ARTÍCULO
TITULO

PERFORMANCE OF FIXED INCOME FUNDS IN BRAZIL: MARKET-TIMING AND STYLE ANALYSIS

Mariana Aparecida Calabrez Oreng    
William Eid Junior    
Claudia Emiko Yoshinaga    

Resumen

This study investigates whether managers of Fixed Income Brazilian funds exhibit market-timing abilities and what are the main components driving a fund?s return. Measuring timing ability of Fixed Income funds? managers has a lot to do with their ability to anticipate interest rate movements. We also conduct a style analysis in order to check the main drives of return of these funds. We collected information on 338 Brazilian FI funds, and data goes from January 2003 to April 2016. Our results indicate that managers of FI funds in Brazil do not exhibit market-timing abilities, which is, they consistently underperform the market. Style analysis demonstrates that funds are well classified. We contribute to the literature by providing evidence on market timing abilities of Fixed Income fund managers. 

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