Desempenho financeiro de classes de fundos de investimento brasileiros: uma análise sob o contexto pandêmico

Abstract

This research carries out a study on Brazilian mutual funds, analyzing the performance of these financial assets during a period that encompasses the COVID-19 pandemic in the country. Given this bias, the central scope of this investigation focuses on presenting and analyzing the financial performance of the 4 (four) groups of investment funds in Brazil 3 namely: (i) fixed income; (ii) shares; (iii) multimarket; and (iv) exchange rates 3 defined by ANBIMA (2015), under the criteria of the link between risk and return. To this end, quantitative research is applied together with the use of metrics such as average return, accumulated return, standard deviation and the proxy responsible for measuring financial performance: the index proposed by Sharpe (1966). This study uses a monthly database, collected from the Boletim de Fundos de investimento, prepared by ANBIMA, which covers the period Feb/2018 3 Oct/2023 and totals 69 months. It is noteworthy that data analysis and measurement of results are divided into sub-periods, characterized as pre-pandemic, pandemic and post-pandemic, in order to observe possible effects of the COVID-19 pandemic on the performance of the investment funds analyzed. The results achieved demonstrate that the COVID-19 pandemic increased the level of risk for all classes of funds investigated, in addition to causing a reduction in their profitability 3 except for foreign exchange funds, which saw an increase in this variable. Finally, from the analysis, it is inferred that the class of funds that achieved the best financial performance was fixed income, while equities were the ones that achieved the worst performance.