Made available in DSpace on 2016-06-24T04:11:33Z (GMT). No. of bitstreams: 1 Wendell Feitosa Castro.pdf: 1220597 bytes, checksum: 338b2a30a09cfcc125df0c4d300a0bdf (MD5) Previous issue date: 2014-11-20 / This paper analyzes if the performance achieved by mutual funds that charge performance fees as a component of compensation for services rendered (mixed) is greater than the return filed by mutual funds that charge only management fee (simple). The methodology used to compare mixed and simple funds was the matching developed by Abadie and Imbens (2006), where each fund mixed is confronted with another simple fund on one or more similar characteristics. The database includes existing investment funds data in the years 2005-2012 from Brazilian Security and Exchange Comission classes Shares. Finally, we observe that in Brazil funds that charge the performance fee showed results significantly above those funds only charging the administration fee, so the payment of incentive for higher performance is reflected in benefits to investors. / Neste trabalho é analisado se o desempenho obtido pelos fundos de investimento que cobram taxa de performance como um dos componentes de remuneração pelos serviços prestados (mistos) é superior ao retorno apresentado pelos fundos de investimento que cobram apenas taxa de administração (simples). Para a comparação foi utilizada a metodologia de matching apresentada por Abadie e Imbens (2006), onde cada fundo do tipo misto é confrontado com outro do tipo simples para uma ou mais características semelhantes. A base de dados contempla dados de fundos de investimentos existentes nos anos de 2005 a 2012 da classe da Comissão de Valores Mobiliários Ações. Por fim, observa-se que fundos que possuem em sua composição a taxa de performance apresentaram no Brasil resultados significativamente acima daqueles de fundos apenas com cobrança de taxa de administração, ou seja, o pagamento de incentivo pelo desempenho superior reflete-se em benefícios aos investidores.

The thesis deals with market for collective investments in the Czech Republic, the principles of mutual funds business, legal coverage and performance. Specifics of collective investments in the Czech Republic and legislation are clarified in the first part. In the second part the basic methods of evaluating the mutual funds performance are described. The second chapter includes the presentation of Pioneer Investments, of which mutual funds are subject of performance analysis. The practical part is focused on the analysis of selected, previously characterized, mutual funds managed by Pioneer Investments. These funds are compared with performance of other competitive funds on the market.

