses were tested using a difference-in-difference model operationalized through a panel. Fund performance was estimated every quarter based on the four-factor alpha. The main results of the study reveal that lockup periods were positively associated with fund performance. On the other hand, during the period negatively affected by COVID-19, funds with greater lockup periods did not record better performance than the other funds (considering in the comparison the performance of groups with a shorter lockup and that of the funds before the pandemic), a result that may advance the discussion on the effects of redemption restrictions.

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“…A idade dos fundos é mensurada pelo logaritmo natural da idade do fundo em anos, no início de cada ano, e sua relação esperada com a performance é negativa (Aiken et al, 2021;Storck & Motoki, 2021) devido ao fato de menores fundos terem agilidade e flexibilidade para investir no momento correto e geralmente surgirem pela resposta a determinadas demandas, como por exemplo uma recessão (Stafylas & Andrikopoulos, 2020). Além disso, executivos de fundos mais novos, por não terem uma carreira estabilizada no mercado, arriscam e se expõem mais ao risco nos investimentos do que seus pares já estabelecidos, o que pode sinalizar melhores desempenhos (Correia et al, 2018).…”

Section: Dados E Métodosunclassified

Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros

Malaquias

Júnior

2023

Rev. contab. finanç.

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RESUMO Este artigo teve por objetivo testar o efeito dos períodos de lockup na performance de fundos de ações e de fundos multimercados brasileiros, considerando-se o período afetado pela doença do coronavírus 2019 (covid-19). Esta pesquisa contribui para o melhor entendimento sobre os efeitos de restrições de resgate impostas aos cotistas, assunto que se mostra relevante ao considerarmos o aumento no número de fundos no Brasil. Esse efeito é analisado com particular atenção ao período afetado pela pandemia da covid-19. Os resultados desta pesquisa têm implicações para investidores individuais e profissionais, podendo despertar também o interesse de grandes famílias de fundos brasileiras, tendo em vista que o estabelecimento de períodos de lockup faz parte de uma decisão de longo prazo. A pesquisa tem o potencial de impactar o planejamento na indústria de fundos, o planejamento financeiro de pequenos e grandes investidores e também a literatura sobre o assunto, motivando a realização de novas pesquisas. A amostra foi composta por 17.417 fundos brasileiros, sendo 13.581 fundos multimercados e 3.836 fundos de ações, considerando o período de janeiro/2018 a dezembro/2021. Várias subamostras foram avaliadas para fins de robustez. As hipóteses foram testadas com o uso de um modelo de diferença-em-diferença operacionalizado por meio de um painel. A performance dos fundos foi estimada a cada trimestre com base no alfa de 4 fatores. Os principais resultados do estudo revelam que períodos de lockup mostraram-se positivamente associados com a performance dos fundos. Em contrapartida, durante o período negativamente afetado pela covid-19, fundos com maiores períodos de lockup não registraram melhor performance que os demais fundos (considerando-se na comparação a performance de grupos com menor lockup e a performance dos fundos antes da pandemia), resultado que pode avançar a discussão sobre os efeitos das restrições de resgate.

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Fundos de investimento multimercado: a liberdade de ação do gestor importa?

Cited by 3 publications

References 35 publications

Historical VaR as a stock fund diversification assessment tool

Historical VaR as a stock fund diversification assessment tool

Lockup periods during lockdown periods in the context of Brazilian funds

Períodos de lockup durante períodos de lockdown no contexto de fundos brasileiros

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