PTWho manages your pension fund better?
Almost all new money in Brazil's open private pension plans (PGBL and VGBL) goes to companies linked to the big banks. The research compared 4,090 pension funds, from 2010 to 2022, to see whether the managers of the five largest banks deliver more or less than independent managers. Explained in 12 screens.
Height = number of pension funds in each group that year (blue: five big banks; red: independent managers). Approximate values, read from the dissertation's Chart 9. In 2022, the independents end up with more funds.
The public pension will weigh more and more on fewer people
In Brazil's public system (INSS), today's workers pay the pensions of those who have retired. With fewer children and longer lives, the math gets tight, and the country has passed seven reforms since 1993. So each family takes on part of its own planning.
Data cited by the dissertation (Senate News Agency; INSS). In 2022, the INSS granted 1,327,990 pensions, with an average value of R$ 1,710.18.
In a pension plan, the tax falls the longer the money stays
In a PGBL, people who file the full tax return deduct their contributions (up to 12% of gross income) and pay tax on everything when they withdraw. In a VGBL, tax applies only to the earnings. Under the regressive table, the rate falls from 35% to 10% over time.
illustration A R$ 10,000 contribution that earned R$ 6,000: invented numbers. The rates are those in Table 3. The calculation leaves out the yearly deduction the PGBL gives on the tax return, and the progressive table (15% withheld, adjusted from 0% to 27.5%).
Five bank-linked companies take almost all the new money
The banks' branch networks make it easy to sell the plans, and the result is a market the author calls an oligopoly. The research question comes from there: do people who buy at the bank get better management, or just more expensive management?
Fenaprevi data cited by the dissertation (sections 1 and 2.1).
The research gathered 4,090 pension funds and split them into two teams
On one side, the funds of the managers of Itaú, Bradesco, Banco do Brasil, Santander and Caixa (1,788 funds, our count). On the other, those of all other managers (2,302), such as XP, BTG Pactual, Icatu, SulAmérica and JGP.
Table 1 (Economatica). Only funds active in January 2023 (the author calls it survivorship bias). A fund is on the banks' team when the bank's name is in the fund's name.
The banks' funds are bigger and charge a little more
The number of independent funds grew fast after 2018 and, in 2022, overtook the banks'. But in size, the banks' funds are still much bigger. And their average management fee is a little higher.
Number of funds per year read from Chart 9 (approximate values; the total, ~16.6 thousand fund-years, matches the 16,573 observations of the first model in Table 6). Size, fee and minimum investment: Table 4, January 2023.
Earning more is not enough: you have to see how much risk the fund took
The dissertation measured each fund with classic yardsticks. All of them compare the fund with the Selic rate, what you would earn with no risk. Pick an invented fund and move its return to see how each yardstick reacts.
illustration Funds, Selic (10%) and Ibovespa (15%) are invented. The formulas follow section 2.9; the dissertation computes the yardsticks from each fund's daily quotes, year by year.
Six yardsticks compare the two teams on similar funds
The model compares funds from the same year with similar size, risk and fee. Place your bets: on each yardstick, did the banks' funds come out better, the same, or worse for savers?
Full model from Tables 6, 11, 13, 15, 17 and 19. Height = steps of certainty (p < 0.10; < 0.05; < 0.01); a flat grey column = no clear difference. The dissertation does not give the units of alpha, Sharpe, Sortino and Treynor, so only return and fee appear in percentage points.
In the simple comparison, the two teams seem tied on return
Before comparing similar funds, look only at the average. Guess: in the simple comparison, did the banks' funds earn more, the same, or less?
Tables 6, 13, 15, 17 and 19. Dot = the banks' difference relative to the independents; line = 95% range (coefficient ± 1.96 standard errors, our calculation). Note: when the fee enters (models 4 and 5), the model uses only funds with a reported fee, about half of the observations (our observation).
The banks' funds earned less in 7 of the 13 years
Because the number of funds changed a lot over the period, the author also ran the model year by year. The difference is not always the same: in three years, the banks came out ahead. Tap a bar to see the year.
Our count, with p < 0.01 in every year counted (Tables 8 and 9 use the funds with a reported fee, from 144 in 2010 to 2,000 in 2022).
The difference shows up mainly in multi-asset and fixed-income funds
Splitting funds by type, the banks' multi-asset funds fall behind on all six yardsticks. In fixed income, on four. In equity, the group is small (339 fund-years) and only weak hints appear. Tap a column or choose a type.
See as a table
What changes for savers, managers and regulators
Savers
Look at the fee and the risk yardsticks before accepting the branch's plan. Portability lets you switch funds or companies without withdrawing and without paying tax on the switch.
Banks and managers
The dissertation notes that higher fees are justified in actively managed funds, which try to beat the market. With more managers and open platforms, competition tends to push fees down.
Regulators
The author sees open banking and open finance as a way for savers to compare products and for the concentrated market to become more competitive.
Researchers
Suggested next step: check whether the banks' funds earn less because they track their benchmarks more closely, with more passive management.
This page shares academic research; it is not investment advice.
What this research does not say
- Only the funds that survived. The data have the funds active in January 2023; those that closed along the way were left out. · according to the author
- Maximum fee, team by name. The research used each fund's maximum fee (larger investors usually pay less) and classified a fund as a bank fund by its name. · according to the author
- Association, not cause. The model shows that the banks' funds went along with worse results, not why. The author herself speaks of "correlation" and of "partial" results. · our observation
- Direction more than size. Without the units of alpha, Sharpe, Sortino and Treynor, the page shows only which way they went. And the full models use about half of the data and explain little of what changes within each year (13.8% for return). · our observation
Credits
SCHIONATO, Vanessa Andrade de Castro. Análise de desempenho dos fundos de previdência complementar aberto VGBL/PGBL entre 2012 e 2022. Master's dissertation (Business Administration), Mackenzie Presbyterian University, São Paulo, 2024. Advisor: Prof. Dr. Denis Forte.
Research supported by CAPES (Brazil's federal agency for graduate education). Data from Economatica; analysis in R. The title says 2012 to 2022, but the result tables cover 2010 to 2022. This version simplifies the work for the general public; the formulas and full tables are in the original text.