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2018-01-24T21:21:42Z No. of bitstreams: 2 OT??VIO ULISSES DE ARAUJO SANT???ANNA.pdf: 846230 bytes, checksum: 0957b14111500cc9a380bb419acae8ae (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2018-01-24T21:21:42Z (GMT). No. of bitstreams: 2 OT??VIO ULISSES DE ARAUJO SANT???ANNA.pdf: 846230 bytes, checksum: 0957b14111500cc9a380bb419acae8ae (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2014-07-24 / This study analyzes the performance of the Brazilian hedge fund investment after Subprime Crisis. Evaluates if the different management strategies hedge funds manage to overcome the benchmark, considering the new classification established by ANBIMA in May 2009. The categories were classified as Long & Short Directional Long & Short Neutral, Multigestor Macro, Multiestrat??gia, Interest and Currencies, Trading, Strategy specifies, Balanced and Protected Capital, in order to adapt in a better way the different strategies and risk profile of each hedge fund the profiles of investors. It was considered in the study only non exclusive hedge funds that had quotas from May 2009 to December 2013. The funds performance was analyzed using indicators such as the average return, volatility, Sharpe ratio and Jensen???s Alpha, in order to assess whether hedge funds are able to get a significant risk adjusted return compared to the CDI rate. Moreover, hypothesis tests were applied to verify if the average return of hedge funds is equivalent to CDI. Data analysis found evidence that only certain categories of hedge funds outperformed the benchmark during the period analyzed, such as Long & Short Directional Long & Short Neutral, Multigestor, macro, multi-strategy and Interest and Currency categories. The return was higher than CDI with acceptable volatility, presenting Sharpe Ratios and Jensen's Alpha positive, further were efficient in overcoming the CDI in relation to the risk assumed in each of their respective management strategies. Concerning to hypothesis testing, it was not rejected the hypothesis that the average returns of hedge funds are statistically equal to the CDI. Only Capital Protected category got a statistically different mean return of CDI in the analyzed period. This study is usefull as a tool for market analysis and reflection on the management strategies of hedge funds and as an investment guide for the general public, helping to identify the best strategies for active management, as well as hedge funds with better performance. / Este estudo analisa o desempenho dos fundos de investimento multimercados brasileiros ap??s a crise do mercado imobili??rio americano, conhecida como a Crise do Subprime. Avaliase as diferentes estrat??gias de gest??ode fundos multimercado conseguem superar o benchmark, considerando a nova classifica????o institu??da pela ANBIMA em Maio de 2009. As dez categorias foram classificadas como Long & Short Direcional, Long & Short Neutro, Multigestor, Macro, Multiestrategia, Juros e Moedas, Trading, Estrat??gia Especifica, Balanceados e Capital Protegido, visando adequar de uma melhor forma as diferentes estrat??gias e o perfil de risco de cada fundo multimercado aos perfis dos investidores. Considerou-se na amostra do estudo apenas os fundos multimercados n??o exclusivos que apresentaram cotas de Maio de 2009 a Dezembro de 2013. O desempenho dos fundos foi analisado utilizando indicadores, como o retorno m??dio, a volatilidade, o ??ndice de Sharpe e o Alfa de Jensen, deforma a avaliar se os fundos mulimercados conseguem obter um retorno ajustado ao risco significante, em compara????o com a taxa do CDI. Al??m disso, foram aplicados testes de hip??tese, para verificar em que medida a m??dia de retorno dos fundos multimercados se equivale ao CDI.A an??lise de dados encontrou evid??ncias de que apenas algumas categorias de fundos multimercados superaram o benchmark no per??odo analisado, tais como as categorias Long & Short Direcional, Long & Short Neutro, Multigestor, Macro, Multiestrategia e Juros e Moedas. Obtiveram um retorno acima do CDI com volatilidade aceit??vel, apresentando ??ndices de Sharpe e Alfa de Jensen positivos, ou seja, foram eficientes na supera????o do CDI em rela????o ao risco assumido em cada uma das suas respectivas estrat??gias de gest??o. Em rela????o aos testes de hip??tese, n??o foi poss??vel rejeitar a hip??tese de que a m??dia dos retornos dos fundos multimercados s??o estatisticamente iguais ao CDI. Apenas a categoria Capital Protegido apresentou m??dia de retorno estatisticamente diferente do CDI no per??odo analisado. Este trabalho serve ao mercado como uma ferramenta de an??lise e reflex??o sobre as estrat??gias de gest??o de fundos multimercados e como um guia de investimentos para o p??blico em geral, contribuindo para identificaras melhores estrat??gias de gest??o ativa, bem como os fundos multimercados com melhor desempenho.

