An??lise de desempenho das maiores administradoras de fundos de investimentos de renda fixa no Brasil

A ind??stria de fundos de investimento no Brasil est?? concentrada no segmento de renda fixa. Dos cerca de R$ 220 bilh??es depositados em fundos, hoje, R$ 200 bilh??es aproximadamente est??o nesse segmento e R$ 20 bilh??es em carteiras de renda vari??vel. Observou-se que no primeiro semestre de 2002, os fundos de investimento em geral tiveram alguns problemas que diminu??ram bastante os seus retornos. A mudan??a da m??trica de avalia????o dos fundos, da chamada Curva de Juros para a Marca????o a Mercado, provocou profundas transforma????es em termos de mensura????o de valor dos fundos de renda fixa. Neste contexto, verificou-se a performance das 17 maiores administradoras de fundos no per??odo 1997-2003 com dados di??rios. O m??todo empregado foi a An??lise de Dados em Painel. A hip??tese de que as administradoras de fundos nacionais privadas obt??m igual rela????o risco-retorno em suas carteiras do que as administradoras de fundos nacionais estatais e as administradoras de fundos estrangeiras n??o foi comprovada. As administradoras esThe industry of investment fund in Brazil is concentrated in the segment of fixed income. About R$ 220 billion are deposited in funds nowadays, from which R$ 200 billion approximately are in the fixed income segment and R$ 20 billion in variable income portfolios. In the first semester of 2002 it was observed that investment funds in general had substantially reduced their returns. In the wake of the change of the evaluation metrics of funds from yield curves to mark-to-market, caused profound transformation in the value of fixed income funds. In this context, the performance of the 17 biggest asset management firms in the period 1997-2000 in a daily basis has been assessed. The hypothesis that private Brazilian asset management firms have a similar risk-return performance in their portfolios as state and foreign firms has been rejected. Foreign asset management firms had a superior performance with respect to Brazilian private firms, while private firms sustained a superior performance vis-??-vis state firm