As captações líquidas afetam o desempenho dos fundos de ações IBOVESPA-ativo? um estudo aplicado ao mercado brasileiro

Abstract

OBJECTIVE The present study sought to verify if the movement of resources in the investment funds would lead man- agers to adopt sub-optimal decisions that would compromise the monthly performance, which would con- tribute to the non-overrun of the investment fund benchmark. METHODOLOGY To evaluate the relationship between net monthly funding and the return of these funds, panel regres- sions were used for fixed effects, corroborated by validation tests, through two main models, a first that associated the return to net funding and the second that evaluated the impact of this variable on the rela- tive return (unplanned divergence) of the fund. Monthly data were used for the 497 investment funds classified by ANBIMA as Active Ibovespa Shares of the Brazilian market (of which 294 are inactive and 203 assets). The data were collected in the Economatica database, covering the period from December 2007 to December 2014.RESULTS AND CONCLUSIONS The results indicate the inexistence of statistically significant relations between net inflows and returns. A possible explanation supporting this result is associated to the fact that these funds can keep an amount in cash that, despite a negative impact on monthly returns, reduces the net inflow effect on managerial in- vestment decisions. PRACTICAL IMPLICATIONS The analysis of factors that affects the mutual fund performance helps the investor during the choice of his financial application. The evaluation of the relation between net inflows and return offers an additional tool for investigating the manager ability of dealing with high volume of deposits or ransoms during the portfolio formulation.