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[pt] AVALIAÇÃO DE DESEMPENHO DE FUNDOS DE PREVIDÊNCIA RENDA FIXA / [en] PERFORMANCE EVALUATION OF FIXED INCOME PENSION FUNDSCRISTIANO MAROJA DE MEDEIROS 24 September 2015 (has links)
[pt] Esse trabalho procura verificar como se comportaram os fundos de
Previdência Renda Fixa no Brasil, no período de 2003 a 2014. A amostra utilizada
nesta pesquisa corresponde a 382 fundos, que representam aproximadamente 99 por cento
do total de recursos investidos em fundos de previdência de renda fixa. O intuito da
pesquisa foi (i) analisar o comportamento dos fundos da categoria e observar se
possuem capacidade satisfatória de desempenho, (ii) ampliar tal análise para um
grupo segregado de fundos selecionados pela característica de isenção de cobrança
de taxas, nomeados como Fundos Master, (iii) avaliar se existe diferença de gestão
entre gestores nacionais e estrangeiros e, (iv) investigar a possibilidade de criação
de um índice benchmark para o setor, com o intuito de facilitar a avaliação por parte
do investidor ao longo do investimento. Os resultados indicaram, através do estudo
do Índice de Sharpe Histórico, que os fundos de Previdência Renda Fixa, no período
analisado, não conseguiram atingir um resultado satisfatório. Entretanto, o grupo
de Fundos Master conseguiu uma performance superior aos da categoria, obtendo
também um excesso de retorno com significância estatística de 5 por cento. Em relação ao
comparativo entre gestores nacionais e estrangeiros, não se pode afirmar que existe
diferença significativa entre eles. Os resultados ainda concluíram que o coeficiente
relativo ao CDI é extremamente relevante, demonstrando o seu uso como único
benchmark. / [en] This dissertation analyses the performance of the Brazilian Fixed Income
Pension funds, from 2003 to 2014. The sample used in this study corresponds to
382 funds, representing approximately 99 percent of total assets in fixed income pension
funds industry. The aim of the study was (i) to analyze the behavior of such category
of funds and observe if they have satisfactory performance capacity, (ii) extend this
analysis to a segregated group of selected funds by the characteristic of charging
fees exemption, named Master Funds (iii) assess whether there are differences in
management between brazilian and foreign managers, and (iv) investigate the
possibility of creating a benchmark index for the sector in order to facilitate the
assessment by the investor during the investment decision. The results indicated,
considering Historical Sharpe ratio, that the Fixed Income Pension funds failed to
achieve a satisfactory result. However, the Master Fund group achieved a superior
performance to the category, also getting an excess return with statistical
significance of 5 percent. Regarding the comparison between domestic and foreign
managers, we cannot say that there is significant difference between them. The
results also found that the relative ratio to CDI is highly relevant, demonstrating its
use as a unique benchmark.
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Pricing and risk management of fixed income securities and their derivatives. / CUHK electronic theses & dissertations collection / Digital dissertation consortium / ProQuest dissertations and thesesJanuary 2001 (has links)
In the first essay, this thesis provides a new methodology for pricing the fixed income derivatives using the arbitrage-free Heath-Jarrow-Morton model (hereafter HJM model). While, most previous empirical implementations of HJM model like that by Amin and Morton (1994) are focused on one-factor model only, the essay attempts to extend the test to a two-factor model that could further capture the subtleties of the forward rate process. The two-factor Poisson-Gaussian version of HJM model derived by Das (1999) that incorporates a jump component as the second state variables is used to value the actively traded Eurodollar futures call option under the jump diffusion lattice. The one-factor and two-factor models are compared with five volatility functions to evaluate the degree of pricing improvement by the inclusion of one more state variable. / The essay also addresses the critical issues on the volatility structure of forward rates that affect the pricing performance of option under the HJM framework. Three new volatility specifications are constructed to estimate the traded options. The first volatility function is the humped & curvature adjusted model that allows for humped shape in volatility structure and better adjustment to the curvature of the term structure. The second is the humped & proportional model that exhibits humped volatility feature and is proportional to the forward rate. The third function is the linear exponential model that is extended from Vasicek's exponential model. They are compared with two other volatility structures developed by previous researchers on their pricing performances. The alternative models are examined from the perspectives of in-sample fit, out-of-sample pricing and hedging. / The second essay develops an approach for estimating the Value-at-Risk (hereafter VaR) with jumps using the Monte Carlo simulation method. It is by far the first paper to estimate VaR using the HJM model. The paper takes the framework of the Poisson Gaussian version of HJM model (hereafter, HJM jump-diffusion model) from Das (1999). The model is incorporated with