O efeito smart money em fundos multimercado brasileiros em período de redução da taxa-meta Selic

Abstract

O presente estudo pretende avaliar o efeito smart money e persistência de performance nos fundos multimercado brasileiros no último ciclo de redução da taxa-meta Selic no país, compreendendo o período de agosto/19 até agosto/20. Para a realização deste trabalho foi avaliada uma amostra de 391 fundos de investimento, divididos em grupos de acordo com a sua captação líquida e desempenho no período analisado. A significância estatística foi avaliada por meio do teste t de Student, teste Z e Qui-quadrado. Para conferir maior robustez ao estudo, o mesmo procedimento foi adotado ajustando-se o desempenho ao risco, por meio da aplicação do Índice de Sharpe (IS). Foi verificada a presença do efeito smart money nos fundos de investimento multimercado brasileiros, em período de redução da taxa-meta Selic, demonstrando que os investidores de certa forma direcionam seus recursos para aqueles produtos que apresentaram melhor desempenho em períodos subsequentes. A pesquisa apresenta como principal limitação a não utilização de variáveis de controle, tais como: tamanho ou tempo de existência do fundo, valores de taxa de administração ou performance, que podem interferir no resultado final. Também foram descartados os fundos exclusivos e aqueles destinados aos grupos familiares e empresariais.

Purpose: This study aims to evaluate the “smart money” effect and persistence of performance in Brazilian multimarket funds in the last cycle of reduction of the Selic tax rate in the country, comprising the period from August/19 to August/20. Design/Methodology: A sample of 391 investment funds was used for this research, which ended up being divided into two groups, those with positive net funding and those with negative net funding in the period analyzed. In the sequence, the test t Student was applied among means of profitability of the groups to evaluate the statistical significance. To give more robustness to the study, the same procedure was applied adjusting the profitability to the risk, through the Shape Index. Findings: The presence of “smart money” effect in Brazilian multimarket investment funds, in a period of reduction of the Selic target rate, was verified, showing that investors in a certain way direct their resources to those products that will present better performance in subsequent periods. Research limitations: The research presents as main limitation the nonutilization of control variables, such as: size or time of existence of the fund, values of administration fee or performance, which can interfere in the final result. Exclusive funds and those for family and business groups were also discarded. Practical implications: The work contributes to the importance of disclosure and provision of information regarding the fund by administrators and distributors, as well as the transparency of information, especially regarding the performance and risks of the product. Academic implications: The research complements the work already done by other authors, by confirming the “smart money” effect in the Brazilian multimarket funds in a period of reduction of the Selic target rate in the country. Originality: The originality of this research resides in the evidence of the “smart money” effect in the Brazilian multimarket funds in a period of reduction of the Selic target rate, having not been founded research with similar objective. Future Research: As a suggestion for new work is the option to (i) compare this result with previous cycles of reduction of the Selic rate in the country, (ii) control other variables, such as: time of existence of the fund, values of administration fee or performance, (iii) in addition to the possibility of deepening the methods of choice of funds by investors and (iv) verify whether the best performance stems from the new cash flow or from the management of assets already contained in the fund.