Which Factors Matter to Investors? Evidence from Brazilian Mutual Funds

Cavalcante-Filho, Elias; De-Losso, Rodrigo; Santos, José Carlos de Souza

doi:10.7819/rbgn.v23i1.4088

Cited by 2 publications

(1 citation statement)

References 16 publications

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“…The proxy for the risk-free rate rf was the one published by the Brazilian Center for Research in Financial Economics of the University of São Paulo (NEFIN, 2017), following Cavalcante-Filho, De-Losso, and Santos (2021), which is computed from the 30-day IDR Swap. The main reason for this choice was the fact that it is a rate negotiated on B3 with daily availability.…”

Section: Methodsmentioning

confidence: 99%

Diversification with international assets and cryptocurrencies using Black-Litterman

Abreu

Iquiapaza

2023

REGE

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PurposeThe aim of the study was to analyze the performance of Black-Litterman (BL) portfolios using a views estimation procedure that simulates investor forecasts based on technical analysis.Design/methodology/approachIbovespa, S&P500, Bitcoin and interbank deposit rate (IDR) indexes were respectively considered proxies for the national, international, cryptocurrency and fixed income stock markets. Forecasts were made out of the sample aiming at incorporating them in the BL model, using several portfolio weighting methods from June 13, 2013 to August 30, 2022.FindingsThe Sharpe, Treynor and Omega ratios point out that the proposed model, considering only variable return assets, generates portfolios with performances superior to their traditionally calculated counterparts, with emphasis on the risk parity portfolio. Nonetheless, the inclusion of the IDR leads to performance losses, especially in scenarios with lower risk tolerance. And finally, given the impact of turnover, the naive portfolio was also detected as a viable alternative.Practical implicationsThe results obtained can contribute to improve investors practices, specifically by validating both the performance improvement – when including foreign assets and cryptocurrencies –, and the application of the BL model for asset pricing.Originality/valueThe main contributions of the study are: performance analysis incorporating cryptocurrencies and international assets in an uncertain recent period; the use of a methodology to compute the views simulating the behavior of managers using technical analysis; and comparing the performance of portfolio management strategies based on the BL model, taking into account different levels of risk and uncertainty.

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Section: Methodsmentioning

confidence: 99%

Diversification with international assets and cryptocurrencies using Black-Litterman

Abreu

Iquiapaza

2023

REGE

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Business intelligence in investment offices: case study

Botelho,

Pakes,

Da Rocha

et al. 2024

R. G. Secr.

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The main theme of this article is investment offices, a market that is growing exponentially in Brazil, and business intelligence, which consists of a set of technologies and practices that help companies to perform the collection, analysis and visualization of data in order to maximize efficiency in decision making. This article aims to analyze the effects of BI in investment offices through bibliographic research to build the theory and the case study for the collection of primary data for a better understanding of how processes occur in the company and how BI affects this process. As a result of this analysis, it was observed that, in fact, BI, as it was raised in the bibliographic research, is essential in investment offices, both for data collection, analysis and visualization to assist in decision making in a more assertive way, in relation to the investment office interviewed it was raised that BI is present in practically all processes and departments, however it was also observed that there are departments where the use of BI is not so present, This is a point to be evaluated by the investment office. In general terms, the company actually uses BI, having this resource as essential for decision-making, which in addition to corroborating the propositions made together with the theory, also evidences the professionalism of the investment office in relation to the theme of this study.

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Which Factors Matter to Investors? Evidence from Brazilian Mutual Funds

Cited by 2 publications

References 16 publications

Diversification with international assets and cryptocurrencies using Black-Litterman

Diversification with international assets and cryptocurrencies using Black-Litterman

Business intelligence in investment offices: case study

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