Exposition to Factors of the Investment Funds Market in Brazil

Maestri, Cláudia Olímpia Neves Mamede; Malaquias, Rodrigo Fernandes

doi:10.1590/1808-057x201702940

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Articles • Rev. contab. finanç. 28 (73) • Jan-Apr 2017 • https://doi.org/10.1590/1808-057x201702940 copy

Exposition to Factors of the Investment Funds Market in Brazil

Authorship SCIMAGO INSTITUTIONS RANKINGS

ABSTRACT

The growth of the investment funds industry in Brazil and its international representativeness indicate the relevance of analyzing this sector. Literature has shown the effects that market factors can have on the performance of investment funds. One way of evaluating the relation between funds' returns and market factors' variations is the return-based style analysis. In this context, this research aimed to investigate, through the style analysis, the exposition to various market factors in two modalities of investment funds. With this analysis, we may infer differences between the allocations and the composition of portfolios, constructing a panorama of sensitivity of funds' returns to the market factors addressed in the study. The database consisted of daily returns of 508 funds, out of which 385 are fixed income funds and 123 are Neutral Long & Short multimarket funds, within the period from January 3, 2005, to July 11, 2014. Through the style analysis, with 6 market factors, we found a difference between the composition of portfolios of multimarket funds and portfolios of fixed income funds. Regarding the evolution of the composition of portfolios in these funds, we observed that the investment style of funds does not seem to be constant over time, something which may be a positive evidence concerning the changes that managers promote in their portfolios, seeking to achieve better profitability indicators.

Keywords
institutional investors; fixed income; variable income

Authors	Period	Variables and funds	Results
Varga and Valli (1998)	1997-1998	FA: IBOVESPA, CDI, IV6, and IVC; DE: value of the funds' share; QT: two investment funds.	They concluded that the style analysis may be applied to the entire funds industry in Brazil.
Yoshinaga et al. (2009)	2003-2006	FA: CDI, IBOVESPA, IGPM, and dollar; DE: fund's profitability; QT: multimarket funds with (280) and without leverage (83).	Despite the CDI has been the major factor in leveraged and unleveraged multimarket funds, the return-based style analysis has not been able to classify these funds properly.
Coelho et al. (2009)	2003-2008	FA: IBOVESPA, IVBX-2, S&P 500, EMBI Brazil and other 22 factors; DE: fund's return; QT: 23 multimarket funds.	They conclude that the factor model is a useful tool for market risk management, but inconstant allocation of multimarket funds' portfolios caused sensitivity to factors unstable in time.
Schutt and Caldeira (2013)	2006-2011	FA: FII-M 1, FII-M 1+, FII-M, IMA-B 5, IMA-B 5+, IMA-B, CDI, IBOVESPA and PTAX; DE: funds' return; QT: 388 multimarket funds.	The results showed that the most significant factor in the exposure of multimarket funds refers to the stock market followed by the increasing participation of factors related to the fixed income market.
Malaquias et al. (2014)	2005-2013	FA: exchange, government securities, and IBOVESPA; DE: funds' return; QT: 173 stock funds.	They found that stock funds were statistically significant at 1% for the market factors exchange and IBOVESPA.
Scolese, Bergmann, da Silva and Savoia (2015)	2011-2015	FA: IMA-B5, IMA-B5+, FII-M, IBOVESPA, IDIV, and IGMI-C; DE: quarterly funds' log-returns; QT: 15 real estate funds.	They found that real estate funds have a hybrid nature between fixed and variable income, with returns of these funds having greater sensitivity to prefixed interest rate and the representative index of the housing market.

Variables	n	Average	SD	Minimum	Maximum
IBOVESPA	414,406	0.028157	1.742076	-11.393120	14.657840
DOLLAR	414,406	0.008084	1.054974	-16.549050	17.935910
SELIC	414,406	0.041058	0.009842	0.027779	0.071548
CDI	414,406	0.040432	0.010344	0.022880	0.078094
IBrX100	414,406	0.042154	1.622150	-11.476360	14.677660
IGPM	414,406	0.022542	0.026362	-0.035363	0.093408
MULTIM	414,406	0.040978	0.127967	-1.101275	1.211331
FIXEDINCOME	414,406	0.043319	0.073398	-0.556088	0.504612
Dailyprofit	414,406	0.041590	0.122203	-0.600962	0.662202
Dailyprofit-FI	284,818	0.042107	0.062501	-0.600962	0.662202
Dailyprofit-LS	129,588	0.040453	0.197909	-0.600962	0.662202

