Análise da relação entre desempenho e seus determinantes com ênfase em fundos de investimentos de renda fixa, multimercado e ações

Abstract

Investment funds have increased their shareholders' equity by 250% in the last 10 years and exceeded R$ 6 trillion in 2020. With basic interest rates getting lower, investment funds are presented to investors as good options with higher profitability, according to their risk disposition. In addition, these products enable investors to reach markets, products and cost and liquidity conditions that they would hardly have access to individually, which facilitates the diversification and composition of more profitable portfolios. In this context, this study aims to highlight the situation of national academic production regarding the relationship between performance and its determinants for “renda fixa”, “multimercado” and “ações” funds and to analyze the relationship between performance and its determinants for these three classes in the last decade and under recession or economic growth scenarios. To do the first work, a systematic review of the content and results of Brazilian works was carried out, with no time limit and for the three classes mentioned. The results indicated an increase in production as of 2014, focus on the class of “ações” funds, concentration of productions in FGV's master's programs and dispersion of publications among magazines and periodicals. As for the most productive authors, there was dispersion, and for the most referenced, a central line was identified that fundamentals the great majority of the works. The explanatory or control variables used in the studies were defined and the results of each determinant were compared between the different studies reviewed. The results provide subsidies for future work, data such as opportunities and exposed gaps that have been little discussed in the literature. For the second article, data from the Economática® database were collected between 2010 and 2020 and regressions were performed with panel data to verify the desired relationships. The results showed that all the 14 explanatory variables of the model were sensitive to performance analysis in different economic scenarios and/or between classes. In years of crisis, newer funds with no fees other than basic administration fees were more profitable. The recession caused further changes in the behavior of the variables for “renda fixa” and “ações” funds, while the “multimercado” funds proved to be more protected against market fluctuations, reinforcing the strategy of diversification of that class.