DOES THE NATURE OF CAPITAL INFLUENCE THE PERFORMANCE OF FIXED INCOME MUTUAL FUND MANAGEMENT?

• Autor(a) principal: Braga, Alexandre
• Data de Publicação: 2010
• Outros Autores: Terra, Paulo Renato Soares, Braga, Daniele Gonçalves
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: ConTexto
• Texto Completo: https://seer.ufrgs.br/index.php/ConTexto/article/view/16053
• topic: Fundos mútuos; Desempenho; Risco e retorno; Marcação a mercado; Mutual funds; Performance; Risk and return; Mark to market

This paper investigates the performance of the 17 biggest mutual fund management firms inBrazil during the period 1997-2003 using daily data. The method of panel data analysis is employed. The hypothesis that fund management firms obtain the same risk-return relation in their portfolios independently from the nature of their capital is rejected. Private and foreign firms present a superior performance than state-owned ones. Similarly, the risk-return relation of the portfolios managed by state-owned firms is not constant in the periods before and after the introduction of mark to market valuation. After such institutional change, state-owned fund management firms present a remarkable improvement in their performance, while private and foreign firms do not present any change in their portfolios performance. These results underline the importance of regulation in the measurement of mutual fund performance.