Performance measurement models and their influence on net fundraising of investment funds

Fernandes, Anderson Rocha de J.; Fonseca, Simone Evangelista; Iquiapaza, Robert Aldo

doi:10.1590/1808-057x201805330

Anderson Rocha de J. Fernandes

Universidade Federal de Minas Gerais, Faculdade de Ciências Econômicas, Centro de Desenvolvimento e Planejamento Regional, Belo Horizonte, MG, Brazil. Email: andersonr@ufmg.com

http://orcid.org/0000-0003-3323-1967

Simone Evangelista Fonseca

Universidade Federal de Minas Gerais, Faculdade de Ciências Econômicas, Departamento de Ciências Administrativas, Belo Horizonte, MG, Brazil. Email: sissafonseca@adm.grad.ufmg.br

Robert Aldo Iquiapaza

Universidade Federal de Minas Gerais, Faculdade de Ciências Econômicas, Centro de Pós-Graduação e Pesquisas em Administração, Belo Horizonte, MG, Brazil. Email: rbali@ufmg.br

http://orcid.org/0000-0003-1657-2823

Correspondence address: Anderson Rocha de J. Fernandes Universidade Federal de Minas Gerais, Faculdade de Ciências Econômicas, Centro de Desenvolvimento e Planejamento Regional Avenida Antônio Carlos, 6627 - CEP 31270-901 Pampulha - Belo Horizonte - MG - Brazil

Study	Model	Result
Treynor and Mazuy (1966)Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market.Harvard Business Review,44(4), 131-136.	CAPM plus market timing.	Investment fund managers cannot anticipate the market. Without evidence of curvature in characteristic lines of the funds addressed, i.e. the estimated parameter of market timing is not statistically significant.
Ang and Chua (1979)Ang, J. S., & Chua, J. H. (1979). Composite measures for the evaluation of investment performance.Journal of Financial and Quantitative Analysis,14(2), 361-384.	CAPM plus skewness.	The Sharpe-Lintner-Mossin CAPM is unsatisfactory in assessing fund performance, but this is influenced by co-skewness.
Study	Model	Result
Ippolito (1992)	CAPM	CAPM was used to calculate the risk-adjusted return on investment funds, relating it to investors’ reaction to information.
Wermers (2000)Wermers, R. (2000). Mutual fund performance: an empirical decomposition into stock‐picking talent, style, transactions costs, and expenses.The Journal of Finance ,55(4), 1655-1703.	FFC	Uses the FFC to calculate the investment funds’ risk-adjusted performance. Fund performance was sufficient to cover its costs, but in net terms, the result was negative.
Moreno and Rodríguez (2009)	CAPM and FFC plus co-skewness.	The co-skewness parameter sign causes changes in the intercept (alpha) of the estimated models. The relation is significant for 80% in the CAPM and between 20 and 40% in the FFC.
Barber et al. (2016)	CAPM, FF3, FFC, FFC plus industrial factors and FF5 plus industrial factors.	Investors, in general, look only at the fund market risk, addressing the other factors as alphas. The CAPM alpha showed to be the most closely related to fundraising.
Almeida (2004)Almeida, M. A. (2004). Análise das preferências dos investidores: uma análise de dados em painéis. In Anais do Encontro Brasileiro de Finanças. Rio de Janeiro, RJ/Brasil: Sociedade Brasileira de Finanças.	CAPM plus skewness and kurtosis.	Brazilian funds had positive coefficients for co-skewness and negative for co-kurtosis.
Rochman and Eid (2006)Rochman, R. R., & Eid, W., Jr. (2006). Fundos de investimento ativos e passivos no Brasil: comparando e determinando os seus desempenhos. In Anais do Encontro Nacional da Associação de Pós-Graduação e Pesquisa em Administração (pp. 1-16), Salvador, BA/Brasil: ENANPAD.	CAPM	Active and multi-market stock funds generally have positive alpha values and add value to investors.
Milani, Ceretta, Barba and Casarin (2010)	CAPM with co-skewness and co-kurtosis.	Higher comoments were not relevant for the CAPM specification in the Brazilian fund market.
Borges and Martelanc (2015)Borges, E. C., & Martelanc, R. (2015). Sorte ou habilidade: uma avaliação dos fundos de investimento no Brasil.Revista de Administração,50(2), 196-207.	FFC	The model was used to estimate alpha values and to evaluate managers’ ability to achieve abnormal positive returns. The fact takes place, mainly, with large funds.

