Despite the extensive privatization achievements over the last decades, government ownership of publicly traded companies remains pervasive around the world. Consistent with past evidence of ...structural change in the beta coefficient during financial crises, the more recent economic recession of 2014 to 2016 in Brazil presents an opportunity to demonstrate the disadvantages of allocating investment in companies that are publicly traded, but are controlled by the government. Constructing a portfolio of publicly traded State Owned Enterprises, we find that the financial crisis produced a significant increase in risk exposure, results that were much more pronounced when compared with a portfolio of privatized companies. The results also indicate that, in addition to a market factor, the poor performance can be explained by controllership. We believe this study adds to the longstanding debate on whether state-owned firms perform worse than private firms, with higher volatility and lower returns, particularly, during a period of financial crisis.
Abstract The aim of this article was to investigate the causal relationships between economic policy uncertainty, investor sentiment, and the performance of the Brazilian market, while taking into ...account the presence of asymmetries and both short- and long-term cointegration. In market dynamics, it is expected that economic policy uncertainty, investor sentiment, and market performance will show some degree of relationship. In the Brazilian context, the analysis of these three variables has not been carried out, especially considering their assymmetric interrelations and the behavior of the relationships in the short and long term simultaneously. Understanding these relationships is important because it allows agents to know the potential impacts that these variables have on each other, which will facilitate informed decision-making among the involved parties. The results obtained are relevant for investment strategies, as informed investors will direct their decisions towards minimizing their exposure to market fluctuation, based on identified causal relationships and anticipating potential market movements. Utilizing a nonlinear autoregressive distributed lag model, the study showed that the relationships between investor sentiment, economic policy uncertainty, and stock market performance are more complex than suggested by previous studies applied to the Brazilian market. We identified asymmetric short- and long-term relationships not previously observed.
Resumo O objetivo deste artigo foi investigar as relações causais entre incerteza da política econômica, sentimento do investidor e desempenho do mercado brasileiro, levando em consideração a presença de assimetrias e cointegração de curto e longo prazo. Na dinâmica do mercado, espera-se que a incerteza da política econômica, o sentimento do investidor e o desempenho do mercado apresentem algum grau de relacionamento. No contexto brasileiro, a análise dessas três variáveis não foi realizada, especialmente considerando inter-relações assimétricas e o comportamento das relações no curto e longo prazo simultaneamente. Compreender essas relações é importante porque permite aos agentes conhecer os impactos potenciais que essas variáveis têm entre si, o que facilitará na tomada de decisão informada entre as partes envolvidas. Os resultados obtidos são relevantes para estratégias de investimento, uma vez que investidores informados direcionarão suas decisões para minimizar sua exposição à flutuação do mercado, com base nas relações causais identificadas e antecipando possíveis movimentos de mercado. Utilizando um modelo autorregressivo distribuído não linear, o estudo mostrou que as relações entre o sentimento do investidor, a incerteza da política econômica e o desempenho do mercado de ações são mais complexas do que sugerido por estudos anteriores aplicados ao mercado brasileiro. Identificamos relações assimétricas de curto e longo prazo não observadas anteriormente.
The Brazilian mutual fund industry, despite having a high increase in net worth, is concentrated around a few large administrators. Therefore, it is worth questioning the extent to which this level ...of concentration can affect the performance delivered to the shareholders, as greater concentration implies less competition. In this way, this research aimed to analyze the impact of market competition on the performance persistence of equity mutual funds in Brazil. Using a sample of free portfolio equity investment funds from 2010 to 2019, the main results point to the existence of performance persistence for Brazilian free portfolio equity funds. Furthermore, they pointed out a positive and statistically significant relationship between the level of competition and the performance of funds, as well as in the interaction between competition and performance persistence. Consequently, indicating that, funds with greater performance persistence tend to maintain this persistence even in the face of greater industry competition.
Purpose The aim of the study was to analyze the performance of Black-Litterman (BL) portfolios using a views estimation procedure that simulates investor forecasts based on technical analysis. ...Design/methodology/approach Ibovespa, S&P500, Bitcoin and interbank deposit rate (IDR) indexes were respectively considered proxies for the national, international, cryptocurrency and fixed income stock markets. Forecasts were made out of the sample aiming at incorporating them in the BL model, using several portfolio weighting methods from June 13, 2013 to August 30, 2022. Findings The Sharpe, Treynor and Omega ratios point out that the proposed model, considering only variable return assets, generates portfolios with performances superior to their traditionally calculated counterparts, with emphasis on the risk parity portfolio. Nonetheless, the inclusion of the IDR leads to performance losses, especially in scenarios with lower risk tolerance. And finally, given the impact of turnover, the naive portfolio was also detected as a viable alternative. Practical implications The results obtained can contribute to improve investors practices, specifically by validating both the performance improvement – when including foreign assets and cryptocurrencies –, and the application of the BL model for asset pricing. Originality/value The main contributions of the study are: performance analysis incorporating cryptocurrencies and international assets in an uncertain recent period; the use of a methodology to compute the views simulating the behavior of managers using technical analysis; and comparing the performance of portfolio management strategies based on the BL model, taking into account different levels of risk and uncertainty.
