Stock investment funds in Brazil: performance and management expertise
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | |
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/324 |
Resumo: | This article analyzes the stock investment fund market in Brazil and proposes dynamic rankings constructed from different risk-return metrics, during the period from 1998 to 2009. We find an uncommon level of persistence, mainly among the best performing funds, due to the expertise of the managers. The quadrimestral rebalancing of the portfolios based on these rankings permits inferring that in scenarios characterized as economic booms or recovery of financial markets, the strategies with equal participation in winner funds provides significantly higher average monthly gains, reduction of risk associated with diversification and consequently enhanced performance in relation to market or sector benchmarks. This evidence is robust to the use of different performance metrics for fund selection, indicating that active investors in winning funds demand good performance not only in terms of the Sharpe ratio, but also with respect to other metrics, such as the Treynor, Calmar and Sortino ratios. In these optimistic scenarios, only the industrial sector index (INDX) provided returns compatible with those of these fund’s portfolios. However, during periods of crisis, no strategy involving the funds managed to provide hedge levels characteristic of the electric energy sector index (IEE), so it can be said that the majority of investing strategies are dominated in gain-risk criteria by sector or market indexes, with the exception of value-weighted portfolios composed of losing funds, a signal that the usual passive investors in large funds indexed to the Ibovespa can be presenting a greater level of inertia. |
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Stock investment funds in Brazil: performance and management expertiseFundos de investimento em ações no Brasil: performance e expertise de gestãoDynamic portfoliosmutual fundspersistence of performance metricsmanagement expertisefund performance rankingPortfolios dinâmicosfundos de investimentos em açõespersistência nas métricas de performanceexpertise de gestãoranking de performance de fundosThis article analyzes the stock investment fund market in Brazil and proposes dynamic rankings constructed from different risk-return metrics, during the period from 1998 to 2009. We find an uncommon level of persistence, mainly among the best performing funds, due to the expertise of the managers. The quadrimestral rebalancing of the portfolios based on these rankings permits inferring that in scenarios characterized as economic booms or recovery of financial markets, the strategies with equal participation in winner funds provides significantly higher average monthly gains, reduction of risk associated with diversification and consequently enhanced performance in relation to market or sector benchmarks. This evidence is robust to the use of different performance metrics for fund selection, indicating that active investors in winning funds demand good performance not only in terms of the Sharpe ratio, but also with respect to other metrics, such as the Treynor, Calmar and Sortino ratios. In these optimistic scenarios, only the industrial sector index (INDX) provided returns compatible with those of these fund’s portfolios. However, during periods of crisis, no strategy involving the funds managed to provide hedge levels characteristic of the electric energy sector index (IEE), so it can be said that the majority of investing strategies are dominated in gain-risk criteria by sector or market indexes, with the exception of value-weighted portfolios composed of losing funds, a signal that the usual passive investors in large funds indexed to the Ibovespa can be presenting a greater level of inertia.Este artigo analisa o mercado de fundos de investimentos em ações no Brasil, propondo rankings dinâmicos construídos a partir de diferentes métricas de performances risco-retorno, durante o período de 1998 a 2009. É possível evidenciar um nível de persistência incomum, principalmente entre os fundos com melhor performance, devido à expertise dos gestores. O rebalanceamento quadrimestral de portfolios com base nesses rankings permite inferir que, em cenários caracterizados por boom econômico ou por recuperação dos mercados financeiros, as estratégias com participações iguais em fundos winners proporcionam aumentos significativos de ganhos médios mensais, redução de risco associado à diversificação e consequente aumento de performance em relação a benchmarks de mercado ou setoriais. Essa evidência é robusta ao uso de diferentes métricas de performance para seleção dos fundos, sinalizando que os cotistas dos fundos winners ativos exigem boa performance não somente em Sharpe, mas também em outras métricas, tais como os índices de Treynor, de Calmar e de Sortino. Nesses cenários otimistas, apenas o índice do setor industrial (INDX) proporcionou valores compatíveis aos desses portfoliosde fundos. Porém, em cenários de crise, nenhuma estratégia envolvendo os fundos consegue proporcionar os níveis de hedge característicos do índice do