Análise do desempenho dos fundos de investimento do setor público no Brasil

Abstract

Beyond the differences in management and determinants of investment funds, which affects its results in various forms, performance can also be affected on the basis of its clients, that is to say, if funds will be offered to retail or institutional investors. However, further to the investors definitions brought by the CVM on the 554 ruling, whom defines investors as professional, qualified, and retail investors, there are also investors which are represented by public entities and when it involves the public sector acting as investor, there is no clear regulation yet. In this instance, the research aimed on analyzing the performance and the features of the investment funds of the public sector in Brazil and compare them with the funds which are offered to other types of investors. The period selected for the study was from October 2015 to October 2018. The category of fixed income funds analyzed were: Fixed Income Short Sovereign, Fixed Income Free Duration Sovereign and Fixed Income Short Duration Investment Grade. Once collected the funds information, the sample was reorganized in three subsamples: public sector funds, institutional funds and retail funds. This reorganization matches the clients with which the funds are destined. In order to reach the work goal, the performance of three different groups of investors were analyzed through Jensen alpha, with two regressions for each sample fund, taking the net and gross return into account, in order to verify cost effect on performance. Thereafter, the Jensen alphas were utilized as dependent variants to analyze the relation between performance and management fees, net flow, shareholders quantity and size for each type of investor. The performance analysis, through the return verification and alfas analysis revealed that there is a difference on the performance between three different types of funds. Additionally, it was shown that the public-sector funds presented worse results when compared to other types of investors. In the analysis between the performance and the funds features it was observed that the management fee variant was negative and statistically meaningful in all types of funds, with public sector funds presenting the most significant values, by believing that these investors likewise the retail investors do not have a high control of the investment selection criteria. In relation to the net flow, the variant was only significant for the retail investment funds. In the size variant analysis, the net equity was meaningful and positive for the institutional funds and negative for the public sector funds suggesting that on this case the size impacts negatively the performance of this funds, on account of larger equity generating net issues.