a jump component to capture the kurtosis effect in the daily price changes. As a result, the HJM jump-diffusion model allows for the fat tailed and skewed distribution of return in most financial markets. The simulation process is expedited by using variance reduction method. The model is used for calculating the VaR of a portfolio consisting of the fixed income derivatives. The accuracy of the VaR estimates is examined statistically at the VaR at confidence level of both 95 and 99 percent. / This thesis is a collection of two essays that explore issues related to the pricing and the risk management of fixed income securities and derivatives in US markets. In the context of the pricing of derivatives, the arbitrage-free pricing approach is adopted. For the issue of risk management, the estimation of Value-at-Risk is presented. / by Ze-To Yau Man. / Source: Dissertation Abstracts International, Volume: 62-09, Section: A, page: 3138. / Supervisors: Jia He; Ying-foon Chow. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (p. 145-151). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.
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Análise de desempenho das maiores administradoras de fundos de investimentos de renda fixa no BrasilBraga, Alexandre Xavier Vieira 21 December 2005 (has links)
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Previous issue date: 21 / Nenhuma / A indústria de fundos de investimento no Brasil está concentrada no segmento de renda fixa. Dos cerca de R$ 220 bilhões depositados em fundos, hoje, R$ 200 bilhões aproximadamente estão nesse segmento e R$ 20 bilhões em carteiras de renda variável. Observou-se que no primeiro semestre de 2002, os fundos de investimento em geral tiveram alguns problemas que diminuíram bastante os seus retornos. A mudança da métrica de avaliação dos fundos, da chamada Curva de Juros para a Marcação a Mercado, provocou profundas transformações em termos de mensuração de valor dos fundos de renda fixa. Neste contexto, verificou-se a performance das 17 maiores administradoras de fundos no período 1997-2003 com dados diários. O método empregado foi a Análise de Dados em Painel. A hipótese de que as administradoras de fundos nacionais privadas obtêm igual relação risco-retorno em suas carteiras do que as administradoras de fundos nacionais estatais e as administradoras de fundos estrangeiras não foi comprovada. As administradoras es / The industry of investment fund in Brazil is concentrated in the segment of fixed income. About R$ 220 billion are deposited in funds nowadays, from which R$ 200 billion approximately are in the fixed income segment and R$ 20 billion in variable income portfolios. In the first semester of 2002 it was observed that investment funds in general had substantially reduced their returns. In the wake of the change of the evaluation metrics of funds from yield curves to mark-to-market, caused profound transformation in the value of fixed income funds. In this context, the performance of the 17 biggest asset management firms in the period 1997-2000 in a daily basis has been assessed. The hypothesis that private Brazilian asset management firms have a similar risk-return performance in their portfolios as state and foreign firms has been rejected. Foreign asset management firms had a superior performance with respect to Brazilian private firms, while private firms sustained a superior performance vis-à-vis state firms
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Estratégias de imunização de carteira de renda fixa no BrasilMeirelles, Sofia Kusiak de Sousa 23 January 2015 (has links)
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Previous issue date: 2015-01-23 / This paper aims to statistically compare the performance of two hedging strategies for Brazilian fixed income portfolios, with discrete rebalancing. The first hedging strategy matches duration, and hence it considers only small parallel changes in the yield curve. The alternative methodology ponders level, curvature and convexity shifts through a factor model. We first estimate the yield curve using the polynomial model of Nelson & Siegel (1987) and Diebold & Li (2006) and then immunize the fixed income portfolio using Litterman & Scheinkman’s (1991) hedging procedure. The alternative strategy for portfolio immunization outperforms duration matching in the empirical exercise we contemplate. Additionally, we show that rebalancing the hedging portfolio every month is more efficient than at other frequencies. / Este trabalho visa comparar, estatisticamente, o desempenho de duas estratégias de imunização de carteiras de renda fixa, que são recalibradas periodicamente. A primeira estratégia, duração, considera alterações no nível da estrutura a termo da taxa de juros brasileira, enquanto a abordagem alternativa tem como objetivo imunizar o portfólio contra oscilações em nível, inclinação e curvatura. Primeiro, estimamos a curva de juros a partir do modelo polinomial de Nelson & Siegel (1987) e Diebold & Li (2006). Segundo, imunizamos a carteira de renda fixa adotando o conceito de construção de hedge de Litterman & Scheinkman (1991), porém assumindo que as taxas de juros não são observadas. O portfólio imunizado pela estratégia alternativa apresenta empiricamente um desempenho estatisticamente superior ao procedimento de duração. Mostramos também que a frequência ótima de recalibragem é mensal na análise empírica.