setor de energia elétrica (IEE), sendo possível evidenciar que a maioria dessas estratégias é dominada nos critérios de ganho-risco por índices setorias ou de mercado, com exceção dos portfolios value weighted compostos por fundos loosers, um sinal de que os cotistas usuais dos grandes fundos passivos e indexados ao Ibovespa podem estar apresentando maior nível de inércia.FUCAPE Business Shool2012-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/32410.15728/bbrconf.2012.1Brazilian Business Review; Vol. 9 No. Special Ed (2012): BBR Conference - 2012; 1-37Brazilian Business Review; v. 9 n. Special Ed (2012): BBR Conference - 2012; 1-371808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/324/487http://www.bbronline.com.br/index.php/bbr/article/view/324/488Matos, Paulo Rogério FaustinoNave, Arturinfo:eu-repo/semantics/openAccess2018-10-31T19:25:55Zoai:ojs.pkp.sfu.ca:article/324Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-10-31T19:25:55BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false |
dc.title.none.fl_str_mv |
Stock investment funds in Brazil: performance and management expertise Fundos de investimento em ações no Brasil: performance e expertise de gestão |
title |
Stock investment funds in Brazil: performance and management expertise |
spellingShingle |
Stock investment funds in Brazil: performance and management expertise Matos, Paulo Rogério Faustino Dynamic portfolios mutual funds persistence of performance metrics management expertise fund performance ranking Portfolios dinâmicos fundos de investimentos em ações persistência nas métricas de performance expertise de gestão ranking de performance de fundos |
title_short |
Stock investment funds in Brazil: performance and management expertise |
title_full |
Stock investment funds in Brazil: performance and management expertise |
title_fullStr |
Stock investment funds in Brazil: performance and management expertise |
title_full_unstemmed |
Stock investment funds in Brazil: performance and management expertise |
title_sort |
Stock investment funds in Brazil: performance and management expertise |
author |
Matos, Paulo Rogério Faustino |
author_facet |
Matos, Paulo Rogério Faustino Nave, Artur |
author_role |
author |
author2 |
Nave, Artur |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Matos, Paulo Rogério Faustino Nave, Artur |
dc.subject.por.fl_str_mv |
Dynamic portfolios mutual funds persistence of performance metrics management expertise fund performance ranking Portfolios dinâmicos fundos de investimentos em ações persistência nas métricas de performance expertise de gestão ranking de performance de fundos |
topic |
Dynamic portfolios mutual funds persistence of performance metrics management expertise fund performance ranking Portfolios dinâmicos fundos de investimentos em ações persistência nas métricas de performance expertise de gestão ranking de performance de fundos |
description |
This article analyzes the stock investment fund market in Brazil and proposes dynamic rankings constructed from different risk-return metrics, during the period from 1998 to 2009. We find an uncommon level of persistence, mainly among the best performing funds, due to the expertise of the managers. The quadrimestral rebalancing of the portfolios based on these rankings permits inferring that in scenarios characterized as economic booms or recovery of financial markets, the strategies with equal participation in winner funds provides significantly higher average monthly gains, reduction of risk associated with diversification and consequently enhanced performance in relation to market or sector benchmarks. This evidence is robust to the use of different performance metrics for fund selection, indicating that active investors in winning funds demand good performance not only in terms of the Sharpe ratio, but also with respect to other metrics, such as the Treynor, Calmar and Sortino ratios. In these optimistic scenarios, only the industrial sector index (INDX) provided returns compatible with those of these fund’s portfolios. However, during periods of crisis, no strategy involving the funds managed to provide hedge levels characteristic of the electric energy sector index (IEE), so it can be said that the majority of investing strategies are dominated in gain-risk criteria by sector or market indexes, with the exception of value-weighted portfolios composed of losing funds, a signal that the usual passive investors in large funds indexed to the Ibovespa can be presenting a greater level of inertia. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-01-01 |
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/324 10.15728/bbrconf.2012.1 |
url |
http://www.bbronline.com.br/index.php/bbr/article/view/324 |
identifier_str_mv |
10.15728/bbrconf.2012.1 |
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/324/487 http://www.bbronline.com.br/index.php/bbr/article/view/324/488 |
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. 9 No. Special Ed (2012): BBR Conference - 2012; 1-37 Brazilian Business Review; v. 9 n. Special Ed (2012): BBR Conference - 2012; 1-37 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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1754732238070611968 |