The performance of metal-related funds before and during covid-19: Evidence from Brazil

• Autores: Rodrigo Fernandes Malaquias, Pablo Zambra
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 69, Nº. 3, 2024, págs. 143-169
• Idioma: español
• Títulos paralelos:
  • El desempeño de los fondos relacionados con los metales antes y durante el covid-19: evidencia de Brasil
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    El objetivo principal de este estudio es analizar el desempeño ajustado al riesgo de los fondos relacionados con los commodities metálicos considerando la pandemia de Covid-19. La base de datos está compuesta por fondos de inversión brasileños durante el período de enero de 2005 a junio de 2021. Utilizando rendimientos diarios, cada trimestre, empleamos el Análisis de estilo basado en rendimiento para identificar fondos relacionados con metales. La hipótesis del estudio se probó mediante regresiones de datos de panel. Por un lado, los principales resultados sugieren que, durante la pandemia de Covid-19, los fondos relacionados con los metales tuvieron un mejor desempeño en comparación con los otros fondos de inversión. Este resultado también fue persistente considerando diferentes medidas para el desempeño del fondo. Por otro lado, el desempeño de los fondos relacionados con los metales fue equivalente al desempeño de los otros fondos durante la Crisis Financiera Global. El análisis cuantitativo también considera los efectos del número de casos confirmados de Covid-19 y la vacunación total en los rendimientos diarios del fondo

  • English

    The main purpose of this paper is to analyze the risk-adjusted performance of Brazilian commodity metalrelated funds considering the Covid-19 pandemic. The database is comprised of Brazilian investment funds during the period from January, 2005 to June, 2021. Using daily returns, each quarter, we employed the Return Based Style Analysis to identify metal-related funds. The study hypothesis was tested through panel data regressions. On one hand, the main results suggest that, during Covid-19 pandemic, metalrelated funds performed better in comparison to the other investment funds. This result was also persistent considering different measures for fund performance. On the other hand, the performance of metal-related funds was equivalent to the performance of the other funds during the Global Financial Crisis. The quantitative analysis also considers the effects of number of confirmed cases for Covid-19 and total vaccination on fund’s daily returns.

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