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Análise do alongamento das carteiras dos fundos de previdência complementar abertaVianna Junior, Paulo Roberto M. F. 17 December 2015 (has links)
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Previous issue date: 2015-12-17 / This study aims at analyzing the retirement funds fixed income portfolios’ duration, which are paradoxically short considering the long-term objectives inherent to retirement savings, and the effects of the existing incentives to persistence on the employer sponsored collective plans, such as the contribution from the sponsor and vesting clauses, on the portfolios’ duration. In order to overcome the difficulties in directly observing the analyzed funds portfolios’ durations, it is proposed a duration index built upon the Return Based Style Analysis developed by SHARPE (1992) using the principal components of the Anbima’s Constant Duration Indexes (IDkA) to evaluate the retirement funds monthly returns sensibility to the nominal and real interest rates curves. The obtained results do not show evidences that the funds exclusively linked to employer sponsored collective plans present longer durations than those linked to individual plans or notsponsored collective plans. On the other hand, funds classified as 'Target Date' stand out for presenting longer duration indexes when compared to funds classified as 'Fixed Income' or 'Balanced Portfolios' and show positive correlation with the target year of the fund. This suggest that policies aiming at treating the information set of the agent’s, both investors and portfolio managers, are able to modify the investments allocation. Information is sufficient to improve allocation / O objetivo deste estudo é analisar as durações das carteiras de renda fixa dos fundos previdenciários, que são paradoxalmente curtas em relação aos objetivos de longo prazo inerentes à previdência, e os eventuais efeitos dos incentivos de permanência existentes nos planos coletivos instituídos, como o custeio do instituidor e regras de desligamento – vesting – no alongamento dessas carteiras. Como forma de sobrepujar as dificuldades da observação direta dos prazos de alongamento das carteiras dos fundos analisados, foi proposto um índice de alongamento calcado na Análise de Estilo Baseada nos Retornos desenvolvida por SHARPE (1992) empregando-se as componentes principais dos Índices de Duração Constante da Anbima (IDkA) para a avaliação da sensibilidade dos retornos mensais dos fundos analisados às curvas de juros real e nominal. Os resultados obtidos não mostram evidências de que os fundos que recebem recursos exclusivamente de planos instituídos apresentem duração maior do que daqueles que recebem recursos de planos individuais e coletivos averbados. Por outro lado, os fundos classificados como 'Previdência Data Alvo' pela Anbima destacam-se por apresentar índices de alongamento maiores frente à média dos fundos classificados como 'Previdência Renda Fixa' ou 'Previdência Balanceado' e correlação positiva entre seus índices de alongamento e Ano Alvo do fundo, o que sugere que políticas que trabalhem o conjunto de informação dos agentes, investidores e gestores, são capazes de modificar a alocação dos investimentos. Basta informação para melhorar a alocação.
