Multimarket investment funds: does manager’s discretion matter?
DOI:
https://doi.org/10.11606/issn.1982-6486.rco.2021.175889Keywords:
Multimarket investment funds, Free strategy, Manager discretionAbstract
This study seeks to understand if the discretionary nature of free strategy multimarket investment funds in Brazil is related to better performance when compared to other funds classified in the same class. Previous studies on the US fund industry show that greater discretion is associated with better returns. The results corroborate the international literature, demonstrating that free strategy funds are associated with better performance. However, there was no evidence of an association between free strategy funds and risk. The research used data of 3499 multimarket funds from January 2016 to January 2019, collected from the Quantum Axis database. Performance was measured using the Sharpe and Sortino Index, and risk was assessed using VaR, CVaR, and Downside Risk.
Downloads
References
Ackermann, C., McEnally, R., & Ravenscraft, D. (1999). The Performance of Hedge Funds: Risk, Return, and Incentives. The Journal of Finance, 54(3), 833–874. DOI: https://doi.org/10.1111/0022-1082.00129
Agarwal, V., Daniel, N. D., & Naik, N. Y. (2009). Role of Managerial Incentives and Discretion in Hedge Fund Performance. The Journal of Finance, 64(5), 2221–2256. DOI: https://doi.org/10.1111/j.1540-6261.2009.01499.x
Almazan, A., Brown, K. C., Carlson, M., & Chapman, D. A. (2004). Why constrain your mutual fund manager? Journal of Financial Economics, 73(2), 289–321. DOI: https://doi.org/10.1016/j.jfineco.2003.05.007
ANBIMA (2019). Disponível em: <https://www.anbima.com.br/pt_br/imprensa/industria-de-fundos-alcanca-r-5-trilhoes-de-patrimonio-liquido.htm>. Acesso 23 de Julho de 2019.
ANBIMA (2019). Disponível em: <https://www.anbima.com.br/pt_br/informar/relatorios/mercado-de-capitais/boletim-de-mercado-de-capitais/boletim-de-mercado-de-capitais.htm>. Acesso 23 de Julho de 2019.
Basak, S., Shapiro, A., & Pavlova, A. (2006). Optimal Asset Allocation and Risk Shifting in Money Management. Review of Financial Studies.
Brown, K. C., Harlow, W. V., & Starks, L. T. (1996). Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry. The Journal of Finance, 51(1), 85–110. DOI: https://doi.org/10.1111/j.1540-6261.1996.tb05203.x
Chevalier, J., & Ellison, G. (1999). Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance. The Journal of Finance, 54(3), 875–899. DOI: https://doi.org/10.1111/0022-1082.00130
Doing Business (2018). Disponível em: <http://www.doingbusiness.org/en/data/exploreeconomies/united-states>. Acesso em 28 de Novembro de 2018.
Doing Business (2018). Disponível em: <http://www.doingbusiness.org/en/data/exploreeconomies/brazil>. Acesso em 28 de Novembro de 2018.
Filho, B. G. de O., & Sousa, A. F. de. (2015). Fundos de Investimento em Ações no Brasil: Métricas para avaliação de desempenho. Revista de Gestão, 22(1), 61–76. DOI: https://doi.org/10.5700/rege551
Fonseca, L. N. C. (2012). Análise de desempenho dos fundos multimercados. 183.
Francis, J. R., & Yu, M. D. (2009). Big 4 Office Size and Audit Quality. The Accounting Review, 84(5), 1521–1552. DOI: https://doi.org/10.2308/accr.2009.84.5.1521
Funchal, B., Lourenço, D., & Motoki, F. Y. S. (2016). Sofisticação dos investidores, liberdade de movimentação e risco: um estudo do mercado brasileiro de fundos de investimento em ações. Revista de Contabilidade e Organizações, 10(28), 45. DOI: https://doi.org/10.11606/rco.v10i28.121505
Getmansky, M. (2012). The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance. SSRN Electronic Journal. DOI: https://doi.org/10.2139/ssrn.2084410
Getmansky, M., Lo, A. W., & Makarov, I. (2003). An econometric model of serial correlation and illiquidity in hedge fund returns. Journal of Financial Economics, 74(3), 529–609. DOI: https://doi.org/10.1016/j.jfineco.2004.04.001
Gil-Bazo, J., Ruiz-Verdú, P., & Santos, A. A. P. (2010). The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies. Journal of Business Ethics, 94(2), 243–263. DOI: https://doi.org/10.1007/s10551-009-0260-4
Goetzmann, W., Ingersoll, J., Spiegel, M., & Welch, I. (2007). Portfolio Performance Manipulation and Manipulation-proof Performance Measures. Review of Financial Studies, 20(5), 1503–1546. DOI: https://doi.org/10.1093/rfs/hhm025
Huang, J., Sialm, C., & Zhang, H. (2009). Risk Shifting and mutual fund performance. The Review of Financial Studies.
