Aplicação da análise por envoltória de dados para medir o impacto da pandemia COVID-19 na performance de fundos de investimento em renda fixa

Abstract

In view of the impact of the Covid­19 pandemic on several sectors of the global economy, this study aims to use the Data Envelopment Analysis tool to measure the impact of the Covid19 pandemic on the performance of Fixed Income Investment Funds. Therefore, it was necessary to describe the main fixed income securities, explain the risks involved in investment funds, collect fund data in 2020 and, finally, analyze these data with the DEAWindows methodology and Tobit regression. For the study, all Investment Funds in the category Anbima Fixed Income with Long Duration and Investment Grade were chosen, totaling 16 Funds, and performance was measured in 3 time periods: January and February, March and April and May to December. In order to verify which variables impacted the performance of the funds, input variables was Administration Fee, Number of shareholders, Minimum Initial Investment and Standard Deviation of Return and the following variables were used as output: Return, Lifetime, Total assets under management and Balance. As result, it was found that the variables Return and Lifetime of the fund had a positive impact during the period from May to December 2020. The variable minimum initial investment had a negative impact in the same period. For the other variables, it is not possible to say whether there was a positive or negative impact on performance. Finally, although the study was limited to public data only, it was concluded that the study achieved its objectives and the use of restricted and internal data in future research was recommended.