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Como investidores do segmento Private do Banco do Brasil se comportam em ciclos econômicos “instáveis”, em relação ao seu portfólio de investimentos?Madureira Junior, Aldo 08 January 2018 (has links)
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Previous issue date: 2018-01-08 / Este trabalho tem como propósito contribuir com a literatura por meio de uma pesquisa voltada ao estudo das relações entre os mercados de renda fixa e renda variável no Brasil. Sob essa ótica, o objetivo dessa pesquisa é realizar uma análise por meio de modelos econométricos para explorar a relação entre investimento de renda fixa e renda variável, e como estes são alocados em determinados momentos da economia, seja em tempos de instabilidade econômica ou em tempos relativamente estáveis. Para isso será utilizado um banco de dados, contendo informações com índices, informações financeiras que contribuam na construção deste trabalho, bem como a utilização de modelagem econométrica para a construção de parâmetros que sirvam de apoio para evidenciar os principais resultados deste estudo que, por sua vez, visa afirmar que em tempos de crise os investidores tendem a ter comportamentos mais conservadores em comparação a períodos de certo equilíbrio econômico. Os principais resultados da pesquisa foi a transferência dos ativos de renda variável para renda fixa, demonstrando que em situação de tensão na economia os investidores de fato se tornam mais avesso ao risco. / The purpose of this paper is to contribute to the literature through a research focused on the study of the relationships between fixed income and variable income markets in Brazil. From this perspective, the objective of this research is to perform an analysis through econometric models to explore the relationship between fixed income investment and variable income, and how these are allocated at certain moments of the economy, either in times of economic instability or in times relatively stable. For this purpose, a database will be used, containing information with indexes, financial information that contribute to the construction of this work, as well as the use of econometric modeling for the construction of parameters that serve as evidence to support the main results of this research that, due to its time, it aims to affirm that in times of crisis investors tend to have more conservative behavior compared to periods of certain economic equilibrium. The main results of the research were the transfer of assets from variable income to fixed income, demonstrating that in a situation of tension in the economy, investors do indeed become more risk averse.
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Determinantes de spread de fundos de investimento em direitos creditóriosZacchello, Daniel 13 December 2010 (has links)
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Previous issue date: 2010-12-13 / The main purpose of this study is to identify the determinants of a Receivables Fund (FIDCs) spread. As the previously published papers were about debentures, this one is pioneer in terms of FIDCs. Indeed, understanding the determinants of a FIDCs’ issuance is mandatory for companies which access capital markets to obtain funds. Between 2002 and 2009, the study analyzed 113 public issuances indexed to CDI that had a pre-defined maturity and at least two investors. Those issuances were subject to four Ordinary Least Squares (OLS) regressions. The first regression focused on the variables that affected the rating. The second one excluded all rating related variables and had spread as the dependent variable, while all the others were independent variables. The third one tested a potential non-linearity relation between spread and rating, while the fourth regression tested the spread against all other variables, including those ones related to the rating. The results pointed out that rating is indeed a good determinant for the spread, as well as the issuance volume, the financial institution responsible for the FIDCs’ custody and the macroeconomic environment. These three variables also contributes to determine the rating, along with the number of investors and issuers and if the underlying assets were eventually delivered. The study also concluded that there is no evidence of linearity between spread and rating in FIDCs. The major contribution of this study is to present on first hand a thorough analysis on variables that affect a new type of fixed income investment, the FIDCs, such as the asset nature, credit risk diversification levels and quantity of issuers. The main purpose of this study is to identify the determinants of a Receivables Fund (FIDCs) spread. As the previously published papers were about debentures, this one is pioneer in terms of FIDCs. Indeed, understanding the determinants of a FIDCs’ issuance is mandatory for companies which access capital markets to obtain funds. Between 2002 and 2009, the study analyzed 113 public issuances indexed to CDI that had a pre-defined maturity and at least two investors. Those issuances were subject to four Ordinary Least Squares (OLS) regressions. The first regression focused on the variables that affected the rating. The second one excluded all rating related variables and had spread as the dependent variable, while