Data · dataset · 2017
Aspects of manager, portfolio allocation, and fund performance in Brazil
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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.
Description
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.
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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.
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Where it is published
- Repository landing page scielo.figshare.com/articles/dataset/Aspects_of_manager_portfolio_allocation_and_f… ↗
landing page · from DataCite
- DOI doi.org/10.6084/m9.figshare.5696008 ↗
DOI / persistent id · from DataCite
Documentation and papers
- Creative Commons Attribution 4.0 International creativecommons.org/licenses/by/4.0/legalcode ↗
license · from DataCite
- IsSupplementTo 10.1590/1808-057x201804590 doi.org/10.1590/1808-057x201804590 ↗
publication · from DataCite
Catalogue records · 2
- DataCite API api.datacite.org/dois/10.6084/m9.figshare.5696008 ↗
metadata API · from DataCite
- DataCite Commons commons.datacite.org/doi.org/10.6084/m9.figshare.5696008 ↗
catalogue entry · from DataCite
Topics
- Stated by source
- Economics and business
- Inferred from text
- Banking, finance and investment 72%
Related
- Inverse of same asAspects of manager, portfolio allocation, and fund performance in Brazil
Provenance · 1 source records, 10 field assertions
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|---|---|---|---|
| DataCite | 10.6084/m9.figshare.5696008 | 14 d ago | JSON v1 |
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