O presente trabalho teve como objetivo principal identificar quais os fatores determinantes que afetam o desempenho dos Fundos de Previdência Renda Fixa na indústria brasileira de fundos, no período de janeiro 2005 a dezembro de 2011. A pesquisa em Fundos de Previdência aberta justifica-se na categoria Renda Fixa, pelos poucos estudos publicados, pelo crescimento contínuo da indústria de previdência aberta ao longo dos anos e pela ampliação das discussões sobre análise de desempenho e estilo de gestão nos fundos de Previdência Renda Fixa. A metodologia adotada identificou diferenças estatísticas significantes entre o desempenho dos fundos de Previdência Renda Fixa e os Fundos de Renda Fixa tradicionais, medidos nesse trabalho por meio de indicadores de desempenho e análise de estilo de gestão. A avaliação do desempenho dos fundos foi realizada por meio da aplicação de modelos quantitativos clássicos: Índice de Sharpe (1966) e Índice de Modigliani (1997). Posteriormente, para determinar os fatores de risco das carteiras dos fundos, foi utilizado o modelo proposto por Sharpe (1992), que ficou conhecido como Análise de Estilo Baseada no Retorno. Os resultados obtidos demonstram que os fundos de Previdência no período tiveram seus retornos abaixo dos retornos dos fundos de Renda fixa. A análise de estilo mostrou que os fundos de Previdência não concentram seus ativos vinculados à inflação, concentram-se mais em ativos financeiros atrelados à taxa de juros Selic. O desempenho dos Fundos de Previdência Renda Fixa indicou que, em todo o período estudado, os retornos dos fundos ficaram abaixo da taxa livre de risco, representada nesta pesquisa por 96% da taxa Selic. Revelou ainda que os fundos de previdência no período tiveram seus retornos abaixo dos retornos dos fundos de Renda Fixa. Foi realizado um estudo complementar sobre taxa de administração. Para os fundos de Renda Fixa, as taxas de administração foram reduzidas, no período, em média, para menos de 50%, enquanto os fundos de Previdência tiveram no mesmo período uma queda em torno de 20%. O retorno médio mensal dos fundos de Previdência que ficaram abaixo dos retornos dos fundos de Renda Fixa pode ser explicado, em parte, pela maior taxa de administração praticada. / This paper analyzes the performance of investment funds in Brazil, that are classified in the category of Pensions Provision Funds - Fixed Income Strategy (PPF-FIS), during the period of January 2005 to December 2011. There is scarce literature on this sub-field in Brazil, and the importance of this research is related to growing importance of PPF-FIS over the last years, and also to be a pioneer study in the analysis of performance and management style of them. The adopted methodology identified significant differences between the performance of traditional Fixed Income Funds and those PPF-FIS by means of performance indicators, and management style. Performance evaluation was done through the application of standard classical models like the Sharpe Ratio Index (1966), Modigliani Index (1997), and Return Based Style. The results showed that average returns of the PPF-FIS were below the average returns of traditional Fixed Income Funds. The style analysis of PPF-FIS´s portfolios showed them not concentrated on assets linked to inflation, but mostly to financial assets linked to the Selic Rate. The performance throughout the period was below the risk-free rate (measured as 96% of the Selic Rate), and in summary, the results show that PPF-FIS performed below the traditional Fixed Income Funds in terms of return. Other important achievement is related to administration fees that were reduced during the period by 50% in traditional Fixed Income Funds and by 20% in PPF-FIS. Higher administration fees are closely related to the poor performance of PPF-FIS compared to the traditional Fixed Income funds.

O objetivo central do presente trabalho é calcular os índices de desempenho dos fundos de ações no mercado brasileiro e determinar qual a probabilidade de que um fundo, que vinha apresentando bom desempenho em relação a seus pares, consiga manter esta posição no período seguinte. Como objetivos específicos buscou-se investigar quais índices de desempenho estão mais associados à expectativa de boa performance, se os gestores de fundos de ações no Brasil apresentam habilidade de se antecipar aos movimentos de alta e baixa na Bolsa de Valores e se estes gestores apresentam habilidades para selecionar as ações. A principal contribuição do trabalho é desenvolver um modelo para análise de fundos de investimento em ações no mercado brasileiro que possa ser utilizado pelos investidores, para selecionar os melhores fundos para aplicação de seus recursos. Buscou-se analisar quais métricas de desempenho são melhores para discriminar os fundos com bom desempenho, através da técnica estatística de regressão logística binária, cuja resposta permita estabelecer a probabilidade de ocorrência de fundos com desempenho superior e a importância das variáveis para essa ocorrência. A abordagem é inovadora. A matriz de classificação do modelo revelou um índice de acertos de 81% e as variáveis com significância estatística que entraram na equação, pela ordem de importância, foram: taxa de administração, índice de Treynor, índice de Sharpe generalizado, índice de Modigliani e taxa de performance. Os resultados da mensuração da habilidade de se antecipar ao mercado indicaram que 67,6% dos gestores apresentaram esta característica. A análise da habilidade dos gestores de fundos de ações brasileiros para selecionar as ações revelou que apenas 15% conseguiram obter seletividade positiva. Este resultado está em linha com os de outras pesquisas internacionais, tais como: Fama (1972), Sharpe (1992), Bollen e Busse (2005) e Fama e French (2009). / The main objective of this work is to calculate the performance measurements of equity funds in the market and determine the probability that a fund, which had shown good performance in relation to their peers, can maintain this position in the next period. The specific objectives sought to investigate what levels of performance are more closely associated with the expectations of good performance, if managers of equity funds in Brazil have timing abilities and if these managers have skills to select stocks. The main contribution of this work is to develop a model for the analysis of investment funds in stocks in the Brazilian market, which can be used by investors to select the best funds to invest their resources. Was analyzed what performance metrics are better to discriminate funds with good performance through the statistical technique of binary logistic regression, whose response would establish the likelihood of funds with superior performance and the importance of the variables for this occurrence. The approach is innovative. The classification matrix of the model revealed a hit rate of 81% and statistically significant variables that entered into the equation, in order of importance were: management fee, Treynor ratio, generalized Sharpe ratio, Modigliani ratio and performance fee. The results of measuring timing abilities indicated that 67.6% of managers had this skill. To analyze whether the Brazilian managers of equity funds had skills to select stocks revealed that only 15% of managers were able to obtain positive selectivity. This result is in line with results from other international studies, such as Fama (1972), Sharpe (1992), Bollen and Busse (2005) and Fama and French (2009).