all the others were independent variables. The third one tested a potential non-linearity relation between spread and rating, while the fourth regression tested the spread against all other variables, including those ones related to the rating. The results pointed out that rating is indeed a good determinant for the spread, as well as the issuance volume, the financial institution responsible for the FIDCs’ custody and the macroeconomic environment. These three variables also contributes to determine the rating, along with the number of investors and issuers and if the underlying assets were eventually delivered. The study also concluded that there is no evidence of linearity between spread and rating in FIDCs. The major contribution of this study is to present on first hand a thorough analysis on variables that affect a new type of fixed income investment, the FIDCs, such as the asset nature, credit risk diversification levels and quantity of issuers. / Este trabalho tem por objetivo identificar fatores que influenciam o spread de cotas seniores de Fundos de Investimento em Direitos Creditórios (FIDC). Trata-se de um estudo pioneiro no segmento de renda fixa, uma vez que os anteriores focaram o spread para debêntures. Entender componentes do spread em FIDCs é muito importante para as empresas que captam recursos no mercado de capitais por meio deste novo instrumento. A análise contemplou 113 ofertas públicas indexadas ao CDI entre 2002 e 2009 que tinham prazo determinado e pelo menos 02 investidores adquirentes das cotas. Foram elaboradas quatro regressões múltiplas pelo método dos Mínimos Quadrados Ordinários (MQO). A primeira visava identificar quais variáveis afetavam o rating. A segunda tinha como variável dependente o spread e as independentes eram todas, excluindo as que afetavam o rating. A terceira equação testou uma possível relação de não-linearidade entre spread e rating, enquanto a quarta testou o spread contra todas as demais variáveis, incluindo as que afetavam o rating. Os resultados apontaram que o rating é sim um bom determinante para o spread, assim como o volume da emissão, ambiente econômico e instituição financeira que faz a custódia do fundo. Da mesma forma, são fatores que explicam o rating: ambiente econômico, quem são o administrador e o custodiante do fundo, o número de investidores, volume, se o fundo é multi ou mono-cedente e se os ativos são performados ou não. Não há linearidade entre spread e rating em FIDCs. A maior contribuição deste estudo foi apresentar pela primeira vez variáveis que afetam um novo tipo de investimento em renda fixa, os FIDCs, tais como tipo de ativo, níveis de concentração e fundos mono e multi-cedentes. Tudo isto por meio de um cuidadoso tratamento da base de dados.
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[pt] ANÁLISE DE DESEMPENHO DOS FUNDOS DE PREVIDÊNCIA COMPLEMENTAR FECHADOS / [en] PERFORMANCE ANALYSIS OF CLOSED PENSION FUNDSCARLOS EDUARDO REGIS MARTINS ALVES 08 September 2016 (has links)
[pt] Os fundos de previdência complementar fechados, também conhecidos como fundos de pensão, através da geração de poupança interna e na ampliação do investimento produtivo desempenham uma participação importante no desenvolvimento da economia. O presente trabalho teve como objetivo verificar o desempenho dos fundos de pensão, no período de 2010 a 2014. No total foram analisadas as rentabilidades anuais de 60 fundos, sendo que 30 de patrocinadores privados e 30 de patrocinadores públicos. Esta pesquisa procura analisar o desempenho destes fundos e verificar se estes possuem uma rentabilidade satisfatória, avaliar se existe diferença de gestão entre fundos com patrocinadores de empresas públicas e privadas e posteriormente para determinar os fatores de risco das carteiras dos fundos seria utilizado o modelo proposto por Sharpe, conhecido como analise de estilo baseado em retorno. A avaliação dos desempenhos dos fundos foi realizada por modelos quantitativos clássicos como índice Sharpe, índice de Modigliani e índice de Treynor. A pesquisa de fundos de previdência complementar fechada se justifica, pelos poucos estudos publicados, pelo crescimento continuo das discussões sobre análise de desempenho e estilo de gestão nestes fundos. / [en] Closed pension funds, also known as pension funds, through domestic savings generation and expansion of productive investment play an important role in developing the economy. This study aimed to verify the performance of pension funds in the period 2010 to 2014. In total the annual returns of 60 funds were analyzed, of which 30 private sponsors and 30 public sponsors. This research seeks to analyze the performance of these funds and to determine whether they have a satisfactory profitability, assess whether there are differences in management between funds with sponsors of public and private companies and subsequently to determine the risk factors of the portfolios of the funds would be used the model proposed by Sharpe, known as return-based style analysis. The evaluation of the performance of the funds was performed by classical quantitative models as Sharpe ratio, Modigliani index and Treynor index. The survey closed pension funds is justified by the few published studies, the continued growth of discussions on analysis of performance and style of management in these funds.
