[pt] Esse artigo investiga a participação de fundos filiados a conglomerados financeiros na indústria brasileira. Usando dados de 2002 a 2016, mostramos que fundos filiados a bancos apresentam retornos, entre 1.96 por cento-2.30 por cento ao ano, inferior a fundos independentes. Além disso, mostramos que gestores de fundos filiados a bancos têm menos incentivos a tomar risco no mercado do que gestores de fundos independentes. Consistente com os incentivos enfrentados, mostramos que fundos filiados a bancos mudam menos de posição, tentam menos antecipar movimentos de mercado e têm portfólios mais parecidos com o mercado do que fundos independentes. Finalmente, mostramos que as diferenças na tomada de risco pode estar associada a 7.68 por cento-29.6 por cento da diferença de performance entre fundos filiados à bancos e independentes. / [en] This paper investigates financial conglomerates participation in the Brazilian equity mutual fund industry. Using data from 2002 to 2016, we show that bank-affiliated funds underperform funds managed by stand-alone entities by 1.96 percent-2.30 percent per year. Moreover, we find that bank-affiliated fund managers have less incentives to take risk than independent funds. Consistent with incentives, we show that bank-affiliated funds trade less often, try less to time the market and have portfolios more similar to the market s than independent funds. Finally, we show that differences in risk taking can be associated to 7.68-29.6 percent of the performance difference between bank-affiliated and independent funds.

Submitted by Gustavo Gazaneo (guslisandro@uol.com.br) on 2010-05-07T18:16:17Z No. of bitstreams: 1 Tese Gustavo Gazaneo Final.pdf: 287923 bytes, checksum: 6602f92108a7ad4f9cfd0ec68fec5dd3 (MD5) / Approved for entry into archive by Gisele Gammaro(gisele.gammaro@fgv.br) on 2010-05-14T19:13:32Z (GMT) No. of bitstreams: 1 Tese Gustavo Gazaneo Final.pdf: 287923 bytes, checksum: 6602f92108a7ad4f9cfd0ec68fec5dd3 (MD5) / Made available in DSpace on 2010-05-14T19:23:50Z (GMT). No. of bitstreams: 1 Tese Gustavo Gazaneo Final.pdf: 287923 bytes, checksum: 6602f92108a7ad4f9cfd0ec68fec5dd3 (MD5) Previous issue date: 2006-07-31 / Using the international literature on mutual funds, the present study search to find some characteristics that influence the performance of the equity mutual funds in Brazil from January of 1999 to April of 2005. The main subject of the work is to notice that the equity mutual funds have decreasing return of scale. At the same time, the persistence of a good profitability depends on the degree of the managers' professionalism and also of a good relationship between the responsible manager and the investor, and a great contract betw een both. It was observed, through a regression using panel data, that the volume doesn't have negative influence in the return of the funds, on the contrary, as larger is the fund, better is the profitabil ity of the same. It was also observed that the funds that pay performance incentive to their managers have a better acting than the others. It was identified also that the equity mutual funds that use high water marks as a remuneration incentive to the managers, has profitability than the funds that pay performance, but they don't use the high water marks in the own regulation. It was found that there is a straight relationship between incentive and performance. The results at this study may be used to facilitate the knowledge and the new decisions of researchers, investors, company managers, Brokers and Dealers, pension funds and others interested parties in the industry of investment funds in Brazil. / Tendo como base a literatura internacional sobre fundos mútuos, o presente estudo busca encontrar algumas características que influenciam a performance dos fundos de investimentos em ações no Brasil de janeiro de 1999 até abril de 2005. O objetivo principal do trabalho é perceber se os fundos de investimento em ações têm retorno decrescente de escala. Ao mesmo tempo, sabe-se que a persistência de uma boa rentabilidade depende do grau de profissionalismo dos gestores e também de uma boa relação entre o gestor responsável e o investidor e, um contrato ótimo entre ambos. Observou-se que o volume não tem influência negativa no retorno do fundo, pelo contrário, quanto maior o fundo melhor é a rentabilidade do mesmo. Os resultados também apresentaram que os fundos que cobram taxa de performance têm um desempenho melhor do que os que não cobram. Foi identificado também que os fundos que utilizam a marca d água como incentivo de remuneração aos gestores têm rentabilidade um pouco maior do que os fundos que pagam taxa de performance, mas não utilizam a marca d água no regulamento. Chegou-se a conclusão que há uma relação direta entre incentivo e desempenho. Os resultados aqui encontrados buscam facilitar o conhecimento e a tomada de decisão de pesquisadores, investidores, empresas gestoras, Corretoras e Distribuidoras, fundos de pensão e dos demais interessados na indústria de fundos de investimento em ações no Brasil.

The theme of this thesis is comparison of mutual funds from international perspective.The funds compared are situated in countries of the European Union and the United States of America. The funds of the EU are situated in these countries: Germany, France, Great Britain, and the Czech Republic. The comparison was done in five-year term, and three-year term. To compare the funds, the theory of modern portfolio was applied. The funds were compared on basis of returns, risk and risk-to return.

