Características do gestor, composição das carteiras e desempenho dos fundos multimercados brasileiros

Abstract

This work aims to contribute to the literature on investment funds in emerging markets to address the portfolio composition and performance of Brazilian hedge funds under the manager's perspective. This is because in emerging countries an efficient allocation of assets in the portfolios of the funds is subject to different risk characteristics of the active participants of these portfolios, in addition to the composition of the portfolios be a possible explanation for the differences in performance of the funds. Moreover, from the perspective of the manager, the choice of the assets that make up their portfolios and the performance of the funds it manages, may be subject to the influence of special features such as: experience, amount of funds under management, manager location and managers who have better performance than your peers. So the problem that prompted this research was: which variables related to the manager affect the portfolio composition and performance of hedge funds? Therefore, the Brazilian hedge funds registered with the CVM were analyzed, considering free survival bias samples for the period from September 2009 to January 2016. The first sample included 6,659 funds with 327,270 monthly observations and the second involved 5,309 funds, with an equal number of observations as contemplated indicators for the period. Hypothesis tests were conducted by econometric techniques in Stata® software. The results showed that the composition of the portfolio is influenced by characteristics of managers, as experience, amount of funds under management, manager and location managers who have better performance than their peers. These features of the manager, the experience and the amount of funds under management are also important to explain the performance achieved by hedge funds, beyond this be explained by the allocation of fixed and variable income assets. It should be noted that, when considering the confidence interval of the coefficients of these variables, the composition of the portfolios (fixed and variable income) is presented as the main factor that helps to explain a potential change of the performance of Brazilian hedge funds.

Evaluation of investment funds through different performance measures

“…For example, Borges Júnior and found equivalent results for the relationship between redemption restrictions and Brazilian mutual funds' performance, measured by Sharpe ratio, Sortino ratio and Jensen's alpha. In a previous study about managers characteristics and portfolio composition, Maestri and Malaquias (2018) found no difference in the performance of Brazilian multimarket funds, measured by Sharpe ratio and Sortino ratio. Additionally, Wu et al (2017) evaluated the consistency of European mutual funds' performance in terms of earnings volatility, their results were similar to Sharpe ratio, Jensen's alpha, Sortino ratio and Treynor ratio, besides other measures considered.…”

“…From a theoretical point of view, this study provides a possible explanation for the equivalent results among different performance measures observed in previous research about funds. Borges Júnior and Malaquias (2019), Maestri and Malaquias (2018) and Wu et al (2017), for example, considered different performance measures and found equivalent results. This study demonstrates, empirically, that Sharpe ratio, Sortino ratio, Jensen's alpha and Treynor ratio are positively correlated, thus explaining the equivalence in the evaluation of funds through different performance measures, verified in the literature.…”

“…For example, Borges Júnior and found an average of 1.472 for Jensen's alpha, -0.085 for Sharpe ratio and 1.246 for Sortino ratio. In addition, Maestri and Malaquias (2018) indicated an average of 0.225 for Sharpe ratio. These differences may result from analysis of time and investment fund categories.…”

“…The results showed no statistically significant differences of the average returns in the analysis period. Maestri and Malaquias (2018) developed a research with the objective to identify whether the characteristics of fund managers and the composition of their portfolios influence Brazilian multimarket funds' performance. A total of 6,002 multimarket funds were analyzed from September 2009 to December 2015 using linear regression models with panel data, whose dependent variables corresponded to the Sharpe ratio and Sortino ratio performance measures.…”

“…Borges Júnior and , as in this study, evaluated equity mutual funds, but from the period between 2009 and 2016, encompassing periods of crisis in which poor fund performance would be expected. Regarding Maestri and Malaquias (2018), their sample was composed with hedge funds, which differ from equity mutual funds.…”