This article analyses the employment of the Fixed Income Index (IRF-M), based on the yields of Brazilian Treasury Bills, to measure the performance of fixed income mutual funds. The IRF-M is tested as an alternative benchmark to the one-day inter-bank offering rate (CDI), which represents floating rate securities. 212 funds in the non-leveraged and multi-index (asset) categories are analyzed. The results indicate that the IRF-M marginally improves the models' explanatory power, but its economic impact is still relatively low when compared to the CDI rate.
Mutual funds; investments; financial benchmark; fixed income; indexation