Depositary in collective investment scheme Abstract This master thesis deals with collective investment scheme with the main focus on role and duties of depositary. The basic concepts of financial market and collective investment are briefly presented. Furthermore, the historical development of collective investment in the world and the Czech Republic is outlined. The master thesis analyzes and classifies types of mutual funds in terms of both European and national legislation. Furthemore the scheme of collective investment, its elements and relations between them are described. The master thesis itroduce legal entities that may be appointed as depositaries, more closely analyzes depositary's duties, conditions for the delegation of the depositary's duties to a third party and depositary's liability. Another entities providing protection of investors are presented.

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).

>Magister Scientiae - MSc / Motivated by the growing attraction of the mutual fund industries across the world, this research seeks to explore the economic benefits contributed by the South African equity unit trust managers over the period from 1 January 2002 to 2 September 2012. The performance is examined over two sub-periods and the overall examination period, where the first sub-period captures the performance of the unit trusts before the 2007/2008 global financial crisis and the second sub-period captures the devastation in performance of the unit trusts after the crisis. Active fund managers are usually presumed to possess superior abilities in asset allocation, security selection and market timing that assist them to consistently generate abnormal returns on a risk-adjusted basis. This research attempts to test this claim by making a distinction in performance attribution between returns generated as a result of managerial skills and those generated as a result of random chance. The study emerges by first examining the risk-adjusted performance of the South African unit trust managers against the performance of a broad market index proxied by FTSE/JSE All Share Index (ALSI). Six different risk-adjusted performance measures are employed for this purpose. Regardless of the different applications of risk parameters employed by each performance measure, the results reveal that on average, most of the South African unit trust managers do not outperform the market on a consistent basis. The majority of the unit trust managers show good performance during the first sub-period, with subsequent inferiority in performance during the second sub-period. The study further examines the performance of the South African unit trust managers relative to the pre-specified sector benchmarks constructed by following a set of performance attribution techniques proposed by Yu (2008) and Hsieh (2010). The objective of this test is to determine whether the equity unit trust managers are able to create value through their security selection skill in addition to their asset allocation decisions. Consistent with international evidence, the results reveal that returns generated by South African unit trusts are driven mainly by asset allocation activities and stock picking of asset managers do not add significant value. In addition, test results also indicate that South African equity unit trust managers are not good at managing risk as the majority of the unit trusts exhibit higher standard deviation compared to their benchmarks. Furthermore, the study examines the economic value contribution of the South African equity unit trust managers through their market timing activities. In particular, the study attempts to determine whether or not unit trust managers possess the ability to correctly anticipate future market movements. To achieve this, two market timing performance models developed by Treynor-Mazuy (1966) and Henrikson-Merton (1981) are employed. The results reveal that, regardless of the changes in market conditions, South African equity unit trust mangers delivered significantly inferior timing performance in both sub-periods and the overall examination periods that actually destroyed fund values. The paper concludes by stating that investors are better off by investing in cost-effective passive investment vehicles such as exchange traded funds (ETF's).

Market efficiency, based on people acting rationally, has been the dominating finance theory for most of the 20th and 21st Century’s. This classical finance theory is based on assumptions that people are rational, they absorb all available information and maximise utility. This view is outdated; it has been shown that people are in fact irrational and that this could be the cause of anomalies in the market. Behavioural finance takes into account people, and their natural biases. Behavioural finance has integrated classical financial theories and psychological theories to illustrate the way in which irrational people can impact market efficiency. This research looks at the way collective investment scheme manager decision-making can impact market efficiency. Specifically the behavioural biases: overconfidence, over optimism, loss aversion and frame dependence and whether or not collective investment scheme performance is affected by these. This research was carried out using a questionnaire distributed directly to CIS managers and risk-adjusted returns were used in order to allow for comparative results. The results from the questionnaire show evidence that actively managing South African CIS managers do indeed suffer from overconfidence and loss aversion and they do not appear to suffer from frame dependence or over optimism in this research context. There was also evidence showing that managers who suffer from these biases also demonstrated lower investment returns. “The investor’s chief problem, and even his worst enemy, is likely to be himself.” - Benjamin Graham

The thesis compares the performance of Czech equity mutual funds, focusing on less common indicators and performance assessment methods. This means mainly a modern ratios that takes into account both of yield and risk of the investment. The introductory theoretical part deals with the basic characteristics, legislation, typology and histoty of the funds in the Czech Republic since the early years of its existence to the present. Selected indicators for assessing performance of funds (Sharpe, Treynor, Calmar Ratios, Jensen alpha, Information Ratio and Maximum Drawdown) and also comparison funds with benchmark is applied in the analytical part. The thesis highlights the problems with the interpretation of ratios in the case of falling markets, and also proposes solutions to these problems.

This work concerns the problems of the schemes of Czech collective investment. The aim of this diploma work is to compare two established groups of selected mutual funds in terms of their performance, and taking into account the risk and expenses or fee intensity of these funds. The first part of the diploma work describes the nature of the collective investment in the Czech Republic, its development and current status of this sector. The second part describes the basic methods and indicators of measuring the funds performance. The last section is directly focused on the analysis of the selected groups' efficiency of mutual funds. The first group concentrates on the maximum return on investment whereas the second one focuses on their safety. This work gives a better understanding of the collective investment market and helps the investor to select the appropriate mutual fund.