Monday effect in Brazilian hedge funds with immediate redemption

Mamede, Samuel de Paiva Naves; Malaquias, Rodrigo Fernandes

doi:10.1016/j.ribaf.2016.07.032

Cited by 12 publications

(16 citation statements)

References 29 publications

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“…e results displayed in Table 3 reveal that in the sample studied covering the period from September 2009 to December 2015 the average percentage allocated to assets classi ed as xed income presented a positive relationship with the risk-adjusted return of the funds. However, a positive relationship was expected between a portfolio allocation in mostly variable income and fund performance, since Brazilian multimarket funds are noted as being a category of funds for variable income (Mamede & Malaquias, 2017). With this, the assumption was that the portfolios with the most exposure to risk (variable income) would be able to deliver a better risk-adjusted return (Naka & Noman, 2017;Shawky et al, 2012).…”

Section: Aspects Ofmentioning

confidence: 99%

“…At the other extreme to xed income are high risk investments, such as hedge and multimarket funds (Cumming, Dai, & Johan, 2015;Mamede & Malaquias, 2017). Multimarket funds are similar to hedge funds (Malaquias & Eid Jr., 2013;Mamede & Malaquias, 2017;Varga & Wengert, 2011), whose investments are grouped by location and strategy, in which the location refers to the "where" or type of asset -for example, shares, government bonds, currencies, derivatives -and the strategy refers to the "how" or which option -for example, trading, long and short, interest, and currency (ANBIMA, 2015;Fung & Hsieh, 2002).…”

Section: Introductionmentioning

confidence: 99%

“…Multimarket funds are similar to hedge funds (Malaquias & Eid Jr., 2013;Mamede & Malaquias, 2017;Varga & Wengert, 2011), whose investments are grouped by location and strategy, in which the location refers to the "where" or type of asset -for example, shares, government bonds, currencies, derivatives -and the strategy refers to the "how" or which option -for example, trading, long and short, interest, and currency (ANBIMA, 2015;Fung & Hsieh, 2002). With this, it is assumed that investors have access to di erent levels of risk, considering that multimarket funds seek to diversify their portfolios between xed income and variable income in order to provide better returns.…”

Section: Introductionmentioning

confidence: 99%

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Aspects of manager, portfolio allocation, and fund performance in Brazil

Maestri

Malaquias

2018

Rev. contab. finanç.

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ABSTRACTis 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. e aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can a ect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain di erences in the fund performance, which increases the relevance of this study. erefore, the impact of this research lies in its revealing a signi cant relationship between riskadjusted return and the portion of portfolios allocated to xed 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 xed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the e ectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in xed income, managers with more funds under management, and larger funds.

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Section: Aspects Ofmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Aspects of manager, portfolio allocation, and fund performance in Brazil

Maestri

Malaquias

2018

Rev. contab. finanç.

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“…Porém, apenas recentemente a possibilidade da ocorrência de sazonalidades na indústria de fundos tem sido objeto de estudos (Alves, 2014;Białkowski et al, 2013;Brown et al, 2017;Choi, 2015;Choi, Ryu, & Seok, 2017;Gallagher & Pinnuck, 2006;Kamstra et al, 2017;Malaquias & Mamede, 2015;Mamede & Malaquias, 2017;Matallín-Sáez, 2006;Vidal-García & Vidal, 2014). A busca por pesquisas sob este tema foi feita nos principais repositórios científicos nacionais 1 e internacionais 2 , contemplando o período 2006-2018 utilizando diferentes combinações das seguintes palavras chaves: "sazonalidade" "fundos de investimento" "padrões sazonais" "anomalias de mercado" "efeito calendário" "efeito janeiro" "fluxo financeiro" "fundos de ações".…”

Section: Sazonalidade Nos Fundos De Investimentounclassified

“…ii) A possibilidade de certos efeitos sazonais, como o Efeito Janeiro, serem observados também nos fundos de investimento que alocam a maior parte dos ativos de suas carteiras no mercado de ações (Alves, 2014;Białkowski et al, 2013;Brown et al, 2017;Choi, 2015;Choi, Ryu, & Seok, 2017;Gallagher & Pinnuck, 2006;Kamstra et al, 2017;Malaquias & Mamede, 2015;Mamede & Malaquias, 2017;Matallín-Sáez, 2006;Vidal-García & Vidal, 2014); iii) Os investidores dos fundos de ações podem fazer o resgate ou aplicação de novas cotas conforme suas expectativas, em resposta às alterações do mercado financeiro, bem como com o intuito de rever sua alocação de recursos.…”

Section: Sazonalidade Nos Fundos De Investimentounclassified