Variable	Proxy
R_i- R_f Excess return of fund i	Fund return subtracted of the CDI rate.
R_M- R_f Excess market return	Market portfolio return (IBOVESPA) subtracted of the CDI rate.
[R _M - E(R _M ) ]² Co-skewness	Square deviation of the market portfolio return from its mean.
[R _M - E(R _M ) ]³ Co-kurtosis	Cubic deviation of the market portfolio return from its mean.
SMB Size factor	Average stock portfolio return with small market value subtracted of return on high market value stocks.
HML Book-to-market factor	Return on high book-to-market value portfolios subtracted of return on low book-to-market value stock portfolio.
RMW Profitability factor	Return on stocks of companies with strong profitability subtracted of return on stocks of companies with weak profitability.
CMA Investment factor	Return on stocks of companies with conservative investment policy subtracted of return on stocks of companies with aggressive investment policies.
MOM Momentum factor	Difference between returns on winning stocks and returns on losing stocks within the 11 months prior to portfolio formation.
CL Net fundraising	Net allocation of resources to the equity of funds, i.e. difference between inflows and outflows. The CL is calculated according to equation 12.
α Alpha	Intercept of the pricing models estimated. A statistically significant alpha value indicates the existence of returns different from that expected for the fund.
txadm Administration fee	Value of the last administration fee charged by the fund within the period.
Txperf Performance fee	Dummy variable indicating the performance fee charged (1) or not (0) by the fund.
lnPL Fund size	The Neperian logarithm of the fund’s average net equity.
Id Fund’s age	Fund’s age measured in months.

	Obs. (n)	Funds (n)	Mean	SD	Assym.	Kurt.	1^st quartile	Mean	3^rd quartile	Min.	Max.	Jarque-Bera
P1	28,561	169	0.025	0.057	-0.152	0.186	-0.011	0.025	0.064	-0.165	0.184	0.000
P2	28,392	168	0.017	0.050	-0.057	0.639	-0.012	0.017	0.046	-0.166	0.184	0.000
P3	28,392	168	0.013	0.047	-0.149	0.934	-0.011	0.014	0.039	-0.167	0.184	0.000
P4	28,561	169	0.010	0.048	-0.014	0.744	-0.016	0.011	0.036	-0.165	0.184	0.000
P5	28,392	168	0.008	0.047	-0.040	0.707	-0.019	0.010	0.035	-0.167	0.184	0.000
P6	28,392	168	0.006	0.045	-0.058	0.712	-0.019	0.008	0.032	-0.165	0.178	0.000
P7	28,561	169	0.004	0.046	-0.074	0.598	-0.022	0.006	0.031	-0.167	0.174	0.000
P8	28,392	168	0.002	0.049	-0.022	0.503	-0.025	0.003	0.030	-0.167	0.179	0.000
P9	28,392	168	-0.001	0.048	-0.090	0.667	-0.028	0.000	0.027	-0.167	0.174	0.000
P10	28,561	169	-0.010	0.058	0.057	0.190	-0.045	-0.010	0.024	-0.167	0.184	0.006
IBOVESPA	169	-	0.011	0.071	-0.311	0.408	-0.035	0.010	0.064	-0.248	0.179	0.123

