Stock investment funds in Brazil: performance and management expertise

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....

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Autores principales:	Paulo Rogério Faustino Matos, Artur Nave
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2012
Materias:	dynamic portfolios mutual funds persistence of performance metrics management expertise fund performance ranking Business HF5001-6182
Acceso en línea:	https://doaj.org/article/9a10b44ae17248a2a88e28087a499cfa
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spelling	oai:doaj.org-article:9a10b44ae17248a2a88e28087a499cfa2021-11-11T15:48:05ZStock investment funds in Brazil: performance and management expertise1807-734Xhttps://doaj.org/article/9a10b44ae17248a2a88e28087a499cfa2012-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123040843001https://doaj.org/toc/1807-734XThis 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.Paulo Rogério Faustino MatosArtur NaveFUCAPE Business Schoolarticledynamic portfoliosmutual fundspersistence of performance metricsmanagement expertisefund performance rankingBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Iss 1, Pp 1-37 (2012)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	dynamic portfolios mutual funds persistence of performance metrics management expertise fund performance ranking Business HF5001-6182
spellingShingle	dynamic portfolios mutual funds persistence of performance metrics management expertise fund performance ranking Business HF5001-6182 Paulo Rogério Faustino Matos Artur Nave Stock investment funds in Brazil: performance and management expertise
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.
format	article
author	Paulo Rogério Faustino Matos Artur Nave
author_facet	Paulo Rogério Faustino Matos Artur Nave
author_sort	Paulo Rogério Faustino Matos
title	Stock investment funds in Brazil: performance and management expertise
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
publisher	FUCAPE Business School
publishDate	2012
url	https://doaj.org/article/9a10b44ae17248a2a88e28087a499cfa
work_keys_str_mv	AT paulorogeriofaustinomatos stockinvestmentfundsinbrazilperformanceandmanagementexpertise AT arturnave stockinvestmentfundsinbrazilperformanceandmanagementexpertise
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Stock investment funds in Brazil: performance and management expertise

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