Submitted by Elba Lopes (elba.lopes@fecap.br) on 2018-01-24T21:21:42Z No. of bitstreams: 2 OT??VIO ULISSES DE ARAUJO SANT???ANNA.pdf: 846230 bytes, checksum: 0957b14111500cc9a380bb419acae8ae (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2018-01-24T21:21:42Z (GMT). No. of bitstreams: 2 OT??VIO ULISSES DE ARAUJO SANT???ANNA.pdf: 846230 bytes, checksum: 0957b14111500cc9a380bb419acae8ae (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2014-07-24 / This study analyzes the performance of the Brazilian hedge fund investment after Subprime Crisis. Evaluates if the different management strategies hedge funds manage to overcome the benchmark, considering the new classification established by ANBIMA in May 2009. The categories were classified as Long & Short Directional Long & Short Neutral, Multigestor Macro, Multiestrat??gia, Interest and Currencies, Trading, Strategy specifies, Balanced and Protected Capital, in order to adapt in a better way the different strategies and risk profile of each hedge fund the profiles of investors. It was considered in the study only non exclusive hedge funds that had quotas from May 2009 to December 2013. The funds performance was analyzed using indicators such as the average return, volatility, Sharpe ratio and Jensen???s Alpha, in order to assess whether hedge funds are able to get a significant risk adjusted return compared to the CDI rate. Moreover, hypothesis tests were applied to verify if the average return of hedge funds is equivalent to CDI. Data analysis found evidence that only certain categories of hedge funds outperformed the benchmark during the period analyzed, such as Long & Short Directional Long & Short Neutral, Multigestor, macro, multi-strategy and Interest and Currency categories. The return was higher than CDI with acceptable volatility, presenting Sharpe Ratios and Jensen's Alpha positive, further were efficient in overcoming the CDI in relation to the risk assumed in each of their respective management strategies. Concerning to hypothesis testing, it was not rejected the hypothesis that the average returns of hedge funds are statistically equal to the CDI. Only Capital Protected category got a statistically different mean return of CDI in the analyzed period. This study is usefull as a tool for market analysis and reflection on the management strategies of hedge funds and as an investment guide for the general public, helping to identify the best strategies for active management, as well as hedge funds with better performance. / Este estudo analisa o desempenho dos fundos de investimento multimercados brasileiros ap??s a crise do mercado imobili??rio americano, conhecida como a Crise do Subprime. Avaliase as diferentes estrat??gias de gest??ode fundos multimercado conseguem superar o benchmark, considerando a nova classifica????o institu??da pela ANBIMA em Maio de 2009. As dez categorias foram classificadas como Long & Short Direcional, Long & Short Neutro, Multigestor, Macro, Multiestrategia, Juros e Moedas, Trading, Estrat??gia Especifica, Balanceados e Capital Protegido, visando adequar de uma melhor forma as diferentes estrat??gias e o perfil de risco de cada fundo multimercado aos perfis dos investidores. Considerou-se na amostra do estudo apenas os fundos multimercados n??o exclusivos que apresentaram cotas de Maio de 2009 a Dezembro de 2013. O desempenho dos fundos foi analisado utilizando indicadores, como o retorno m??dio, a volatilidade, o ??ndice de Sharpe e o Alfa de Jensen, deforma a avaliar se os fundos mulimercados conseguem obter um retorno ajustado ao risco significante, em compara????o com a taxa do CDI. Al??m disso, foram aplicados testes de hip??tese, para verificar em que medida a m??dia de retorno dos fundos multimercados se equivale ao CDI.A an??lise de dados encontrou evid??ncias de que apenas algumas categorias de fundos multimercados superaram o benchmark no per??odo analisado, tais como as categorias Long & Short Direcional, Long & Short Neutro, Multigestor, Macro, Multiestrategia e Juros e Moedas. Obtiveram um retorno acima do CDI com volatilidade aceit??vel, apresentando ??ndices de Sharpe e Alfa de Jensen positivos, ou seja, foram eficientes na supera????o do CDI em rela????o ao risco assumido em cada uma das suas respectivas estrat??gias de gest??o. Em rela????o aos testes de hip??tese, n??o foi poss??vel rejeitar a hip??tese de que a m??dia dos retornos dos fundos multimercados s??o estatisticamente iguais ao CDI. Apenas a categoria Capital Protegido apresentou m??dia de retorno estatisticamente diferente do CDI no per??odo analisado. Este trabalho serve ao mercado como uma ferramenta de an??lise e reflex??o sobre as estrat??gias de gest??o de fundos multimercados e como um guia de investimentos para o p??blico em geral, contribuindo para identificaras melhores estrat??gias de gest??o ativa, bem como os fundos multimercados com melhor desempenho.

