Análise de desempenho das maiores administradoras de fundos de investimentos de renda fixa no Brasil

AUTOR(ES)
DATA DE PUBLICAÇÃO

2005

RESUMO

The industry of investment fund in Brazil is concentrated in the segment of fixed income. About R$ 220 billion are deposited in funds nowadays, from which R$ 200 billion approximately are in the fixed income segment and R$ 20 billion in variable income portfolios. In the first semester of 2002 it was observed that investment funds in general had substantially reduced their returns. In the wake of the change of the evaluation metrics of funds from yield curves to mark-to-market, caused profound transformation in the value of fixed income funds. In this context, the performance of the 17 biggest asset management firms in the period 1997-2000 in a daily basis has been assessed. The hypothesis that private Brazilian asset management firms have a similar risk-return performance in their portfolios as state and foreign firms has been rejected. Foreign asset management firms had a superior performance with respect to Brazilian private firms, while private firms sustained a superior performance vis-à-vis state firms. Similarly, the risk-return relation obtained by asset management firms has not been constant in the period prior to and after the adoption of mark-to-market. In this sense, the performance of the asset management firms significantly improved in the period after the adoption of mark-to-market

ASSUNTO(S)

performance performance análise de dados investment funds índice de sharpe mercado mark-to-market renda fixa fixed income fundos de investimento panel data analysis sharpe index ciencias contabeis

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