Multimarket investment funds: does manager’s discretion matter?
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Redalyc
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Universidade de São Paulo
2021
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| _version_ | 1876427003894169600 |
|---|---|
| author | Bruno Armezindo Storck |
| author_facet | Bruno Armezindo Storck |
| contents | Multimarket investment funds: does manager’s discretion matter? Bruno Armezindo Storck Fabio Yoshio Suguri Motoki Administración y Contabilidad Free strategy Manager discretion Multimarket Investment Funds This study seeks to understand if the discretionary nature of free strategy multimarket investment funds in Brazil is related to better performance when compared to other funds classified in the same class. Previous studies on the US fund industry show that greater discretion is associated with better returns. The results corroborate the international literature, demonstrating that free strategy funds are associated with better performance. However, there was no evidence of an association between free strategy funds and risk. The research used data of 3499 multimarket funds from January 2016 to January 2019, collected from the Quantum Axis database. Performance was measured using the Sharpe and Sortino Index, and risk was assessed using VaR, CVaR, and Downside risk. 2021 artículo científico 1982-6486 https://www.redalyc.org/articulo.oa?id=235267639019 https://www.redalyc.org/journal/2352/235267639019/ https://www.redalyc.org/journal/2352/235267639019/html/ https://www.redalyc.org/journal/2352/235267639019/235267639019.epub https://www.redalyc.org/journal/2352/235267639019/movil 10.11606/issn.1982-6486.rco.2021.175889 en http://www.redalyc.org/revista.oa?id=2352 Revista de Contabilidade e Organizações application/pdf Universidade de São Paulo Revista de Contabilidade e Organizações (Brasil) Vol.15 |
| format | Artículo científico |
| id | redalyc_235267639019 |
| institution | Redalyc |
| language | en |
| publishDate | 2021 |
| publisher | Universidade de São Paulo |
| spellingShingle | Multimarket investment funds: does manager’s discretion matter? Bruno Armezindo Storck Administración y Contabilidad Free strategy Manager discretion Multimarket Investment Funds Multimarket investment funds: does manager’s discretion matter? Bruno Armezindo Storck Fabio Yoshio Suguri Motoki Administración y Contabilidad Free strategy Manager discretion Multimarket Investment Funds This study seeks to understand if the discretionary nature of free strategy multimarket investment funds in Brazil is related to better performance when compared to other funds classified in the same class. Previous studies on the US fund industry show that greater discretion is associated with better returns. The results corroborate the international literature, demonstrating that free strategy funds are associated with better performance. However, there was no evidence of an association between free strategy funds and risk. The research used data of 3499 multimarket funds from January 2016 to January 2019, collected from the Quantum Axis database. Performance was measured using the Sharpe and Sortino Index, and risk was assessed using VaR, CVaR, and Downside risk. 2021 artículo científico 1982-6486 https://www.redalyc.org/articulo.oa?id=235267639019 https://www.redalyc.org/journal/2352/235267639019/ https://www.redalyc.org/journal/2352/235267639019/html/ https://www.redalyc.org/journal/2352/235267639019/235267639019.epub https://www.redalyc.org/journal/2352/235267639019/movil 10.11606/issn.1982-6486.rco.2021.175889 en http://www.redalyc.org/revista.oa?id=2352 Revista de Contabilidade e Organizações application/pdf Universidade de São Paulo Revista de Contabilidade e Organizações (Brasil) Vol.15 |
| title | Multimarket investment funds: does manager’s discretion matter? |
| topic | Administración y Contabilidad Free strategy Manager discretion Multimarket Investment Funds |
| url | https://www.redalyc.org/articulo.oa?id=235267639019 https://www.redalyc.org/journal/2352/235267639019/ https://www.redalyc.org/journal/2352/235267639019/html/ https://www.redalyc.org/journal/2352/235267639019/235267639019.epub https://www.redalyc.org/journal/2352/235267639019/movil |