In theory, as a greater share of capital is invested passively rather than actively managed, stock prices will be freer to diverge from fair value, resulting in marginally less efficient equity markets. The effect should be an amplification of managerial skill, which manifests itself in the tails of α distributions. I find evidence that mutual fund α distributions differ increasingly as a function of the share of assets invested in passive vehicles. However, I find no evidence that the “tailedness” of the distributions increases as a function of the share of assets invested passively. This may be a result of the limited sample size, or it may be that higher levels of passive share are required for this effect to materialize.

Corporations may experience lower earnings on assets due to the underinvestment of excess cash. Specifically, leaders of nonfinancial firms hold small amounts of cash in mutual fund investments. The primary benefit to understanding mutual funds is the potential to use them to manage excess corporate cash. Using the efficient market hypothesis as a framework for the study, the purpose of this correlational study was to examine the relationship among mutual fund expenses including 12b-1 fees, sales load at purchase, management fees, total capitalization, and performance. Secondary research databases were used, including the Steele Mutual Fund Expert and the U.S. Securities and Exchange Commission, to create a sample of 96 actively managed mutual funds for the years 2010 to 2014. Multiple regression analysis revealed that 12b-1 fees, sales load at purchase, management fees, and total capitalization were not significant predictors of mutual fund performance. Further, in most years, actively managed mutual funds were not able to outpace the benchmark index. However, a small cluster of successful mutual funds (30) exceeded the performance of the S&P 500 by 5.99%. The implications for positive social change include the potential to devise a strategy to invest excess cash, as additional earnings could offset increasing operational costs and ease shareholder concern. Additionally, legislators could use the results of this study to create regulations to promote stable financial markets.

This thesis consists of three chapters and focuses on the relationship between foreign exchange rates and other areas of Finance. The first chapter is sole-authored and is titled `Foreign Exchange Rate Exposure and Corporate Policies.' The second chapter is coauthored work with Professor Emeritus Paul Weller, Assistant Vice President Chris Neely and Professor David Rapach and is titled `Can Risk Explain the Profitability of Technical Trading in Currency Markets.' The third chapter is titled `Foreign Exchange Movements and Cross-country Fund Allocation Decisions.' In the first chapter, I examine the relationship between foreign exchange rate exposure and corporate policies. Despite the fact that empirical tests estimate foreign exchange rate exposure net of corporate hedging, there are still firms that exhibit significant residual exposures. It is believed that when faced with higher foreign exchange rate exposure, companies are more likely to run into an underinvestment problem. Therefore, in the current study I explore whether foreign exchange rate exposure is reflected in corporate policies beyond hedging. I establish that companies with higher foreign exchange rate exposure tend to hold more cash, have a higher likelihood of accessing capital markets and are less likely to issue dividends. Further, the relationship between foreign exchange rate exposure and these corporate policies is more pronounced for firms for which the underinvestment problem is likely to be more severe, namely firms with higher growth opportunities and firms operating in more competitive industries. Additionally, I find that half of the significant foreign exchange rate exposures in my sample come from firms with only domestic sales. Thus, I believe that foreign exchange rate exposure is relevant not only to the decisions of multinational corporations with international involvement and deserves additional investigation. The second chapter examines the robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a wide range of models: CAPM, quadratic CAPM, C-CAPM, Carhart's 4-factor model, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) factors, volatility and skewness. Although skewness has some modest explanatory power for the observed excess returns, no model can plausibly account for the very strong evidence in favor of the profitability of technical analysis in the foreign exchange market. We conclude that these findings strengthen the case for considering models incorporating cognitive bias and the processes of learning and adaptation, as exemplified in the Adaptive Markets Hypothesis. The third chapter is motivated by the fact that success of investment in international equity markets is a function of the stock picking ability of the manager within the particular foreign market as well as the (un)favorable foreign exchange rate movements against the domestic currency. Therefore, the objective of this paper is to study in more detail the relationship between currency returns and the cross country equity flows of U.S. international equity mutual funds. We are interested whether mutual funds are able to take advantage of beneficial currency movements and more importantly whether they destroy value through inappropriate currency positions. We establish that funds are better at managing contemporaneous changes in currency movements rather than at predicting future changes. We find that 80% of the funds increase their portfolio exposure to a particular currency (by increasing the relevant country allocation) when it has positive returns and decrease the exposure to that currency when it has negative returns. Further, the average fund does not create or destroy significant value through its country allocation decisions. Moreover, mutual fund managers do not have an advantage in predicting certain currencies over others. Most importantly however, it has to be noted that international mutual funds are not eroding value through their currency management even in the case of the most active funds.

