Determinants of Portfolio Turnover for Equity Mutual Funds

Detalhes bibliográficos
Autor(a) principal: Milan, Pedro Luiz Albertin Bono
Data de Publicação: 2015
Outros Autores: Eid Junior, William
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/151
Resumo: Active management of a mutual fund aims to obtain a better return than a representative market portfolio, by means of regularly adjusting the composition of the fund’s portfolio of securities. This study investigates the determinants of the portfolio turnover indexes of actively managed stock investment funds in the Brazilian market. By applying the method developed by Gaspar, Massa and Matos (2005), we show how the characteristics of funds and their managers affect their level of portfolio turnover. Large funds and those that require high initial deposits tend to present higher turnover, as is the case of funds having longer manager tenure. In contrast, the longer the manager’s experience is, the lower the turnover tends to be. Finally, managers with business administration degrees tend to be more active traders than those trained in economics or engineering.
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spelling Determinants of Portfolio Turnover for Equity Mutual FundsDeterminantes da Rotatividade das Carteiras dos Fundos de Investimento em AçõesDeterminantsMutual fundsStock fundsTurnoverDeterminantesFundos de investimentoFundos de açõesRotatividadeActive management of a mutual fund aims to obtain a better return than a representative market portfolio, by means of regularly adjusting the composition of the fund’s portfolio of securities. This study investigates the determinants of the portfolio turnover indexes of actively managed stock investment funds in the Brazilian market. By applying the method developed by Gaspar, Massa and Matos (2005), we show how the characteristics of funds and their managers affect their level of portfolio turnover. Large funds and those that require high initial deposits tend to present higher turnover, as is the case of funds having longer manager tenure. In contrast, the longer the manager’s experience is, the lower the turnover tends to be. Finally, managers with business administration degrees tend to be more active traders than those trained in economics or engineering.A gestão ativa de um fundo de investimento em ações visa a obter um desempenho superior ao retorno de uma carteira de mercado por meio da rotatividade da carteira do fundo. Este trabalho procura evidenciar, no mercado brasileiro, os determinantes dos índices de rotatividade das carteiras dos fundos de investimentos em ações de gestão ativa. Usando a metodologia de Gaspar, Massa e Matos (2005), este estudo evidencia as características dos fundos e dos gestores impactando o nível de rotatividade das carteiras dos fundos. Fundos grandes e fundos que cobram valores altos para depósito inicial tendem a apresentar elevada rotatividade da carteira. Gestores com mais tempo dedicado ao mesmo fundo tendem a apresentar elevados índices de rotatividade. No entanto quanto maior a experiência do gestor em gestão de fundos, menor tende a ser a rotatividade da carteira do fundo. Gestores formados em administração de empresas tendem a apresentar maiores índices de rotatividade da carteira do que os gestores formados em economia e engenharia.FUCAPE Business Shool2015-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/15110.15728/bbr.2015.12.5.1Brazilian Business Review; Vol. 12 No. 5 (2015): September to October 2015; 1-15Brazilian Business Review; v. 12 n. 5 (2015): Setembro a Outubro de 2015; 1-151808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/151/233http://www.bbronline.com.br/index.php/bbr/article/view/151/234Milan, Pedro Luiz Albertin BonoEid Junior, Williaminfo:eu-repo/semantics/openAccess2018-10-31T19:07:16Zoai:ojs.pkp.sfu.ca:article/151Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-10-31T19:07:16BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Determinants of Portfolio Turnover for Equity Mutual Funds
Determinantes da Rotatividade das Carteiras dos Fundos de Investimento em Ações
title Determinants of Portfolio Turnover for Equity Mutual Funds
spellingShingle Determinants of Portfolio Turnover for Equity Mutual Funds
Milan, Pedro Luiz Albertin Bono
Determinants
Mutual funds
Stock funds
Turnover
Determinantes
Fundos de investimento
Fundos de ações
Rotatividade
title_short Determinants of Portfolio Turnover for Equity Mutual Funds
title_full Determinants of Portfolio Turnover for Equity Mutual Funds
title_fullStr Determinants of Portfolio Turnover for Equity Mutual Funds
title_full_unstemmed Determinants of Portfolio Turnover for Equity Mutual Funds
title_sort Determinants of Portfolio Turnover for Equity Mutual Funds
author Milan, Pedro Luiz Albertin Bono
author_facet Milan, Pedro Luiz Albertin Bono
Eid Junior, William
author_role author
author2 Eid Junior, William
author2_role author
dc.contributor.author.fl_str_mv Milan, Pedro Luiz Albertin Bono
Eid Junior, William
dc.subject.por.fl_str_mv Determinants
Mutual funds
Stock funds
Turnover
Determinantes
Fundos de investimento
Fundos de ações
Rotatividade
topic Determinants
Mutual funds
Stock funds
Turnover
Determinantes
Fundos de investimento
Fundos de ações
Rotatividade
description Active management of a mutual fund aims to obtain a better return than a representative market portfolio, by means of regularly adjusting the composition of the fund’s portfolio of securities. This study investigates the determinants of the portfolio turnover indexes of actively managed stock investment funds in the Brazilian market. By applying the method developed by Gaspar, Massa and Matos (2005), we show how the characteristics of funds and their managers affect their level of portfolio turnover. Large funds and those that require high initial deposits tend to present higher turnover, as is the case of funds having longer manager tenure. In contrast, the longer the manager’s experience is, the lower the turnover tends to be. Finally, managers with business administration degrees tend to be more active traders than those trained in economics or engineering.
publishDate 2015
dc.date.none.fl_str_mv 2015-09-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/151
10.15728/bbr.2015.12.5.1
url http://www.bbronline.com.br/index.php/bbr/article/view/151
identifier_str_mv 10.15728/bbr.2015.12.5.1
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/151/233
http://www.bbronline.com.br/index.php/bbr/article/view/151/234
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 12 No. 5 (2015): September to October 2015; 1-15
Brazilian Business Review; v. 12 n. 5 (2015): Setembro a Outubro de 2015; 1-15
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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