Aspects of manager, portfolio allocation, and fund performance in Brazil
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | Revista Contabilidade & Finanças (Online) |
Texto Completo: | https://www.revistas.usp.br/rcf/article/view/141338 |
Resumo: | This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds. |
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Aspects of manager, portfolio allocation, and fund performance in BrazilAspectos do gestor, alocação de carteiras e desempenho de fundos no Brasilcomposição de carteirasretorno ajustado ao riscocaracterísticas do gestormercados emergentesportfolio compositionrisk-adjusted returnmanager characteristicsemerging markets This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds. Este trabalho pretende contribuir para a literatura sobre fundos de investimentos em mercados emergentes ao abordar, sob a perspectiva do gestor, o desempenho dos fundos multimercados no Brasil. O objetivo da pesquisa foi identificar se algumas características dos gestores e a composição de suas carteiras influenciam no desempenho dos fundos. Em países emergentes, tanto a alocação de ativos na gestão de carteiras quanto características dos gestores podem auxiliar na explicação das diferenças de desempenho dos fundos, o que potencializa a relevância do estudo. Assim, o impacto desta pesquisa está em evidenciar uma relação significativa entre o retorno ajustado ao risco e a parcela das carteiras alocadas em ativos mais voltados para renda fixa ou renda variável que parece ainda não ter sido explorada no contexto de economias emergentes. Metodologicamente, analisaram-se 6.002 fundos multimercados, no período de setembro de 2009 a dezembro de 2015, por meio de dados em painel, considerando erros padrão robustos clusterizados por fundo. Utilizaram-se, também, estatísticas robustas para avaliar potenciais vieses decorrentes de outliers (pela avaliação do ponto de ruptura nos modelos estimados). Destaca-se que a composição das carteiras (alocação das carteiras em renda variável e em renda fixa) apresentou-se como o fator que mais auxilia na explicação de uma potencial alteração do desempenho dos fundos multimercados brasileiros. Além disso, a efetividade de gestão desses fundos, ou seja, os melhores retornos ajustados ao risco foram entregues por gestores menos experientes, fundos que investiram mais em renda fixa, gestores com maior quantidade de fundos e por fundos maiores.Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária2018-04-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfapplication/xmlhttps://www.revistas.usp.br/rcf/article/view/14133810.1590/1808-057x201804590Revista Contabilidade & Finanças; v. 29 n. 76 (2018); 82-96Revista Contabilidade & Finanças; Vol. 29 No. 76 (2018); 82-96Revista Contabilidade & Finanças; Vol. 29 Núm. 76 (2018); 82-961808-057X1519-7077reponame:Revista Contabilidade & Finanças (Online)instname:Universidade de São Paulo (USP)instacron:USPengporhttps://www.revistas.usp.br/rcf/article/view/141338/136375https://www.revistas.usp.br/rcf/article/view/141338/136376https://www.revistas.usp.br/rcf/article/view/141338/150863Copyright (c) 2018 Revista Contabilidade & Finançasinfo:eu-repo/semantics/openAccessMaestri, Cláudia Olímpia Neves MamedeMalaquias, Rodrigo Fernandes2018-04-23T19:28:11Zoai:revistas.usp.br:article/141338Revistahttp://www.revistas.usp.br/rcf/indexPUBhttps://old.scielo.br/oai/scielo-oai.phprecont@usp.br||recont@usp.br1808-057X1519-7077opendoar:2018-04-23T19:28:11Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Aspects of manager, portfolio allocation, and fund performance in Brazil Aspectos do gestor, alocação de carteiras e desempenho de fundos no Brasil |
title |
Aspects of manager, portfolio allocation, and fund performance in Brazil |
spellingShingle |
Aspects of manager, portfolio allocation, and fund performance in Brazil Maestri, Cláudia Olímpia Neves Mamede composição de carteiras retorno ajustado ao risco características do gestor mercados emergentes portfolio composition risk-adjusted return manager characteristics emerging markets |
title_short |
Aspects of manager, portfolio allocation, and fund performance in Brazil |
title_full |
Aspects of manager, portfolio allocation, and fund performance in Brazil |
title_fullStr |
Aspects of manager, portfolio allocation, and fund performance in Brazil |
title_full_unstemmed |
Aspects of manager, portfolio allocation, and fund performance in Brazil |
title_sort |
Aspects of manager, portfolio allocation, and fund performance in Brazil |
author |
Maestri, Cláudia Olímpia Neves Mamede |
author_facet |
Maestri, Cláudia Olímpia Neves Mamede Malaquias, Rodrigo Fernandes |
author_role |
author |
author2 |
Malaquias, Rodrigo Fernandes |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Maestri, Cláudia Olímpia Neves Mamede Malaquias, Rodrigo Fernandes |
dc.subject.por.fl_str_mv |
composição de carteiras retorno ajustado ao risco características do gestor mercados emergentes portfolio composition risk-adjusted return manager characteristics emerging markets |
topic |
composição de carteiras retorno ajustado ao risco características do gestor mercados emergentes portfolio composition risk-adjusted return manager characteristics emerging markets |
description |
This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-04-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/141338 10.1590/1808-057x201804590 |
url |
https://www.revistas.usp.br/rcf/article/view/141338 |
identifier_str_mv |
10.1590/1808-057x201804590 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/141338/136375 https://www.revistas.usp.br/rcf/article/view/141338/136376 https://www.revistas.usp.br/rcf/article/view/141338/150863 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2018 Revista Contabilidade & Finanças info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2018 Revista Contabilidade & Finanças |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf application/xml |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
dc.source.none.fl_str_mv |
Revista Contabilidade & Finanças; v. 29 n. 76 (2018); 82-96 Revista Contabilidade & Finanças; Vol. 29 No. 76 (2018); 82-96 Revista Contabilidade & Finanças; Vol. 29 Núm. 76 (2018); 82-96 1808-057X 1519-7077 reponame:Revista Contabilidade & Finanças (Online) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista Contabilidade & Finanças (Online) |
collection |
Revista Contabilidade & Finanças (Online) |
repository.name.fl_str_mv |
Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
recont@usp.br||recont@usp.br |
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1787713778381488128 |