Submitted by Kym Marcel Martins Ardison (kymmarcel@gmail.com) on 2018-09-16T17:36:08Z No. of bitstreams: 1 TESE.pdf: 3325190 bytes, checksum: e1bbe47dabd1e2befe53e9ace94ab46b (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-10-25T19:43:48Z (GMT) No. of bitstreams: 1 TESE.pdf: 3325190 bytes, checksum: e1bbe47dabd1e2befe53e9ace94ab46b (MD5) / Made available in DSpace on 2018-10-29T20:07:02Z (GMT). No. of bitstreams: 1 TESE.pdf: 3325190 bytes, checksum: e1bbe47dabd1e2befe53e9ace94ab46b (MD5) Previous issue date: 2018-04-12 / We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions and naturally embed information about higher-order mixed moments between HF and benchmark factors returns. We provide full asymptotic theory for our SDF estimators that allows us to test for the statistical signi cance of each fund's performance and for the relevance of individual benchmark factors in identifying each proposed measure. Empirically, we apply our methodology to a large panel of individual hedge fund returns, revealing sizable di erences across performance measures implied by di erent exposures to higher-order mixed moments. Moreover, when we compare SDF-based measures to the traditional linear regression approach (Jensen's alpha), our measures identify a signi cantly smaller fraction of funds in the cross-section of HFs with statistically signi cant performances

Submitted by Guilherme Risério (guilherme.riserio@gmail.com) on 2014-03-17T18:48:40Z No. of bitstreams: 1 O DESEMPENHO DOS HEDGE FUNDS BRASILEIROS A PARTIR DA NÃO NORMALIDADE DE SEUS RETORNOS - GUILHERME RISERIO.pdf: 4785756 bytes, checksum: 67e0577d6e7563bff201f16f19a2fd59 (MD5) / Approved for entry into archive by PAMELA BELTRAN TONSA (pamela.tonsa@fgv.br) on 2014-03-17T19:15:53Z (GMT) No. of bitstreams: 1 O DESEMPENHO DOS HEDGE FUNDS BRASILEIROS A PARTIR DA NÃO NORMALIDADE DE SEUS RETORNOS - GUILHERME RISERIO.pdf: 4785756 bytes, checksum: 67e0577d6e7563bff201f16f19a2fd59 (MD5) / Made available in DSpace on 2014-03-17T19:26:19Z (GMT). No. of bitstreams: 1 O DESEMPENHO DOS HEDGE FUNDS BRASILEIROS A PARTIR DA NÃO NORMALIDADE DE SEUS RETORNOS - GUILHERME RISERIO.pdf: 4785756 bytes, checksum: 67e0577d6e7563bff201f16f19a2fd59 (MD5) Previous issue date: 2014-02-26 / Devido à utilização de estratégias distintas de investimento dos hedge funds brasileiros caracterizadas pelo uso de derivativos, operações alavancadas e vendas a descoberto, esses fundos apresentam significante não normalidade dos retornos gerados. Portanto, as medidas usuais de avaliação de performance são incapazes de fornecer resultados consistentes com o verdadeiro desempenho dos portfólios de hedge fund. Este trabalho irá utilizar duas metodologias não tradicionais para analisar a performance dos hedge funds brasileiros e determinar qual estratégia supera o mercado acionário. Serão utilizadas duas medidas não paramétricas, Almost Stochastic Dominância (ASD) e Manipulation-Proof Performance Measure (MPPM). Os resultados demonstram que os hedge funds brasileiros não superam os benckmaks utilizados na dominância de primeira ordem, mas quando analisada a dominância de segunda ordem sete estratégias apresentaram desempenho superior ao Índice Ibovespa.

Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-08-28T23:41:37Z No. of bitstreams: 1 Dissertacao Final.pdf: 2749375 bytes, checksum: aeb92d2552a8d73a4a238d90bce0e3af (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, o titulo "resumo" e "Abstrat" deverá ser em letra maiúscula, por gentileza ajustar esse procedimento. Aguardo. on 2014-08-29T20:14:52Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-08-29T20:57:35Z No. of bitstreams: 1 Dissertacao Final.pdf: 2750834 bytes, checksum: b056c57b7f07fe0bfb7a7aff0ba04ff5 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, Esta faltando a pagina da assinatura dos professores. Seu prazo para a entrega da versão final expira hoje 01/09/2014. Aguardo a correção. on 2014-09-01T12:24:23Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-09-01T15:04:36Z No. of bitstreams: 1 Dissertacao Final.pdf: 2752315 bytes, checksum: 1f4757805c3cf85bc5bd201146f9b6cb (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, A pagina das assinaturas não está nos padrões adequados. on 2014-09-01T15:09:53Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-09-01T20:00:48Z No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2014-09-01T20:25:15Z (GMT) No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) / Made available in DSpace on 2014-09-01T20:28:24Z (GMT). No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) Previous issue date: 2014-08-01 / Leverage in hedge funds has been a matter of concern for investors and scholars in past years. Recent examples of such strategies have proved advantageous in periods of low uncertainty in the economy, but disastrous in times of crisis. In the field of quantitative finance, researchers have been trying to find a level of leverage that optimizes the return of an investment given the risk. In the literature, studies have been more qualitative than the quantitative , and have made little use of computational methods. One way to assess whether a leverage strategy earns higher returns than another is to define the objective function that relates risk and return for each strategy, find the constraints for the problem and solve it numerically through Monte Carlo simulations. This dissertation has adopted this approach to treat the investment in a long-short equity strategy in different scenarios: different forms of leverage, stock prices dynamics and levels of correlation between these prices. Dynamics simulations of invested capital due to changes in stock prices over time were made. Some criteria of credit guarantee, the possibility of buying and selling stocks during the investment period and the risk profile of the investor were considered in the simulations. Finally, we studied the distribution of the return on investment for different levels of leverage and it was possible to quantify which of these levels is more advantageous to the investment strategy given the constraints of risk. / Alavancagem em hedge funds tem preocupado investidores e estudiosos nos últimos anos. Exemplos recentes de estratégias desse tipo se mostraram vantajosos em períodos de pouca incerteza na economia, porém desastrosos em épocas de crise. No campo das finanças quantitativas, tem-se procurado encontrar o nível de alavancagem que otimize o retorno de um investimento dado o risco que se corre. Na literatura, os estudos têm se mostrado mais qualitativos do que quantitativos e pouco se tem usado de métodos computacionais para encontrar uma solução. Uma forma de avaliar se alguma estratégia de alavancagem aufere ganhos superiores do que outra é definir uma função objetivo que relacione risco e retorno para cada estratégia, encontrar as restrições do problema e resolvê-lo numericamente por meio de simulações de Monte Carlo. A presente dissertação adotou esta abordagem para tratar o investimento em uma estratégia long-short em um fundo de investimento de ações em diferentes cenários: diferentes formas de alavancagem, dinâmicas de preço das ações e níveis de correlação entre esses preços. Foram feitas simulações da dinâmica do capital investido em função das mudanças dos preços das ações ao longo do tempo. Considerou-se alguns critérios de garantia de crédito, assim como a possibilidade de compra e venda de ações durante o período de investimento e o perfil de risco do investidor. Finalmente, estudou-se a distribuição do retorno do investimento para diferentes níveis de alavancagem e foi possível quantificar qual desses níveis é mais vantajoso para a estratégia de investimento dadas as restrições de risco.

