TITLE:
Relationship between Portfolio Distribution, Management, and Composition and the Performance of Brazilian Fixed-Income Investment Funds (2011-2018)
AUTHORS:
Bruno Boalin, Rafael Confetti Gatsios, Fabiano Guasti Lima, Rafael Moreira Antônio
KEYWORDS:
Fixed-Income Investment Funds, Sharpe Index, Performance
JOURNAL NAME:
Theoretical Economics Letters,
Vol.10 No.2,
April
23,
2020
ABSTRACT: This study analyzes the relationship between
portfolio distribution, management, and composition indicators and the
performance of fixed-income funds in Brazil. It provides support to investors
when making decisions regarding their
investments. A sample composed of 1039 Brazilian fixed-income funds from
January 2011 to December 2019 was analyzed using a panel data analysis
methodology and considering robust standard errors. The performance fee charged
by funds was found to be the variable that most helped increase the performance
of Brazilian fixed-income funds. In addition, portfolios characterized by a
higher proportion of fixed-income assets, less experienced management, managers
concurrently responsible for a large number of funds, and greater net assets
contributed substantially to improved fund performance, by generating the best
risk-adjusted returns.