Joaquim, G. P. G., & Moura, M. L. (2011). Performance and Persistence of Brazilian Hedge Funds during the Financial Crisis. Revista Brasileira de Finanças, Rio de Janeiro 9(4), 24.
Jones, M. (2007). Examination of fund age and size and its impact on hedge fund performance. Derivatives Use, Trading e Regulation, 12(4), 342–350. DOI: https://doi.org/10.1057/palgrave.dutr.1850052
Junior, W. E., & Rochmann, R. (2008). Fundos de Investimento Ativos e Passivos no Brasil: Comparando e Determinando os seus Desempenhos. Revista Brasileira de Finanças.
Khurana, I. K., & Raman, K. K. (2004). Litigation Risk and the Financial Reporting Credibility of Big 4 versus Non‐Big 4 Audits: Evidence from Anglo‐American Countries. The Accounting Review, 79(2), 473–495. DOI: https://doi.org/10.2308/accr.2004.79.2.473
Klapper, L. (2004). The development of mutual funds around the world. Emerging Markets Review, 5(1), 1–38. DOI: https://doi.org/10.1016/j.ememar.2003.12.001
Lawrence, A., Minutti-Meza, M., & Zhang, P. (2011). Can Big 4 versus Non-Big 4 Differences in Audit-Quality Proxies Be Attributed to Client Characteristics? The Accounting Review, 86(1), 259–286. DOI: https://doi.org/10.2308/accr.00000009
Li, H., Zhang, X., & Zhao, R. (2011). Investing in Talents: Manager Characteristics and Hedge Fund Performances. Journal of Financial and Quantitative Analysis, 46(1), 59–82. DOI: https://doi.org/10.1017/S0022109010000748
Lo, A. W. (2001). Risk Management for Hedge Funds: Introduction and Overview. Financial Analysts Journal, 57(6), 16–33. DOI: https://doi.org/10.2469/faj.v57.n6.2490
Maestri, C. O. N. M., & Malaquias, R. F. (2018). Aspects of manager, portfolio allocation, and fund performance in Brazil. Revista Contabilidade e Finanças, 29(76), 82–96. DOI: https://doi.org/10.1590/1808-057x201804590
Matos, P., Penna, C., & Silva, A. (2015). Mutual Investments Funds in Shares in Brazil: Incentives, Management and Convergence. Brazilian Business Review, 12(2), 110–141. DOI: https://doi.org/10.15728/bbr.2015.12.2.6
Moreira, P. O., Tavares, V. B., & Malaquias, R. F. (2017). Performance e Foco do Gestor em Fundos Multimercados. RACE - Revista de Administração, Contabilidade e Economia, 16(2), 633. DOI: https://doi.org/10.18593/race.v16i2.12250
Nanda, V., Narayanan, M. P., & Warther, V. (2000). Liquidity, investment ability, and mutual fund structure. Journal of Financial Economics, 57(3), 417–443. DOI: https://doi.org/10.1016/S0304-405X(00)00063-5
Pollet, J. M., & Wilson, M. (2008). How Does Size Affect Mutual Fund Behavior? The Journal of Finance, 63(6), 2941–2969. DOI: https://doi.org/10.1111/j.1540-6261.2008.01417.x
Roquete, R. M., Maranho, F. S., Klötzle, M. C., & Pinto, A. C. F. (2016). O problema de agência aplicado aos fundos de investimento multimercados. Revista de Finanças Aplicadas, 7(1), p. 1-21.
