Performance e eficiência de fundos de investimento: uma aplicação de indicadores tradicionais e de DEA e SFA como estratégias de seleção de fundos

Abstract

Investment funds are very profitable in the Brazilian capital market. The expressive offer of funds leads to questions about their valuations and selections by the investor. This study addresses an evaluation of the performance and efficiency of Brazilian investment funds with operational management between January 2000 and May 2017, based on the application of traditional performance indicators and non-parametric and parametric techniques for measuring efficiency. There is a comparative analysis of the results based on Jensen Alfa, on Sharpe generalized index, on analysis of data envelopes (DEA) and Stochastic Frontier Analysis (SFA), with monthly, quarterly and semiannual estimates. These results were compared with the Spearman correlation coefficient by fund category at a month, a quarter and a semester, with and without a lag of the variables. Finally, the results obtained in the performance evaluation of the funds that use as a fund selection strategy in the estimation of portfolio by category, with monthly, quarterly and semiannual rebalancing. Portfolios were estimated based on performance and effective, measured and evaluated based on cumulative return, on average return, on standard deviation, on value at risk, on Sharpe, alpha, beta, and turnover with one, two and three funds. Portfolios with two and three funds were considered based on naïve weighting and size of funds. The performance of the estimated portfolios was also compared to the performance of classic portfolios identified in the asset selection strategy literature, in the case of Ibovespa, naïve portfolio (1/n) and size-weighted portfolio with all assets. The results pointed out that in terms of net returns, volatility and VaR, categories of funds in free shares, Active Index and Value and Growth stood out. In the evaluation of performance with the alpha and the Sharpe index, categories of Free and Value and Growth stock funds presented superior performance. With regard to the DEA and SFA, smaller categories of Sustainability and Governance, Small Caps and Dividends were more efficient. In addition, it was found that there is no strong convergence relationship between the indicators. As with the strategy of selecting funds based on these metrics, they did not present a consensus of performance. The high turnover of the assets in the portfolios did not allow the identification of the superior performance consensus exclusive of performance charts or efficiency portfolios. However, the recurrent superior performance of the letters based on Sharpe and DEA and high risk of non-alpha and SFA portfolio were identified, with nonDEA based portfolios still presenting lower systemic risk