Submitted by Laura Simonsen Leal (arula@fgvmail.br) on 2016-06-22T12:59:34Z No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-06-22T13:18:16Z (GMT) No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-06-29T13:38:50Z (GMT) No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) / Made available in DSpace on 2016-06-29T13:39:56Z (GMT). No. of bitstreams: 1 laura_tese14(final).pdf: 1036208 bytes, checksum: eac8007047195b00593f30884e72a3e2 (MD5) Previous issue date: 2016-03-21 / The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente (2016), which rely in solving dual minimization problems of Cressie Read discrepancy functions in spaces of probability measures. Due to the recently documented robustness of the Hellinger estimator (Kitamura et al., 2013), we adopt within the Cressie Read family, this specific discrepancy as loss function. From this choice, we derive a minimum Hellinger risk-neutral measure that correctly prices an observed panel of hedge fund returns. The estimated risk-neutral measure is used to construct our tail risk measure by pricing synthetic out-of-the-money put options on hedge fund returns of ten specific categories. We provide a detailed description of our methodology, extract the aggregate Tail risk hedge fund factor for Brazilian funds, and as a by product, a set of individual Tail risk factors for each specific hedge fund category.

Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-09T11:36:55Z No. of bitstreams: 1 EESP - Analysis of HF Replication Products.pdf: 1357816 bytes, checksum: 6f8cc53a8c46b361a07188306396d0d7 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, Your Thesis is complete different from the structure that should be. In the email that I send there is a model of thesis. please follow the instructions that I send. All work must be done using the standards defined by ABNT or APA (American Psychology Association): http://bibliotecadigital.fgv.br/site/bkab/normalizacao. I wil send you again the model. Don't forget to ask for the Ficha catalográfica. Best. Ana Luiza Holme 37993492 on 2016-10-10T12:32:21Z (GMT) / Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-17T18:34:06Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1421318 bytes, checksum: a87439a38f564feee0905e7798b4d441 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, The numbers of the pages are missing, remember that the number of the pages count from the cover but only appear in the introduction. Best. Ana Luiza Holme 37993492 on 2016-10-17T18:48:35Z (GMT) / Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-17T20:18:52Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1424345 bytes, checksum: 81b1d6017b1eaac36e10addc679df407 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, The numbers of the pages should appear only in the introduction. Please remove the number of the pages 8 and 9. Best. Ana Luiza Holme 37993492 on 2016-10-18T11:19:23Z (GMT) / Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-18T19:13:16Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-10-18T19:19:53Z (GMT) No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5) / Made available in DSpace on 2016-10-18T19:55:48Z (GMT). No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5) Previous issue date: 2016-09-26 / Hedge fund replication has generated significant academic interest and received increased attention from a broad base of investors. This is mainly driven by its competitive after-fee returns along with its superior liquidity, transparency and lower due diligence costs. The purpose of this dissertation is therefore to provide a detailed critical analysis of available hedge fund replication products. The results show that the performance of replication products can vary widely, and replication approaches are still a work in progress. However, they offer an attractive way to enhance the returns of a portfolio while simultaneously diversifying risk because they show a low correlation to traditional asset classes. / Replicação de fundos de hedge gerou interesse acadêmico significativo e recebido maior atenção a partir de uma ampla base de investidores. Este é impulsionado principalmente pelas suas competitivos retornos pós-taxa, juntamente com a sua liquidez superior, transparência e custos de diligência menor devido. O objetivo deste trabalho é, portanto, fornecer uma análise crítica detalhada dos disponível de hedge produtos de replicação de fundo. Os resultados mostram que o desempenho dos produtos de replicação podem variar amplamente, e abordagens de replicação são ainda um trabalho em curso. No entanto, eles oferecem uma maneira atraente de aumentar os retornos de uma carteira e simultaneamente a diversificação do risco, porque eles mostram uma baixa correlação com as classes de ativos tradicionais.