Panel A			CAPM									CAPM with comoments
Free Stocks			Mean alpha			R_M - R_F			Adj. R²			Mean alpha			R_M - R_F			(R_M - R_F)²	(R_M - R_F)³	Adj. R²
P1			0.0088			0.6287			0.5311			0.0081			0.7128			0.0522	-5.6569	0.5336
Value p			0.0000			0.0000						0.0000			0.0000			0.0000	0.0000
P2			0.0078			0.6246			0.5675			0.0079			0.6971			-0.0356	-6.6569	0.5679
Value p			0.0000			0.0000						0.0000			0.0000			0.0000	0.0000
P3			0.0068			0.6224			0.6005			0.0057			0.6142			0.3354	3.0086	0.6034
Value p			0.0000			0.0000						0.0000			0.0000			0.0000	0.0000
P4			0.0048			0.6439			0.5877			0.0052			0.5506			-0.2204	1.7525	0.5880
Value p			0.0000			0.0000						0.0000			0.0000			0.0000	0.0000
P5			0.0023			0.4397			0.5747			0.0040			0.6393			-0.2756	-3.0106	0.5768
Value p			0.0000			0.0000						0.0000			0.0000			0.0000	0.0000
P6			0.0015			0.6185			0.6068			0.0034			0.6055			-0.5694	-0.1663	0.6092
Value p			0.0000			0.0000						0.0000			0.0000			0.0000	0.0070
P7			0.0001			0.6174			0.5568			0.0009			0.6709			-0.3687	-7.6741	0.5603
Value p			0.7990			0.0000						0.0005			0.0000			0.0000	0.0000
P8			-0.0018			0.6640			0.6232			-0.0008			0.7009			-0.3802	-5.6960	0.6237
Value p			0.0000			0.0000						0.0087			0.0000			0.0000	0.0000
P9			-0.0050			0.6062			0.5349			-0.0027			0.6704			-0.7139	-6.7080	0.5397
Value p			0.0000			0.0000						0.0000			0.0000			0.0000	0.0000
P10			-0.0142			0.6434			0.4244			-0.0121			0.7094			-0.6027	-4.7179	0.4263
Value p			0.0000			0.0000						0.0000			0.0000			0.0000	0.0000
Panel B		FFC												FFC with comoments
Free Stocks		Mean alpha		R_M-R_F		SMB		HML		MOM		Adj. R²		Mean alpha		R_M-R_F		SMB	HML	MOM	(R_M-R_F)²	(R_M-R_F)³	Adj. R²
P1		0.0042		0.7357		0.1899		-0.0003		0.1923		0.5539		0.0053		0.8192		0.2244	0.0053	0.1719	-0.4595	-7.8881	0.5562
Value p		0.0000		0.0000		0.0000		0.3495		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P2		0.0062		0.6874		0.1341		-0.0860		0.0957		0.5889		0.0049		0.7337		0.2150	-0.0910	0.1489	0.0181	-3.4767	0.5894
Value p		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P3		0.0050		0.6503		0.1982		-0.1406		0.1342		0.6229		0.0055		0.6805		0.1241	-0.0899	0.1262	-0.1158	-3.8215	0.6237
Value p		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P4		0.0035		0.6744		0.0603		-0.0475		0.0990		0.5987		0.0060		0.7040		0.0897	0.0257	0.0661	-0.7046	-3.2189	0.5989
Value p		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P5		0.0017		0.6087		0.1295		-0.0891		0.1127		0.5881		0.0029		0.5654		0.1297	-0.0688	0.1169	-0.7153	-11.0953	0.5900
Value p		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P6		-0.0001		0.7005		0.1546		-0.0403		0.1416		0.6157		0.0014		0.7071		0.1806	-0.0342	0.0743	-0.2960	-4.1066	0.6186
Value p		0.6472		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P7		-0.0011		0.6592		0.1349		-0.0839		0.1131		0.5700		-0.0011		0.6680		0.1428	-0.0846	0.1339	-0.0936	-0.4175	0.5724
Value p		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P8		-0.0024		0.7649		0.0410		-0.0536		0.0951		0.6310		-0.0038		0.9336		0.1370	-0.0666	0.0210	0.7921	-9.2826	0.6311
Value p		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P9		-0.0052		0.6927		0.0978		-0.0048		0.0605		0.5385		-0.0030		0.8014		0.1357	-0.0324	0.0752	-0.6790	-7.6808	0.5426
Value p		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
P10		-0.0148		0.6763		0.1712		-0.0520		0.0816		0.4307		-0.0122		0.7461		0.1421	-0.0522	0.1000	-0.8994	-7.5522	0.4319
Value p		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000		0.0000	0.0000	0.0000	0.0000	0.0000
Panel C		FF5														FF5with comoments
Free Stocks		Mean alpha		R_M-R_F		SMB		HML		RMW		CMA		Adj. R²		Mean alpha		R_M-R_F	SMB	HML	RMW	CMA	(R_M-R_F)²	(R_M-R_F)³	Adj. R²
P1		0.0050		0.7567		0.1861		-0.0076		0.1234		-0.0390		0.5426		0.0059		0.7550	0.1740	0.0111	0.0594	0.0039	-0.0864	-5.8870	0.5454
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P2		0.0068		0.6941		0.1483		-0.0639		0.0450		-0.0058		0.5884		0.0062		0.6823	0.1953	-0.0922	0.0993	-0.0413	0.0621	-1.4729	0.5888
