A rentabilidade dos fundos de investimento tem relação com suas taxas de administração?:um estudo com fundos de renda fixa duração baixa soberano de 2006 a 2020

Abstract

This article has the purpose to investigate if the profitability of investment fund shares, classified as public fixed income of low duration, is related to its administrative fees. The identification of these elements may help investors on their decisions related to resource input and asset transfer with the intention of profitability, and might also help funds administrators, considering that understanding the elements that impact their fund results can support resource allocation decisions. Data was collected from 105 funds, from 2006 to 2020, being the net profitability the dependent variable of the study, calculated by the variation of the share in an yearly basis, and the administration fee, as the independent variable, collected according to information released by the investment funds administrators. The control variables utilized were the fund age, liquid equity, proxy variable for fund size, net fund raising and temporal dummies. Data were analyzed using an unbalanced short panel, in a random-effects model. In this study, the administration fee presented a negative coefficient in relation to profitability of investment fund shares, indicating that the funds that charge less present higher results. Other variables that were statistically significant were the fund age, with a negative coefficient, and fund size, with a positive coefficient. In this sense, one might indicate that funds that are newer, larger and with lower administrative fees, in this category, present better results in the variation of their shares