Abstract
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.
Highlights
Cláudia Olímpia Neves Mamede Maestri & Rodrigo Fernandes MalaquiasOn one hand, investors have shown more and more interest in investing their resources in investment funds, seeing the possibility of liquidity, portfolio diversi cation, resource management by specialized professionals, and superior/abnormal expected returns (Borges & Martelanc, 2015; Laes & Silva, 2014; Nanda, Narayanan, & Warther, 2000; Varga & Wengert, 2011)
In light of the lack of Brazilian studies concerning the possibility of fund performance being a ected by the manager’s characteristics in terms of the choice of assets that compose the portfolios, this paper addressed Brazilian multimarket investment funds with the aim of identifying whether some characteristics of their managers and the composition of their portfolios in uence the performance of these funds
Greater performance related to the abilities of managers in Brazil has been shown by Brito (2003), Leusin and Brito (2008), and Malaquias and Eid Jr. (2014), among other academics, who found that some managers add value for investors
Summary
Investors have shown more and more interest in investing their resources in investment funds, seeing the possibility of liquidity, portfolio diversi cation, resource management by specialized professionals, and superior/abnormal expected returns (Borges & Martelanc, 2015; Laes & Silva, 2014; Nanda, Narayanan, & Warther, 2000; Varga & Wengert, 2011). Investment professionals, for example fund administrators and managers, can use fund performance as marketing in order to attract the attention of investors with the possibilities of maximizing earnings (Gupta & Jithendranathan, 2012) Their abilities can de ne their investment management style, becoming a guide when choosing the fund to invest in (Abinzano, Muga, & Santamaria, 2010). Is variable presented the highest beta coe cient in the estimated models and was shown to be an important piece of information to be considered by investors when selecting funds with better performance indicators
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