Como o grau de atividade dos gestores explica a performance dos fundos: um estudo com fundos de investimento em ações com gestão ativa no Brasil

Abstract

Traditional investment theories start from the premise of the competitiveness of the capital market and the rational behavior of economic agents, based on the absence of informational asymmetry. However, the investment decision-making process of the individual investor is often permeated by behaviors where rationality is limited, using heuristics that lead to behavioral biases, which influences financial decisions, as discussed in Academy. This literature has motivated a large set of researches that seek to evaluate the effect of investment decisions on the returns obtained in the capital market. Motivated by this literature and focusing on the sophisticated investment segment, this research aims to evaluate how much of investment funds' performance can be explained by the active allocation of resources. To do so, it analyses a sample of 78 stock investment funds from February 2005 to April 2016. The method employed is regression analysis with panel data, using fixed effects, with standard errors corrected according to Driscoll and Kray (1998) and Prais and Winsten (1954), due to the temporal dependence of the panel in order to identify the determinants of funds' returns, besides understanding the role of these factors in funds' active management. Furthermore, it isalso used an analysis of the funds through the Exame Guide criteria to better understand the relationship between active management and the portfolios' returns. The results indicate that the level of active management can explain funds' performance, once managers acted actively in 51.3% of the times, which corroborates the econometric results and the consistency analysis. The results indicate that only 50.26% of the funds were actively managed. When considering Jensen's alpha as the measure for performance, one can see around 49.86% of the funds were above their benchmark, while when considering the Sharpe index, the proportion is a bit higher than 45%. With these results, a null hypothesis of the study was rejected, since there are evidences that high stock-picking lead to better returns to the funds' portfolios, highlighting that resources' active allocation is able to generate superior returns to investment funds.