Portfolio turnover and performance of equity investment funds in Brazil

ABSTRACT The purpose of this paper was to analyze the relationships between the portfolio turnover and performance of equity investment funds in Brazil. There are few published studies on the subject, but the previously identified Brazilian studies that have examined making changes to portfolios have been limited to very restricted data samples and have only worked with an ordinary least squares (OLS) model without taking into account the indications of international studies and economic theory itself of the possible endogeneity of turnover, which would make OLS estimation inadequate. The expressive growth of the fund industry in the Brazilian market shows the relevance of the object of research. Two portfolio turnover metrics were analyzed: one based on changes in the monetary values of the assets and another based on changing the weights of the assets in the portfolio. The estimations were performed for fixed effects panel data and then for a two-stage least squares model, using instrumental variables. The funds that make up the sample are those classified as “free shares” in the period from January of 2012 to January of 2018. The results showed that there is a positive relationship between the portfolio turnover and performance of the equity investment funds, showing that managers have been able to take advantage of moments of mispricing in the market and that they carry out more trades in search of higher returns. This research extends the results in the literature as it shows that there is a positive relationship between the turnover and performance of equity investment funds that is independent of the way turnover or performance are measured, which has shown inconclusive results in previous studies. Furthermore, it presents evidence for a more representative and current sample in an emerging market.

摘要 本文旨在分析巴西股票型投资基金的投资组合换手率（portfolio turnover）与业绩之间的关联。目前针对该主题的已发表研究较为匮乏，且现有巴西本土相关研究均存在样本受限的问题，同时仅采用普通最小二乘法（ordinary least squares, OLS）模型进行分析，未考虑国际研究及经济理论所指出的换手率潜在内生性问题——该问题会导致OLS估计失效。巴西市场基金行业的显著增长凸显了本研究对象的重要性。本文分析了两类投资组合换手率指标：一类基于资产货币价值的变动，另一类基于基金组合中资产权重的调整。实证估计首先采用固定效应面板数据（fixed effects panel data）模型，随后使用工具变量（instrumental variables）构建两阶段最小二乘模型（two-stage least squares model）。研究样本为2012年1月至2018年1月期间归类为“自由股票型（free shares）”的基金。研究结果表明，股票型投资基金的投资组合换手率与业绩呈正相关关系，这说明基金经理能够利用市场中的定价错误（mispricing）机会，并通过更多交易操作来追求更高收益。本研究拓展了现有文献的结论：过往研究在换手率与业绩的关联上尚未形成一致结论，而本文证明二者的正相关关系不受换手率或业绩的度量方式影响；此外，本研究基于新兴市场（emerging market）中更具代表性和时效性的样本提供了实证证据。