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P3		0.0064		0.6799		0.2024		-0.1108		0.0948		-0.0749		0.6214		0.0073		0.5926	0.1489	-0.1051	0.0951	-0.0059	-0.2023	3.6712	0.6220
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P4		0.0045		0.7350		0.1694		-0.0727		0.1324		-0.0339		0.5996		0.0040		0.7757	0.0740	-0.0308	0.0433	-0.0296	0.2823	-1.3150	0.5997
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P5		0.0028		0.5929		0.1060		-0.0597		0.0897		-0.0437		0.5893		0.0047		0.6658	0.1222	-0.0708	0.0981	-0.0348	-0.6015	-6.5830	0.5909
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P6		0.0013		0.6336		0.0758		0.0305		0.0145		-0.0672		0.6158		0.0018		0.4895	0.0825	-0.0943	0.0287	-0.0391	-0.2390	0.8844	0.6182
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P7		0.0003		0.6787		0.1719		-0.0819		0.1122		-0.0459		0.5722		0.0016		0.6947	0.1880	-0.0970	0.1346	-0.0559	-0.5707	-8.4513	0.5740
Value p		0.2518		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P8		-0.0014		0.7522		0.1184		-0.0846		0.1218		-0.0444		0.6305		-0.0013		0.7337	0.1133	-0.0624	0.0109	-0.0415	0.0102	0.7510	0.6305
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0002		0.0000	0.0000	0.0000	0.0000	0.0000	0.2467	0.0000
P9		-0.0058		0.6235		-0.0849		0.1826		0.0593		-0.1724		0.5388		-0.0029		0.6943	0.1632	-0.0174	0.1439	-0.0986	-0.7829	-7.0731	0.5430
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P10		-0.0143		0.6396		0.2031		-0.0697		0.1397		0.0067		0.4316		-0.0125		0.7474	0.1521	-0.0207	0.1195	0.0165	-0.4859	-5.8396	0.4331
Value p		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000				0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
Panel D	FF5M								FF5M e comomentos
Free Stocks	Mean alpha	R_M-R_F	SMB	HML	RMW	CMA	MOM	Adj. R²	Mean alpha	R_M-R_F	SMB	HML	RMW	CMA	MOM	(R_M-R_F)²	(R_M-R_F)³	Adj. R²
P1	0.0039	0.7530	0.2233	-0.0345	0.0724	-0.0248	0.1731	0.5613	0.0048	0.7864	0.1803	-0.0425	0.0256	-0.0844	0.2244	-0.0908	-9.3248	0.5644
Value p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P2	0.0056	0.7431	0.1793	-0.0931	0.0655	-0.0363	0.1037	0.6012	0.0043	0.5654	0.2312	-0.1066	-0.0098	-0.0431	0.2312	-0.0683	-5.1290	0.6024
Value p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P3	0.0047	0.7069	0.2600	-0.1489	0.1117	-0.0439	0.1400	0.6344	0.0029	0.6532	0.2063	-0.1425	0.0701	-0.0426	0.1182	0.5155	-2.8381	0.6345
Value p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P4	0.0035	0.6631	0.1558	-0.1273	0.0261	-0.0372	0.0869	0.6067	0.0038	0.7482	0.1952	-0.0473	0.0695	-0.0447	0.0969	-0.2369	-3.3619	0.6072
Value p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P5	0.0010	0.5651	0.1568	-0.0607	0.0523	-0.0349	0.1275	0.5958	0.0037	0.7554	0.1241	-0.0713	0.0540	-0.0391	0.1169	-0.6168	-6.9189	0.5978
Value p	0.0001	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P6	-0.0004	0.6137	0.1394	-0.1198	0.0086	-0.0427	0.1410	0.6214	0.0027	0.7109	0.0274	0.0409	0.1059	0.0100	0.1049	-1.0849	-13.1493	0.6246
Value p	0.1454	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P7	-0.0011	0.6741	0.1660	-0.0987	0.0912	-0.0694	0.1015	0.5796	-0.0001	0.7113	0.1491	-0.0790	0.1071	-0.0323	0.0932	-0.3152	-4.6040	0.5817
Value p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.5878	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
P8	-0.0028	0.7367	0.2027	-0.0705	0.1078	-0.0679	0.0801	0.6347	-0.0027	0.7670	0.1435	-0.0649	0.0417	-0.0526	0.0848	0.0009	-2.4949	0.6349
Value p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.8888	0.0000
P9	-0.0047	0.8481	0.1059	0.0264	0.0090	-0.1364	0.0819	0.5404	-0.0038	0.6986	0.0806	0.0012	0.0342	-0.0527	0.0553	-0.6598	-7.0704	0.5446
Value p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.1213	0.0000	0.0000	0.0000	0.0000	0.0000
P10	-0.0146	0.6991	0.2095	-0.0487	0.0859	0.0130	0.0615	0.4331	-0.0110	0.8101	0.2637	-0.0579	0.1335	0.0779	0.1398	-1.4576	-12.7227	0.4347
Value p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000