Bakgrund: I Sverige har intresset för att investera i hållbara fonder ökat rejält de senaste åren och med detta följer också en stor ökning i utbudet av hållbara fonder. Känt sedan tidigare är också att det råder en definitionsproblematik på ämnet som adderar komplexitet till marknaden, detta då hållbarhet i sig är svårdefinierat. Indikationer visar att det kan råda en skillnad mellan andelen människor som är intresserade av att investera hållbart och de som faktiskt gör det. Syfte: Syftet med studien är att slå fast huruvida det råder ett attitude-behaviour gap på marknaden för hållbara fonder. Vidare ämnar uppsatsen att uppskatta storleken på fondförmögenheten som finns i svenska hållbara fonder, detta för att få en bättre bild av marknaden och dess omfång. Till sist vill uppsatsförfattarna på villkoret att det råder ett attitude-behaviour gap undersöka de faktorer som kan tänkas föranleda det. Genomförande: För att kunna genomföra studien och besvara dess frågeställningar har två kvantitativa samt en kvalitativ metod använts. De kvantitativa delarna har genomförts med dels en enkät för att slå fast huruvida det finns ett attitude-behaviour gap samt databaser med fonddata där syftet har varit att slå fast mängden kapital som finns allokerat till svenska hållbara fonder. Den kvalitativa delen har genomförts med hjälp av semistrukturerade-intervjuer med främst privatpersoner men också en expert på området. Slutsats: Studien har slagit fast att det råder ett attitude-behaviour gap på svenska marknaden för hållbara fonder. Vidare har slutsatsen dragits att det ej går att fastslå mängden kapital placerat i svenska hållbara fonder, detta med motiveringen att definitionsproblematiken och brist på vedertagna tredjepartsmärkningar gör det alltför osäkert. Slutligen har studien kommit fram till en rad olika faktorer som ligger till grund för attitude-behaviour gapet, bland dessa framträder oro kring avkastning, definitionsproblematik, kunskap och information som de mest avgörande. / Background: The interest in sustainable mutual funds and the supply of them has rapidly grown in Sweden during the last years. It is previously known that there is a problem with the definition of what a sustainable mutual fund is, which adds a layer of complexity to the market. Indications shows that there might be a discrepancy between the number of people that are interested in sustainable mutual funds and those who buys them. Purpose: The aim with this study is to determine whether an attitude-behaviour gap exists on the market for sustainable mutual funds. Furthermore, the study intends to estimate the amount of capital invested in the Swedish market for sustainable funds, that is to broader the perspective of the market and its size. Finally, if there is an existing attitude- behaviour gap, the authors want to examine the factors behind the gap. Completion: To be able to carry out the study, both quantitative and qualitative methods have been used. The quantitative parts were made with both a survey to determine whether there is an attitude-behaviour gap and data collection concerning the amount of capital allocated to Swedish sustainable mutual funds. The qualitative part has been carried out with the help of semi-structured interviews with mainly private savers but also an expert in the field. Conclusion: The study has established that there is an attitude-behaviour gap in the Swedish market for sustainable funds. Furthermore, the conclusion has been drawn that it is not possible to determine the amount of capital invested in Swedish sustainable mutual funds, the reason being that the definition problem and the lack of accepted third- party labels make it too uncertain. Finally, the study has come up with several different factors that form the underlying reasons of the attitude behaviour gap, concerns about yield, definition problems, knowledge and information as the most crucial.

Abstract not available