Determinantes do desempenho dos fundos de investimento em ações: análise das características dos fundos, gestores e estruturas organizacionais

Abstract

This study provides an examination of the effect of funds and fund managers characteristics on their risk-adjusted performance (measured by the Jensen's Alpha) by analyzing a set of attributes, over three years (from 2016 until 2018), more than 300 Brazilian equity funds and 78 management teams in an effort to link the fund risk-adjusted performance to management team and fund characteristics. This study demonstrate that the relationships between risk-adjusted performance and the explanatory variables studied in previous research, especially in the US, are also maintained in the Brazilian market. Using a logit model with panel data and controlling for survivorship bias, the most significant findings indicate that fund characteristics such as size and equity exposure are positive for fund performance, while older funds tend to deliver lower results. On the characteristics of management teams, a higher proportion of CFA professionals and a greater diversity of experience among members are positive for performance.