Sanematsu, F. C. (2013). Remuneração dos gestores, público alvo e conflitos de interesse em fundos de ações no Brasil. Economia Aplicada, 17(3), 267–298. DOI: https://doi.org/10.1590/S1413-80502013000300003
Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. The Journal of Finance, 53(5), 1589–1622. DOI: https://doi.org/10.1111/0022-1082.00066
Spiegel, M., & Zhang, H. (2013). Mutual fund risk and market share-adjusted fund flows. Journal of Financial Economics, 108(2), 506–528. DOI: https://doi.org/10.1016/j.jfineco.2012.05.018
Tizziani, E., Klotzle, M. C., Jr, W. L. N., & Motta, L. F. (2010). O Efeito Disposição na Indústria Brasileira de Fundos de Investimento em Ações. Revista Brasileira de Finanças, 8(4), p. 383-416.
Varga, G. (2001). Índice de sharpe e outros indicadores de performance aplicados a fundos de ações brasileiros. Revista de Administração Contemporânea, 5(3), 215–245. DOI: https://doi.org/10.1590/S1415-65552001000300011
Varga, G., & Wengert, M. (2011). A indústria de fundos de investimentos no Brasil. Revista de Economia e Administração, 10(1). DOI: https://doi.org/10.11132/rea.2010.361
Wilner, A. (2000). Conflitos de interesses entre investidor e administrador de fundos: Evidências e mecanismos de controle no Brasil. Dissertação de Mestrado, FGV – Fundação Getúlio Vargas.
Wu, Y., Wermers, R., & Zechner, J. (2016). Managerial Rents vs. Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds. Center for Financial Studies. SSR. DOI: http://dx.doi.org/10.2139/ssrn.2858912
Yoshinaga, C., & F., H. C. (2009). Análise de Estilo em Fundos Multimercados com e sem Alavancagem. Revista Eletrônica de Gestão.
Downloads
Published
Issue
Section
License
Copyright (c) 2021 Revista de Contabilidade e Organizações
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
The RCO adopts the Free Open Access policy, under the standard Creative Commons agreement (CC BY-NC-ND 4.0). The agreement provides that:
- Submission of text authorizes its publication and implies commitment that the same material is not being submitted to another journal. The original is considered definitive.
- Authors retain the copyright and grant the journal the right of first publication, with the work simultaneously licensed under the Creative Commons Attribution License which allows the sharing of the work with acknowledgment of authorship and initial publication in this journal.
- Authors are authorized to take additional contracts separately, for non-exclusive distribution of the version of the work published in this journal (e.g. publish in an institutional repository or as a book chapter), with necessary recognition of authorship and initial publication in this journal.
- Authors are allowed and encouraged to publish and distribute their work online (e.g. in institutional repositories or on their personal page) before or during the editorial process, as this can generate productive changes as well as increase the impact and citation of published work (See The Effect of Free Access).
- The journal does not pay copyright to the authors of the published texts.
- The journal's copyright holder, except those already agreed in the Free Open Access Agreement (CC BY-NC-ND 4.0), is the Accounting Department of the Faculty of Economics, Administration and Accounting of Ribeirão Preto of the University of São Paulo.
No submission or publication fees are charged.
Up to 4 authors per article are accepted. Exceptionally duly justified cases may be reviewed by the Executive Committee of the RCO. Exceptional cases are considered as: multi-institutional projects; manuscripts resulting from the collaboration of research groups; or involving large teams for evidence collection, construction of primary data, and comparative experiments.
It is recommended that the authorship be ordered by contribution of each of the individuals listed as authors, especially in the design and planning of the research project, in obtaining or analyzing and interpreting data, and writing. Authors must declare the actual contributions of each author, filling the letter to the editor, at the beginning of the submission, taking responsibility for the information given.
Authors are allowed to change throughout the evaluation process and prior to the publication of the manuscript. The Authors should indicate the composition and final order of authorship in the document signed by all those involved when accepted for publication. If the composition and authoring order is different than previously reported in the system, all previously listed authors should be in agreement.
In the case of identification of authorship without merit or contribution (ghost, guest or gift authorship), the RCO follows the procedure recommended by COPE.