	Model					Models with comoments
Free Stocks	Mean intercept	Alpha	lnPL	CL_t-1	Adj. R²	Mean intercept	Alpha	lnPL	CL_t-1	Adj. R²
CAPM	-0.4783	1.8301	0.0263	0.0569	0.0217	-0.3354	1.7940	0.0178	0.0679	0.0186
P value	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000
FFC	-0.3300	1.7327	0.0186	0.0295	0.0132	-0.1505	1.7081	0.0080	0.0418	0.0119
P value	0.0000	0.0000	0.0000	0.0004		0.0000	0.0000	0.0001	0.0000
FF5	-0.4882	1.9812	0.0272	0.0581	0.0216	-0.3486	1.7602	0.0191	0.0626	0.0165
P value	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000
FF5M	-0.4642	1.9132	0.0267	0.0430	0.0201	-0.3121	1.8641	0.0176	0.0415	0.0155
P value	0.0000	0.0000	0.0000	0.0000		0.0000	0.0000	0.0000	0.0000

	FFC							FFC with comoments
Free Stocks	Cons.	Alpha	txadm	txperf	lnPL	Age	Adj. R²	Cons.	Alpha	txadm	txperf	lnPL	Age	Adj. R²
P1	0.415	-4.227	2.293	-0.188	-0.032	0.003	-0.161	0.372	-2.331	2.489	-0.204	-0.031	0.003	-0.169
P valor	0.614	0.754	0.699	0.331	0.522	0.350		0.661	0.877	0.685	0.280	0.550	0.315
P2	0.324	7.092	-0.475	-0.001	-0.020	0.000	-0.068	0.320	7.162	-0.511	0.000	-0.020	0.000	-0.064
P valor	0.363	0.086	0.809	0.986	0.357	0.867		0.367	0.083	0.794	0.996	0.357	0.861
P3	-0.174	3.765	0.152	-0.008	0.009	0.000	0.028	-0.197	3.395	0.083	-0.006	0.010	0.000	-0.008
P valor	0.208	0.128	0.806	0.650	0.270	0.786		0.159	0.177	0.895	0.718	0.216	0.787
P4	-0.084	-3.332	-0.001	0.030	0.005	0.000	-0.177	-0.083	-3.558	-0.001	0.031	0.006	0.000	-0.159
P valor	0.532	0.385	0.518	0.255	0.481	0.593		0.532	0.344	0.507	0.249	0.469	0.565
P5	-0.178	-1.052	-0.001	-0.002	0.012	0.000	-0.147	-0.185	-1.965	-0.001	-0.002	0.013	0.000	-0.137
P valor	0.354	0.805	0.416	0.947	0.314	0.463		0.327	0.664	0.437	0.942	0.285	0.435
P6	-0.020	3.731	0.122	-0.005	0.000	0.000	-0.235	-0.029	4.374	0.059	-0.005	0.000	0.000	-0.218
P valor	0.879	0.319	0.925	0.861	0.998	0.712		0.828	0.275	0.964	0.855	0.979	0.674
P7	-0.243	6.972	-0.001	-0.025	0.014	0.000	-0.073	-0.244	5.994	-0.001	-0.021	0.014	0.000	-0.138
P valor	0.273	0.129	0.719	0.411	0.266	0.843		0.285	0.194	0.736	0.486	0.295	0.889
P8	0.033	-0.140	0.661	0.002	-0.002	0.000	-0.091	0.032	-0.197	0.662	0.002	-0.002	0.000	-0.091
P valor	0.751	0.958	0.205	0.903	0.700	0.368		0.753	0.942	0.205	0.897	0.701	0.367
P9	0.110	1.568	0.000	0.041	-0.003	-0.001	0.447	0.111	1.966	0.000	0.041	-0.003	-0.001	0.453
P valor	0.295	0.449	0.906	0.078	0.632	0.001		0.287	0.375	0.901	0.079	0.613	0.002
P10	-0.359	0.980	-0.191	-0.034	0.025	0.000	0.063	-0.359	0.815	-0.257	-0.033	0.025	0.000	0.060
P valor	0.052	0.727	0.909	0.411	0.044	0.969		0.054	0.767	0.876	0.427	0.047	0.997