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[pt] O EFEITO DE EMISSÕES SOBERANAS SOBRE A LIQUIDEZ DOS TÍTULOS CORPORATIVOS BRASILEIROS EMITIDOS NO MERCADO INTERNACIONAL / [en] THE SOVEREIGN ISSUANCE S IMPACT ON THE LIQUIDITY OF BRAZILIAN CORPORATE BONDS ISSUED IN THE INTERNATIONAL MARKETJEFFERSON GOMES DE BRITO 03 November 2015 (has links)
[pt] Muitos pesquisadores acreditam haver relação entre os mercados de dívida
externa soberana e corporativa. Esta idéia é corroborada pela observação em
países desenvolvidos, cujos mercados de títulos privados são frequentemente
acompanhados de ativa negociação e emissão de títulos do governo. A literatura
acadêmica sobre o tema sugere que títulos soberanos possuem um papel de
referência para a determinação do valor dos ativos corporativos. Em um contexto
de mercado favorável para o Brasil, caracterizado pela obtenção do grau de
investimento e captações externas frequentes, com custos cada vez mais baixos,
analisamos o impacto que uma emissão soberana exerce sobre a liquidez de títulos
de empresas brasileiras emitidos no exterior. A principal hipótese é que
lançamentos soberanos contribuem para o aumento da liquidez ao reduzir o risco
de seleção adversa associado à assimetria de informações. Constatamos que as
emissões do governo diminuem o yield spread e bid-ask spread dos títulos
corporativos de forma significativa. Esse resultado indica que títulos soberanos
atuam como benchmarks e contribuem para o estabelecimento e crescimento do
mercado de dívida externa corporativa. / [en] Many researchers believe there is a relationship between sovereign and
corporate foreign debt markets. This idea is supported by the observation in
developed countries, whose corporate bond markets are often accompanied by
active trading and issuance of government bonds. The academic literature on the
subject suggests that sovereign bonds have a reference role in the valuation of
corporate assets. In a context of favorable market for Brazil, characterized by the
investment grade status and regular external funding with lower costs, we analyze
the impact a sovereign issue has on the liquidity of securities issued by Brazilian
companies in the international market. The main hypothesis is that sovereign
issuances contribute to increased liquidity as reduce the risk of adverse selection
associated with asymmetric information. We note that government issues lowers
the yield spread and bid-ask spread of foreign corporate bonds significantly. This
result indicates that sovereign bonds act as benchmarks and contribute to the
establishment and growth of the foreign corporate debt market.
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The effects of budget deficit on fixed investment in selected African CountriesSeshoka, Pretty January 2022 (has links)
Thesis (M.Com. (Economics)) -- University of Limpopo, 2022 / The primary goal of this study was to investigate the effects of budget deficit on fixed
investment using annual data for the period 1990-2017 in selected African countries
namely, Cameroon, Namibia, Ghana, Egypt, Seychelles, Mauritius, Botswana, Lesotho
and South Africa. The study employed panel unit root tests including the Augmented
Dickey-Fuller test, Philips Perron test and Levin Lin and chu test. The tests revealed that
all the variables are integrated at 1st difference. The study further employed the Panel
ARDL bounds test to examine the relationship between budget deficit, fixed investment,
money supply and inflation. The empirical findings indicated that a long run relationship
exists between the variables of interest. Furthermore, the results revealed that the budget
deficit has a negative and statistically significant effect on fixed investment. A one percent
increase in the budget deficit, ceteris paribus, leads to a reduction in fixed investment by
44 percent in the long run. The findings further postulated a bidirectional causal
relationship between budget deficit and fixed investment, between money supply and
fixed investment and between fixed investment and inflation. It was evident in the
research that indeed the budget deficit is a problematic macroeconomic policy in African
countries. Policy makers should limit high government expenditures as they contribute to
increased and persistent budget deficits which crowd out private investment.
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