Abstract This article analyzes the influence of industry competition and investor sentiment on the likelihood of change in investment fund management fees in Brazil. Due to the wide variety of ...existing funds, with various characteristics and objectives, there may be significant differences in the fees observed. Thus, it is worth analyzing the factors that influence the amount of fund management fees charged, since the literature highlights that the payment of fees is related to fund performance. Also, it is observed that the Brazilian fund industry, despite having a large number of available funds, is still concentrated in few management firms, which is an indication that there is a low competition level. In practical terms, this investigation may be useful to investors in the fund selection process, since the management fee represents one of the main costs an investor faces when investing in this industry. The results point out the importance of adopting greater transparency in the disclosure of fees by financial institutions, since there are indications that the amounts charged are influenced by the characteristics of funds and investors. The methodology adopted involves Logit/Probit regression models, which had changes in the management fee as an explained variable and, as explanatory variables, the proxies of competition and investor sentiment, in addition to other control variables. It was observed that the investor sentiment proxy was significant in explaining the probability of change in management fees, mainly for setting higher fees. However, no statistical significance was observed for industry competition. This research innovates by analyzing the role of industry competition and investor sentiment on the probability of changing management fees, thus contributing to fill a gap found in the Brazilian national literature.
Resumo Este artigo analisa a influência da concorrência da indústria e do sentimento do investidor sobre a probabilidade de alteração nas taxas de administração dos fundos de investimento no Brasil. Devido à grande variedade de fundos existentes, com características e objetivos diversos, pode haver diferenças significativas nas taxas observadas. Assim, é importante analisar os fatores que influenciam os valores das taxas de administração dos fundos, já que a literatura destaca que a cobrança de taxas é relacionada ao desempenho dos fundos. Além disso, observa-se que a indústria de fundos brasileira, apesar de ter um grande número de fundos disponíveis, ainda se concentra em poucas administradoras, o que é um indicativo de que existe um baixo nível de concorrência. Em termos práticos, a investigação pode ser útil a investidores no processo de seleção dos fundos, uma vez que a taxa de administração representa um dos principais custos ao qual um investidor se depara ao investir nessa indústria. Os resultados apontam a importância da adoção de maior transparência na divulgação das taxas, por parte das instituições financeiras, uma vez que há indicações de que os valores cobrados são influenciados pelas características dos fundos e dos investidores. A metodologia adotada envolve modelos de regressão Logit/Probit, que tiveram as alterações da taxa de administração como variável explicada e, como variáveis explicativas, as proxies da concorrência e do sentimento do investidor, além de outras variáveis de controle. Observou-se que a proxy de sentimento do investidor foi significativa para explicar a probabilidade de alteração das taxas de administração, principalmente para fixação de taxas mais elevadas. Porém, não foi observada significância estatística para a concorrência da indústria. Esta pesquisa inova ao analisar o papel da concorrência da indústria e do sentimento do investidor sobre a probabilidade de alteração das taxas de administração, contribuindo para preencher um gap encontrado na literatura nacional.
O objetivo da pesquisa foi analisar como os fundos de investimento em ações brasileiros se comportaram durante o período da Covid-19. A análise foi dividida em 3 sub-períodos: (i) pré-crise ...(2019-10-03 a 2020-01-31); (ii) crash (2020-02-19 a 2020-03-23); (iii) e recuperação (2020-03-24 a 2020-04-30). Os principais resultados mostraram que durante o período de crash em todas as categorias mais de 50% dos fundos obtiveram retorno superior ao IBRX100. Porém, no período de recuperação o cenário se inverte e a grande maioria dos fundos passa a ter um desempenho inferior ao do índice. No entanto, quando o desempenho é analisado sob a óptica de modelos multifatoriais de risco, é possível identificar geração de alfa positiva durante o período pré-crise e negativa (destruição de valor) durante o período de crash. Além disso, ao examinar os fluxos de investimento, pode-se perceber que não houve um fenômeno de “corrida” para realizar o resgate da cota. Na realidade, durante quase todo o período analisado, as captações excederam os resgates. Isso pode indicar que o investidor cotista de fundos está mais educado financeiramente e que agiu com mais cautela ao aguardar um momento menos turbulento. O artigo conclui que a indústria vinha de um bom desempenho no período pré-crise, que foi interrompido por um período de destruição de valor durante o momento de maior turbulência e que, por fim, durante o período de recuperação, o desempenho foi inferior ao do índice de mercado, mas sem geração ou destruição significativa de valor.
