46579

Mariana Aparecida Calabrez Oreng
William Eid Junior
Claudia Emiko Yoshinaga

Revista de Gestão, Finanças e Contabilidade

This study investigates whether managers of Fixed Income Brazilian funds exhibit markettiming abilities and what are the main components driving a fund’s return. Measuring timing ability of Fixed Income funds’ managers has a lot to do with their ability to anticipate interest rate movements. We also conduct a style analysis in order to check the main drives of return of these funds. We collected information on 338 Brazilian FI funds, and data goes from January 2003 to April 2016. Our results indicate that managers of FI funds in Brazil do not exhibit market-timing abilities, which is, they consistently underperform the market. Style analysis demonstrates that funds are well classified. We contribute to the literature by providing evidence on market timing abilities of Fixed Income fund managers.

Brazil, fixed income, fixed income funds, Market timing, style analysis

ORENG, M. A. C.; EID JUNIOR, W.; YOSHINAGA, C. E. Performance of Fixed Income Funds in Brazil: Market Timing and Style Analysis . Revista de Gestão, Finanças e Contabilidade, v. 7, n. 3, p. 314-325, 2017.

Oreng, M. A. C., Eid Junior, W., & Yoshinaga, C. E. (2017). Performance of Fixed Income Funds in Brazil: Market Timing and Style Analysis . Revista de Gestão, Finanças e Contabilidade, 7(3), 314-325.

https://www.spell.org.br/documentos/ver/46579/performance-of-fixed-income-funds-in-brazil--market-timing-and-style-analysis--/i/en

Artigo

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