Stochastic frontiers of efficiency for Brazilian investment funds: a panel data analysis

Abstract

Foundations, methodological and empirical possibilities of measurement and analysis in the performance of financial investments within investment funds have been developed since they were once introduced in the 1970s, thus establishing a path of growing acceptance in financial markets and universities’ academies. The first approaches over the efficiency of these funds, considering their stochastic implications, occurred in the late 1990s and have evolved with the help of SFA – Stochastic Frontier Analysis, although it still needs more careful verification. This article measured and analyzed the stochastic frontier of efficiency over 33 different Brazilian investment funds from 2012 to 2015. For doing so, Battese and Coelli’s (1995) specifications was used. It shows the effects of inefficiencies, which are defined as explicit functions of specific factors in the context of panel data funds. They are estimated by the maximum likelihood method. Sharpe ratios (SR) were also calculated for comparative purposes. Based on these two indicators (SFA and SR), the most recommendable funds to invest and the ones in which the application should not be performed were identified. Such procedures have stimulated the necessary and promising studies, as well as future researches, which, in turn, may establish new methodological formulation as an efficient and effective instrument to choose the best and the safest funds to invest.

Influência dos fundos de investimento na formação das cotações do milho na Bolsa de Cereais de Chicago

“…A segunda frente, que atinge particularmente os preços praticados no Sul e Nordeste do país, sofre mais influência da oferta e demanda do produto no mercado interno, especialmente porque o Rio Grande do Sul e Santa Catarina são dois Estados importadores do cereal de outras regiões brasileiras. Além disso, em função de os produtores, nestas regiões, possuírem área de plantio bem menores, os mesmos praticamente não atuam na BM&F. Desta forma, os preços do milho no mercado brasileiro sofrem bem menos influência das cotações praticadas na Bolsa de Cereais de Chicago, quando comparados com os da soja, porém, o movimento das mesmas não pode ser ignorado (Ferruz Agudo et al, 2019). Especialmente porque igualmente neste mercado do cereal na CBOT os fundos de investimento atuam.…”