Aspects of manager, portfolio allocation, and fund performance in Brazil

ABSTRACT This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds.

摘要 本文从基金管理人视角出发，剖析巴西多市场基金的业绩表现，以期为新兴市场投资基金领域的研究文献贡献新的研究成果。本文的研究目标在于分析投资基金管理人的若干特质，及其投资组合持仓结构，是否会对基金业绩产生影响。在新兴市场国家中，资产配置策略与管理人特质均可为基金业绩的差异提供合理解释，这进一步凸显了本研究的学术价值。因此，本研究的核心贡献在于，揭示了经风险调整后的收益与基金资产配置于固定收益、浮动收益资产的比例之间存在显著关联——这一关联在新兴经济体的研究语境中尚未得到充分探索。本研究共分析了6002只多市场基金，覆盖2009年9月至2015年12月的时间区间，采用面板数据模型，并以基金为聚类簇计算稳健标准误。此外，为评估异常值可能引发的潜在偏误，本文通过分析估计模型的崩溃点，运用稳健统计方法开展相关检验。值得注意的是，投资组合构成（即资产配置于浮动收益与固定收益资产的比例）是解释巴西多市场基金业绩潜在变动的最关键因素。同样具有显著影响的还有基金的管理效率：具体而言，经验相对不足的管理人、配置更多固定收益资产的基金、管理资产规模更大的管理人，以及规模更大的基金，均实现了更优异的经风险调整后收益。