Smart money nos fundos de renda fixa no Brasil

Resumo

This study investigates the presence of the Smart Money effect in the Brazilian fixed income mutual fund market by analyzing whether net capital flows anticipate abnormal risk-adjusted returns. Using monthly public data from the Brazilian Securities and Exchange Commission (CVM) and other sources, the research covers the period from January 2009 to April 2025 and adopts an empirical strategy based on the construction of portfolios composed of funds with positive flows (POS), negative flows (NEG), and the difference between them (POS–NEG). The analysis is conducted through linear regressions using both traditional risk factors (RMRF, SMB, HML) and fixed income-specific factors (TERM and DEF), considering both equally weighted and asset-weighted returns. The results provide partial evidence of Smart Money, concentrated on smaller funds, with positive and statistically significant alphas in the regressions using simple returns. The effect is more pronounced among financial institutional investors and insurance companies, and it intensifies during periods of greater macroeconomic uncertainty, such as between 2020 and 2024. In contrast, pension funds (EFPC) exhibit inefficient allocation behavior, with significant negative alphas. The study also identifies a pattern of defensive rationality among retail investors, who appear more skilled at avoiding poorly performing funds than at selecting top-performing ones. The main limitation lies in the quality of public investor profile data and the heterogeneity of the fixed income fund category. Nonetheless, the study contributes by identifying behavioral and contextual patterns that influence capital allocation efficiency in Brazil, reinforcing the relevance of fund flows as a tool for assessing predictive investment skill.

Ficha do documento

Tipo

Dissertação

Ano

2025

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/38040

Temas

Economia

Palavras-chave

Smart moneyMutual fundsFixed incomeInvestment managementFundos de investimentoRenda fixaGestão de investimentosEconomiaFundos de investimento - BrasilInvestimentos - AdministraçãoFundo mútuo de renda fixa