nÃo hà / O objetivo principal do presente trabalho à a anÃlise da previsibilidade de retorno para Fundos de Investimentos, utilizando o PatrimÃnio LÃquido e realizando o confronto entre o retorno mÃdio, com base no comportamento dos indicadores, estaremos fornecendo informaÃÃes para a montagem de estratÃgia de investimento para o mercado financeiro. A pesquisa foi fundamentada com a criaÃÃo de quatro carteiras, analisando 72 fundos de investimento, comparados com os principais benchmarks de mercado realizado durante o perÃodo 1998 a 2009. A estratÃgia ativa proposta, à tal que, o investidor aposta a cada quadrimestre nos 20 fundos com melhor performance (winners) em PatrimÃnio LÃquido, com pior performance em PatrimÃnio LÃquido (loosers), com melhor performance em Retorno MÃdio (winners), com pior performance em Retorno MÃdio (Loosers). Com base nos resultados obtidos, observamos que trÃs carteiras, das quatro criadas, conseguem superar e manter ganhos acima do Ibovespa, porÃm, quando comparados a outros benchmarks de mercado, nenhuma carteira tem sucesso, fato este que merece ser melhor investigado. Os portfolios compostos sÃo analisados sempre em trÃs esferas no perÃodo de prÃ-crise, no ano da crise e apÃs crise com intuito de identificar o desempenho das carteiras. Os benchmarks de mercado estÃo representados pelo Ibovespa, IBRX, IEE e FGV 100. Com exceÃÃo do Ibovespa, os indices de mercados apresentaram resultados superiores em perÃodo de crise. / The main objective of this study is to examine the predictability of return to investment funds using the Equity and making the comparison between the average return, based on performance indicators, will be providing information for the assembly of investment strategy for the financial market. The research was supported by the creation of four portfolios, analyzing 72 investment funds, compared with the main benchmarks market developed over the period 1998 to 2009. The active strategy proposal is such that investors bet every quarter in the 20 funds with better performance (winners) in Equity, with poorer performance on Equity (loosers), with better performance in Return Average (winners), with worse Return on Average performance (Loosers). Based on these results, we observe that three of the four portfolios created can overcome and sustain gains above the Bovespa index, but when compared to other market benchmarks, no portfolio is successful, a fact that deserves further investigation. The portfolios are analyzed when compounds in three balls in the pre-crisis year of the crisis and after crisis with the aim of identifying the performance of portfolios. The market benchmarks are represented by Ibovespa, IBRX, IEE and FGV 100. Except for the Bovespa index, the market indices showed better results in periods of crisis.

nÃo hà / This work analyzes the performance graph and quantitative metrics under different gain, volatility, skewness, kurtosis and dynamic performance of portfolios composed of 85 investment funds Hedge in Brazil, vis-Ã-vis the major market benchmarks and traditional options investments. In this context, this empirical study is aligned with Matos e Artur (2011) strategies to address dynamic composition during the period 2005 to 2010, annual basis, containing the 10 winners and 10 funds Loosers. In scenarios characterized by economic boom or recovery of financial markets, the adoption of active strategies in funds winners in performance, equal stakes, provides increases in average earnings, risk reduction associated with diversification and thus increase performance in relation the benchmarks. This evidence is robust to the use of different performance metrics for the selection of funds. The strategy proposed activity is such that the investor bets each year in the 10 funds with better performance (winners) in Calmar, in Sharpe, Treynor and Sortino in. Analyses were also the same strategy, but buying the 10 funds with the worst performance (Loosers). According to the results, the annual ranking of Hedge Funds is very robust to changes in the performance metric used. The portfolios consist of the winners have funds throughout the period accumulated higher real earnings, the real gain around 25% higher than that obtained by the Savings and about 16% of funds portfolios Loosers. During the pre-crisis real earnings ranged between winners and Loosers during the period between the different portfolios, while in times of crisis real earnings of the Fund winners were around 35% higher than those obtained by the Funds Loosers. Noteworthy is the high performance, in absolute terms, with funds of winners portfolios compared to the savings, as well as the superiority in relation to portfolios with funds Loosers, a robust evidence consequence of technical expertise winners of funds and high risk exposure funds Loosers. / Este trabalho analisa o desempenho sob as mais diversas mÃtricas de ganho, volatilidade e performance de portfÃlios dinÃmicos compostos por 85 fundos de investimento Multimercado no Brasil, vis-Ã-vis os principais benchmarks de mercado e opÃÃes tradicionais de investimentos. Neste contexto, este estudo empÃrico està alinhado a Matos e Artur (2011), ao abordar estratÃgias de composiÃÃo dinÃmica, durante o perÃodo de 2005 a 2010, com frequÃncia anual, contendo os 10 fundos winners e os 10 fundos Loosers. Em cenÃrios econÃmicos caracterizados por boom ou mesmo recuperaÃÃo dos mercados financeiros, a adoÃÃo de estratÃgias ativa em fundos winners em performance proporciona aumentos de ganhos mÃdios, reduÃÃo de risco associada à diversificaÃÃo e, consequentemente, melhor desempenho em relaÃÃo a benchmarks. Esta evidÃncia à robusta ao uso de diferentes mÃtricas de performance para seleÃÃo dos fundos. A estratÃgia ativa proposta, à tal que, o investidor aposta a cada ano nos 10 fundos com melhor performance (winners) em Calmar, em Sharpe, em Sortino e em Treynor. Analisa-se, tambÃm, a mesma estratÃgia, porÃm comprando os 10 fundos com pior performance (Loosers). Segundo os resultados, o ranking anual dos fundos Multimercados à robusto à mudanÃa na mÃtrica de performance usada. Os portfÃlios compostos pelos fundos winners possuem durante todo o perÃodo ganhos reais acumulados superiores, com o ganho real em torno de 25% superior ao obtido pela PoupanÃa e cerca de 16% das carteiras compostas pelos fundos Loosers. Durante o PerÃodo prÃ-crise os ganhos reais entre winners e Loosers oscilaram durante todo o perÃodo entre as diferentes carteiras, enquanto que no perÃodo de crise os ganhos reais dos Fundos winners ficaram em torno de 35% superiores aos obtidos pelos Fundos Loosers. Destaca-se o alto desempenho, em termos absolutos, dos portfÃlios com fundos winners quando comparados com a poupanÃa, assim como a superioridade com relaÃÃo aos portfÃlios com fundos Loosers, uma evidÃncia robusta consequÃncia da expertise tÃcnica dos fundos winners e da elevada exposiÃÃo ao risco dos fundos Loosers.