	β	Robust standard error	t	Sig.	VIF	Tolerance
IBOVESPA	-0.005	0.000	-26.220	0.000	1.940	0.515
DOLLAR	-0.005	0.000	-21.120	0.000	1.140	0.876
SELIC	0.818	0.020	41.350	0.000	1.050	0.955
IGPM	-0.046	0.007	-6.280	0.000	1.030	0.971
MULTIM	0.080	0.003	27.440	0.000	2.180	0.459
FIXEDINCOME	0.077	0.004	21.510	0.000	1.360	0.738
_cons	0.003	0.001	3.060	0.002	-	-

FI	β	Robust standard error	t	Sig.	MM	β	Robust standard error	t	Sig.
IBOVESPA	0.000	0.000	-1.200	0.231	IBOVESPA	-0.017	0.001	-27.180	0.000
DOLLAR	-0.001	0.000	-3.580	0.000	DOLLAR	-0.016	0.001	-20.490	0.000
SELIC	0.814	0.010	85.080	0.000	SELIC	0.846	0.071	11.930	0.000
IGPM	-0.012	0.004	-2.940	0.003	IGPM	-0.116	0.021	-5.530	0.000
MULTIM	0.006	0.002	4.070	0.000	MULTIM	0.237	0.009	27.220	0.000
FIXEDINCOME	0.161	0.003	46.860	0.000	FIXEDINCOME	-0.119	0.009	-13.020	0.000
_cons	0.002	0.000	3.490	0.000	_cons	0.005	0.003	1.630	0.103

	IBOVESPA				DOLLAR				SELIC				IGPM				MULTIM				FIXEDINCOME
Year	FI		MM		FI		MM		FI		MM		FI		MM		FI		MM		FI		MM
2005	1.350		-13.500	***	1.160		-11.670	***	12.360	***	-3.490	***	1.850	*	-5.080	***	0.270		4.600	***	7.630	***	4.510	***
2006	1.480		-22.610	***	-1.290		-14.180	***	12.440	***	-0.920		-0.870		0.350		-0.740		10.660	***	7.510	***	-0.310
2007	0.610		-24.410	***	0.120		-12.610	***	7.000	***	1.490		0.480		-1.460		-1.530		7.930	***	11.190	***	-3.000	***
2008	0.400		-1.080		1.390		-11.800	***	3.540	***	5.650	***	-0.170		2.190	**	0.050		8.450	***	9.110	***	-7.790	***
2009	0.900		-16.640	***	0.060		-8.030	***	3.430	***	6.290	***	-1.660	*	2.200	**	-2.190	**	13.550	***	10.360	***	-10.150	***
2010	-0.930		-17.660	***	1.270		-9.650	***	7.130	***	3.840	***	-0.930		0.410		1.480		21.060	***	10.530	***	-7.690	***
2011	-0.790		-12.920	***	-0.790		-3.950	***	7.530	***	2.500	**	1.810	*	0.380		1.040		15.650	***	12.790	***	-6.800	***
2012	-3.350	***	-9.420	***	0.870		-2.810	***	12.540	***	-1.270		-0.310		-1.110		2.340	**	6.220	***	18.240	***	-1.170
2013	0.300		-11.430	***	-4.970	***	-10.860	***	7.360	***	-1.390		-1.560		-4.010	***	-1.870		10.780	***	27.610	***	-9.590	***
2014	0.440		-7.910	***	-0.090		-1.310		1.520		-1.330		-1.250		-5.290	***	-0.210		9.530	***	25.380	***	-2.270

Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária Av. Prof. Luciano Gualberto, 908 - prédio 3 - sala 118, 05508 - 010 São Paulo - SP - Brasil, Tel.: (55 11) 2648-6320, Tel.: (55 11) 2648-6321, Fax: (55 11) 3813-0120 - São Paulo - SP - Brazil
E-mail: recont@usp.br

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[1] Correspondence address: Cláudia Olímpia Neves Mamede Maestri Universidade Federal de Uberlândia, Faculdade de Gestão e Negócios Avenida João Naves de Ávila, 2121, Sala 1F 216 - CEP: 38400-902 Campus Santa Mônica - Uberlândia - MG - Brasil Email: cmamede@fagen.ufu.br