The aim of this article was to evaluate the effectiveness of investment fund selection techniques from the perspective of Brazilian pension funds. Asset liability management (ALM) and liability ...driven investment (LDI) strategies are usually adopted to guide pension fund managers in relation to strategic allocation in asset classes that should compose their investment portfolios and to the liquidity needed in each period, but not specifying in which assets to allocate resources from among the infinity of assets available in the financial market. This article contributes to tactical management in the fixed income and stock segments outsourced via funds and demonstrates that adopting simple indicators can increase investment performance. The article broadens the knowledge on pension fund investment decisions and creates confidence in the adoption of the Sharpe ratio as a technique for choosing investment funds. We analyzed the returns obtained by hypothetical portfolios built using the following techniques: (i) the Sharpe ratio; (ii) the alpha of a multifactor model; (iii) data envelopment analysis (DEA) efficiency; and (iv) the different combinations of these techniques. We considered information on 369 funds from 2013 to 2018, adopting 12 temporal windows for choosing and re-evaluating the portfolios. The returns obtained were compared with the mean actuarial goal of the benefits plans administered by the pension funds, by means of the unplanned divergence (UD). When outsourcing pension fund investments in fixed income and stock investment funds it was verified that the Sharpe ratio contributes significantly to pension fund performance, compared with other indicators and techniques or a combination of them.
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.
Justificativa e Objetivos: Nas instituições hospitalares, as Unidades de Terapia Intensiva são consideradas o epicentro de resistência bacteriana devido à maior ocorrência de surtos por bactérias ...multirresistentes. A monitorização do perfil microbiológico dos microrganismos associados a infecções são fundamentais para apoiar o uso racional de antimicrobianos e as medidas de prevenção e controle de infecções. Assim, objetivou-se verificar o perfil de sensibilidade de microrganismos aos antimicrobianos associados à ocorrência de colonização e infecções em uma Unidade de Terapia Intensiva. Métodos: Tratou-se de uma coorte com seguimento de 2.137 pacientes (2005 – 2008) de um hospital universitário de Belo Horizonte. Resultados: Entre os 2.137 pacientes acompanhados foram realizadas 426 (19,9%) culturas microbiológicas, 61,7% (263) se referiam a colonização por microrganismos resistentes destacando-se 39% Acinetobacter baumanni resistentes aos carbapenêmicos, 21% Pseudomonas aeruginosa resistentes aos carbapenêmicos e 14% Staphylococcus aureus resistentes à oxacilina seguidos de Klebsiella pneumoniae e Escherichia coli; 282 pacientes foram diagnosticados com infecções hospitalares (13,2%) sendo 86 associadas a microrganismos resistentes. Conclusão: Concluiu-se que o perfil dos microrganismos associados a colonização ou infecção de pacientes na unidade de terapia intensiva entre 2005 e 2008, foi similar ao observado em outros estudos no Brasil e América Latina com predominância dos bastonetes Gram negativos. Evidenciou-se a necessidade de monitoramento das condições ambientais de limpeza e sazonais como variação de temperatura e umidade que podem favorecer a replicação de microrganismos, como parte das medidas de controle da disseminação.
Resumo O objetivo deste artigo foi investigar as relações causais entre incerteza da política econômica, sentimento do investidor e desempenho do mercado brasileiro, levando em consideração a ...presença de assimetrias e cointegração de curto e longo prazo. Na dinâmica do mercado, espera-se que a incerteza da política econômica, o sentimento do investidor e o desempenho do mercado apresentem algum grau de relacionamento. No contexto brasileiro, a análise dessas três variáveis não foi realizada, especialmente considerando inter-relações assimétricas e o comportamento das relações no curto e longo prazo simultaneamente. Compreender essas relações é importante porque permite aos agentes conhecer os impactos potenciais que essas variáveis têm entre si, o que facilitará na tomada de decisão informada entre as partes envolvidas. Os resultados obtidos são relevantes para estratégias de investimento, uma vez que investidores informados direcionarão suas decisões para minimizar sua exposição à flutuação do mercado, com base nas relações causais identificadas e antecipando possíveis movimentos de mercado. Utilizando um modelo autorregressivo distribuído não linear, o estudo mostrou que as relações entre o sentimento do investidor, a incerteza da política econômica e o desempenho do mercado de ações são mais complexas do que sugerido por estudos anteriores aplicados ao mercado brasileiro. Identificamos relações assimétricas de curto e longo prazo não observadas anteriormente.
Abstract The aim of this article was to investigate the causal relationships between economic policy uncertainty, investor sentiment, and the performance of the Brazilian market, while taking into account the presence of asymmetries and both short- and long-term cointegration. In market dynamics, it is expected that economic policy uncertainty, investor sentiment, and market performance will show some degree of relationship. In the Brazilian context, the analysis of these three variables has not been carried out, especially considering their assymmetric interrelations and the behavior of the relationships in the short and long term simultaneously. Understanding these relationships is important because it allows agents to know the potential impacts that these variables have on each other, which will facilitate informed decision-making among the involved parties. The results obtained are relevant for investment strategies, as informed investors will direct their decisions towards minimizing their exposure to market fluctuation, based on identified causal relationships and anticipating potential market movements. Utilizing a nonlinear autoregressive distributed lag model, the study showed that the relationships between investor sentiment, economic policy uncertainty, and stock market performance are more complex than suggested by previous studies applied to the Brazilian market. We identified asymmetric short- and long-term relationships not previously observed.
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