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Estratégias de Fundos Multimercado no Brasil e a Influência da Taxa de Performance no Seu Desempenho

2015; Volume: 3; Linguagem: Português

10.7444/245

2176-8854

Riccardo Leonardo Rovai,

Business and Management Studies

OBJETIVO Este artigo pertence ao campo de estudos da administracao financeira e tem por objetivo demonstrar as estrategias dos fundos de investimentos no Brasil em periodo onde os fundos tiveram o maior crescimento e rentabilidade, que foi o periodo posterior a crise de 2008, ou seja o periodo 2009 – 2011. Neste artigo se estuda o mercado de capitais brasileiro que passou por uma fase de forte crescimento, diversificando produtos e atraindo maior numero de investidores. Os chamados fundos de investimentos multimercados, cujos servicos sao remunerados por meio de uma taxa de administracao pre-determinada. Dado o enquadramento juridico da administradora, a legislacao tambem permite a cobranca de taxa de performance (TP). Pretende evidenciar atraves da estatistica inferencial se os incrementos em relacao ao benchmark sao convertidos em maior remuneracao aos cotistas. Pretende tambem verificar se tais fundos assumem maior exposicao ao risco. METODOLOGIA A hipotese principal do trabalho e testar as medias de rentabilidades brutas e liquidas entre os fundos sem cobranca de taxa de performance e fundos com cobranca de taxa de performance. Tambem foi testada a hipotese de que a volatilidade media dos fundos com cobranca de taxa de performance e diferente da media dos fundos sem cobranca da taxa. Para fins desse artigo utilizou-se um teste de hipotese que segundo BUSSAB e MORETTIN (2010), o procedimento para uso do teste de hipotese abrange cinco passos: (i) fixar a hipotese nula H0 que se pretende testar; definir qual estatistica e o melhor estimador para ser usado em cada teste; (ii) fixar a probabilidade α de cometer o chamado erro do tipo 1 (aceitar H0 sendo ele falso); (iii) usar as informacoes amostrais para obter a estatistica T que definira a decisao; (iv) confrontar a estatistica obtida a partir dos dados amostra com a regiao critica; (v) tomar a decisao, aceitando ou rejeitando H0. Com base em T ou no p-valor. No caso de teste bilateral, se a estatistica de teste estiver fora da regiao critica (−tC ≤ T ≤ +tC) ou α fixado maior que o p-valor, nao se pode rejeitar a hipotese nula H0 (LEVIN, FOX, 2004; ANDERSON, SWEENEY, WILLIAMS; 2009). RESULTADOS E CONCLUSOES Os resultados estatisticos mostraram que ha evidencias de que a media de rentabilidade bruta dos fundos que cobram taxa de performance e superior a media, entretanto, isso nao se traduz em melhor remuneracao aos investidores e esse fato se constitui em um desincentivo e limita o crescimento dos fundos que adotam esse tipo de estrategia e poderiam ter maiores possibilidades de crescimento no mercado nacional e internacional. IMPLICACOES PRATICAS As implicacoes praticas desse estudo fornecem um alerta aos investidores e aos gestores qualificados de fundos quanto ao fato de mudancas nesse comportamento devem advir por forca das pressoes das assembleias de cotistas e devem provocar um salto qualitativo na industria de fundos no Brasil. PALAVRAS-CHAVE Fundos de investimento, mercado financeiro, taxa de performance, mercado capitais, risco operacional. STRATEGIES OF BOTTOMS MULTIBOUGHT IN BRAZIL AND THE INFLUENCE OF THE TAX OF PERFORMANCE IN HIS PERFORMANCE. OBJECTIVE This article belongs to the field of studies of the financial administration and has since objective demonstrates the strategies of the bottoms of investments in Brazil in period where the bottoms had the biggest growth and profitability, which was the subsequent period to the crisis of 2008, in other words the period 2009 – 2011. In this article there is studied the Brazilian market of capitals that suffered a phase of strong growth, diversifying products and attracting investors' bigger number. The deep calls of multibought investments, which services are remunerated through a tax of administration determined-daily pay. When the legal framing of the administrator was given, the legislation also allows the collection of tax of performance (TP). It intends to show up through the statistic inferential if the growth regarding the benchmark is converted in bigger remuneration to the shareholders. It intends to check also if such bottoms assume bigger exhibition to the risk. METHODOLOGY The principal hypothesis of the work is to test the averages of profitability’s brutish and you have a sale between the bottoms without collection of tax of performance and bottoms with collection of tax of performance. Also there was tested the hypothesis of which the middle volatility of the bottoms with collection of tax of performance is different from the average of the bottoms without collection of the tax. For aims of this article a test of hypothesis was used that second BUSSAB and MORETTIN (2010), the proceeding for use of the test of hypothesis includes five steps: (i) to fix the null hypothesis H0 that is intended to test; to define which statistic is the best estimator to be used in each test; (ii) to fix the probability α of to commit the called mistake of the type 1 (to accept H0 being false he); (iii) to use the sample information’s in order that to obtain the statistic T what will define the decision; (iv) to confront the statistic obtained from the data sample with the critical region; (v) to take the decision, accepting or rejecting H0. On basis of T or in the p-value. RESULTS AND CONCLUSIONS The statistical results showed that there are evidences of which the average of brutish profitability of the bottoms that collect tax of performance is superior to the average, meantime, that is not translated in better remuneration to the investors and this fact is constituted in a dissimulation and limits the growth of the bottoms that adopt this type of strategy and they might have bigger means of growth in the national and international market. PRACTICAL IMPLICATIONS The practical implications of this study supply with an alert the investors and to the managers described as bottoms as for the fact of changes in this behaviour they must result of necessity of the pressures of the assemblies of shareholers and must provoke a qualitative jump in the industry of bottoms in Brazil. KEYWORDS Investment funds, performance fee, capital market, asset management