Aspects of manager, portfolio allocation, and fund performance in Brazil
ABSTRACT 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...
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| Format: | Article |
| Language: | English |
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Universidade de São Paulo
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| Series: | Revista Contabilidade & Finanças |
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| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1519-70772018000100082&lng=en&tlng=en |
| _version_ | 1811321977320767488 |
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| author | Cláudia Olímpia Neves Mamede Maestri Rodrigo Fernandes Malaquias |
| author_facet | Cláudia Olímpia Neves Mamede Maestri Rodrigo Fernandes Malaquias |
| author_sort | Cláudia Olímpia Neves Mamede Maestri |
| collection | DOAJ |
| description | ABSTRACT 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. |
| first_indexed | 2024-04-13T13:27:02Z |
| format | Article |
| id | doaj.art-6692fb6083304b8f97eb5c841debafa2 |
| institution | Directory Open Access Journal |
| issn | 1808-057X |
| language | English |
| last_indexed | 2024-04-13T13:27:02Z |
| publisher | Universidade de São Paulo |
| record_format | Article |
| series | Revista Contabilidade & Finanças |
| spelling | doaj.art-6692fb6083304b8f97eb5c841debafa22022-12-22T02:45:05ZengUniversidade de São PauloRevista Contabilidade & Finanças1808-057X2976829610.1590/1808-057x201804590S1519-70772018000100082Aspects of manager, portfolio allocation, and fund performance in BrazilCláudia Olímpia Neves Mamede MaestriRodrigo Fernandes MalaquiasABSTRACT 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.http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1519-70772018000100082&lng=en&tlng=enportfolio compositionrisk-adjusted returnmanager characteristicsemerging markets |
| spellingShingle | Cláudia Olímpia Neves Mamede Maestri Rodrigo Fernandes Malaquias Aspects of manager, portfolio allocation, and fund performance in Brazil Revista Contabilidade & Finanças portfolio composition risk-adjusted return manager characteristics emerging markets |
| title | 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_short | Aspects of manager, portfolio allocation, and fund performance in Brazil |
| title_sort | aspects of manager portfolio allocation and fund performance in brazil |
| topic | portfolio composition risk-adjusted return manager characteristics emerging markets |
| url | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1519-70772018000100082&lng=en&tlng=en |
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