2019冠状病毒病大流行背景下巴西股票共同基金的表现和风险

Pedro Teles, Guilherme Araújo Lima, S. Silva, Robert Aldo Iquiapaza
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引用次数: 0

摘要

这项研究的目的是分析巴西股票投资基金在新冠肺炎期间的表现。分析分为3个子阶段:(i)危机前(2019-10-03至2020-01-31);(ii)碰撞(2020-02-19至2020-03-23);(iii)和回收(2020-03-24至2020-04-30。主要结果显示,在崩溃期间,在所有类别中,超过50%的基金获得了优于IBRX100的回报。然而,在复苏期,情况发生了逆转,绝大多数基金开始表现不佳。然而,当从多因素风险模型的角度分析绩效时,可以确定危机前时期的正阿尔法生成和崩溃期间的负阿尔法生成(价值破坏)。此外,在考察资金流动时,可以看出赎回股票不存在“挤兑”现象。事实上,在分析期内,资金流入超过了赎回。这可能表明,基金投资者在财务上受过更多的教育,在等待不那么动荡的时刻时,他或她表现得更加谨慎。文章得出的结论是,该行业在危机前时期表现出色,在最动荡的时刻,这一时期被价值破坏所打断,最后,在复苏期间,表现低于市场指数,但没有产生或破坏重大价值。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Performance and risk of Brazilian equity mutual funds in the context of the covid-19 pandemic
The goal of this research was to analyze how Brazilian equity investment funds behaved during the Covid-19 period. The analysis was divided into 3 sub-periods: (i) pre-crisis (2019-10-03 to 2020-01-31); (ii) crash (2020-02-19 to 2020-03-23); (iii) and recovery (2020-03-24 to 2020-04-30. The main results showed that during the crash period, in all the categories, more than 50% of the funds obtained a return superior to that of the IBRX100. However, in the recovery period, the scenario is reversed and the vast majority of funds start to underperform the index. However, when performance is analyzed from the perspective of multifactor risk models, it is possible to identify positive alpha generation during the pre-crisis period and negative (destruction of value) during the crash period. In addition, when examining fund flows, it can be seen that there was no "run on the fund" phenomenon to redeem the shares. Actually, in the analyzed period, the inflows surpassed the redemptions. This may indicate that the fund investors are financially more educated and that he or she acted with more caution when waiting for a less turbulent moment. The article concludes that the industry was coming from an excellent performance in the pre-crisis period, which was interrupted by a period of value destruction during the moment of the greatest turmoil, and that, finally, during the recovery period, the performance was below the market index, but without generating or destructing significant value.
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