THE IMPACT OF DERIVATIVES ON THE MANAGEMENT OF WINNER BRAZILIAN HEDGE FUNDS CONSIDERING THEIR RISK AND RETURN
DOI:
https://doi.org/10.18028/rgfc.v9i1.6056Keywords:
Winner Funds; Hedge Funds; Derivatives.Abstract
Managers to reverse deficits or increment the return of investments funds frequently adopt the derivative usage. Although, there is a literature gap related to thistopic inside the context of winner hedge funds. By this way, this paper aims to verify if managers of hedge funds with the higher performance in the last semester that also invested more in derivatives in the subsequent semester, raised the level of risk and return offered to unitholders. For such we evaluated a sample of 727 Brazilian hedge funds. As main method, we highlight the use of GMM, applied to panel data. The results pointed that managers of winner funds, that increase the derivative usage, also amplify the total and systematic risk of these funds. However, a higher adjusted return was also offered to this fund unitholder (qualified or not). In practical, even if this strategy related to derivative usage do not generate a decrease in investor wealth, this fact do not exempt managers from the responsibility of using risk management tools as well as disclosing operations implemented with derivatives (and their risks) for the investors, especially the least qualified ones.
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