R_{i t} - R_{f t} = α_{i} + β_{i} (R_{M t} - R_{f}) + s_{i} {S M B}_{t} + h_{i} {H M L}_{t} + r_{i} {R M W}_{t} + c_{i} {C M A}_{t} + ε_{i t}

β_{i} = \frac{E [(R_{i} - {\bar{R}}_{i}) (R_{M} - {\bar{R}}_{M})]}{E [{(R_{M} - {\bar{R}}_{M})}^{2}]}

γ_{i} = \frac{E [(R_{i} - {\bar{R}}_{i}) {(R_{M} - {\bar{R}}_{M})}^{2}]}{E [{{(R}_{M} - {\bar{R}}_{M})}^{3}]}

δ_{i} = \frac{E [(R_{i} - {\bar{R}}_{i}) {(R_{M} - {\bar{R}}_{M})}^{3}]}{E [{(R_{M} - {\bar{R}}_{M})}^{4}]}

E (R_{i}) - R_{f} = β_{i} (R_{M} - R_{f}) + γ_{i} {(R_{M} - E (R_{M}))}^{2} + δ_{i} {(R_{M} - E (R_{M}))}^{3}

\ln {C L}_{i t} = \ln (\frac{{P L}_{i t}}{{P L}_{i t - 1}}) + \ln (1 + \frac{r_{i t}}{2}) - 2 \ln (1 + r_{i t})

R_{i t} - R_{f t} = a_{i} + b_{i} (R_{M t} - R_{f t}) + s_{i} {S M B}_{t} + h_{i} {H M L}_{t} + r_{i} {R M W}_{t} + c_{i} {C M A}_{t} + e_{i t}

R_{i t} - R_{f t} = a_{i} + b_{i} (R_{M t} - R_{f t}) + g_{i} {(R_{M t} - E (R_{M}))}^{2} + d_{i} {(R_{M t} - E (R_{M}))}^{3} + e_{i t}

{C L}_{i} = b_{0} + b_{1} a_{i} + b_{2} \ln {P L}_{i} + b_{3} {t x a d m}_{i} + b_{4} {t x p e r f}_{i} + b_{5} {i d}_{i} + e_{i}

[1] Correspondence address: Anderson Rocha de J. Fernandes Universidade Federal de Minas Gerais, Faculdade de Ciências Econômicas, Centro de Desenvolvimento e Planejamento Regional Avenida Antônio Carlos, 6627 - CEP 31270-901 Pampulha - Belo Horizonte - MG - Brazil

Brasil

Brasil

Performance measurement models and their influence on net fundraising of investment funds

ABSTRACT