[pt] Esta dissertação apresenta um panorama geral sobre o processo de gerenciamento ativo de carteiras, focando exclusivamente nas duas primeiras fases: a ciência de análise de informação e o processo de construção de alfas. Desenvolve-se analiticamente a equação de Valor Adicionado (VA) mostrando que o índice Information Ratio (IR) é diretamente proporcional à quantidade de valor que se pode adicionar e, portanto, um excelente índice para comparação de estratégias. Há um capítulo destinado à definição e ao estudo do IR onde se mostra os prós e contras de sua utilização. Para que se justifique a análise de uma informação, deve haver um embasamento econômico/financeiro mínimo que mostre algum poder de previsão de retorno. Caso contrário, estaria-se desencadeando um perigoso processo de Data Mining, que pode mascarar a análise de informação fazendo parecer que existe informação onde na verdade não há. Assim, a dissertação apresenta, ainda, um capítulo destinado somente ao estudo dos principais índices financeiros utilizados pela indústria de fundos, mostrando, inclusive analiticamente, porque alguns deles são indicados para previsão de retorno.Em seguida, utilizando-se o software desenvolvido em Matlab com banco de dados em ACCESS, analisa-se todos os índices aqui estudados para o período histórico compreendido entre Jan/1998 e Dez/1999. Os resultados mostram que os índices mais populares, como o Book-to-Price, apresentam os maiores níveis de IR. Por fim, explica-se o processo de construção de alfas, que é, em última instância, o input básico para o processo de otimização de carteiras. Enfatiza-se o fenômeno de - alpha eating -, explicando-o e mostrando como evitá-lo. / [en] This dissertation presents an overview about the active portfolio management process focusing exclusively on the first two stages: the information analysis science and alpha building. The Value Added (VA) formula is analytic developed showing that the Information Ratio (IR) is directly proportional to the amount of value that a strategy can add, and therefore, is an excellent ratio for comparing different strategies. On an exclusive chapter the IR is defined and studied demonstrating the advantages and disadvantages of it s use.For an information to be analyzed there must be a minimum economic/financial background that justifies some return forecasting power.Otherwise, we could be starting a data mining process that can fool information analysis into believing that information exists when it does not. So on, this dissertation presents a chapter devoted to the study of the main financial ratios used by the asset management industry, demonstrating, even analytically, why some financial ratios can predict returns. Next, using a software developed on Matlab framework capturing data from an ACCESS database, all the financial ratios studied in this dissertation are analyzed for the period going from Jan/1998 to Dez/1999. The results obtained show that the most frequently used financial ratios, as the book-to-price ratio for example, are the ones which better perform in terms of IR.Concluding, alpha building, which is after all the basic input for portfolio optimization, is explained. The chapter emphasizes the alpha eating phenomenon explaining how it is detonated and how it can be avoided. .

Active weight, active expense ratio and active alpha are measures that can be calculated with relative ease for any fund using publicly available data. However, for active weight to be truly useful to an investor the relationship between these quantities and fund performance needed to be explored in greater detail. Furthermore, the costs of South African unit trust funds had not been studied using Miller’s techniques and needed further study. Finally, active weight had not been used to study the evolution of active management over time. Using quarterly South African unit trust fund data this study delivered on the following key findings: that funds with higher active weight provide excess returns to their investors; that funds with a higher active expense ratio do not necessarily provide greater returns; and that the active alpha for South African unit trusts is negatively correlated with fund performance. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

We calculate the alpha of a survivorship bias-free sample of Swedish-registered actively managed emerging market equity mutual funds (with at least 10 years of return data), using long-short and long-only versions of several asset pricing models: the CAPM, the Fama-French three-factor model, the Carhart four-factor model, the Fama-French five-factor model and a six-factor model that adds the momentum factor to a modified Fama-French five-factor model. We find that our sample of mutual funds has statistically significant negative alpha (on a 5% level) using the CAPM, the Fama-French three-factor model and the long-only Fama-French three-factor model and non-statistically significant negative alpha for all other asset pricing models. It is reasonable to assume that our sample overestimates the performance of the universe of Swedish-registered actively managed emerging market equity mutual funds, so it is reasonable to assume that the universe of Swedish-registered actively managed emerging market equity mutual funds likely has negative alpha. We also find that our sample of mutual funds has statistically significant factor loadings on the market factor (positive load), the SMB factor (negative load) and the CMA factor (negative load). Our asset pricing models explain 97% to 98% of the mutual fund returns. The distributions of alphas and SMB factor loadings are fairly normally distributed, but the other factor loadings are not normally distributed.

Recently, the debate on passive versus active fund management has been a major focus on the Swedish capital market. Passive management is gaining more and more market shares. However, theories and previous research show that Smart Beta strategies outperform their passive benchmark index. The Smart Beta strategy is described as a hybrid between active and passive fund management, where it takes advantage of the low management cost of passive fund management and active fund management’s ability to select. This study presents three new Smart Beta strategies based on the key ratios ROA, profit margin and gross margin. The purpose of the study is to investigate whether any of the three Smart Beta portfolios can perform better than the Swedish market based on OMXS30 from a risk-adjusted perspective. Previous studies have shown that Smart Beta portfolios outperform their benchmark index. However, this study's contributing key figures show no excess return for the investigated period on the Swedish stock market.

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2016-02-17T11:33:35Z No. of bitstreams: 1 Carla Helena Schilling_.pdf: 744966 bytes, checksum: b2248b38c2c1ddafe42f229218dbfc62 (MD5) / Made available in DSpace on 2016-02-17T11:33:36Z (GMT). No. of bitstreams: 1 Carla Helena Schilling_.pdf: 744966 bytes, checksum: b2248b38c2c1ddafe42f229218dbfc62 (MD5) Previous issue date: 2011-06-16 / Nenhuma / A discussão sobre a validade ou não da administração ativa de recursos é antiga no meio acadêmico. A presente pesquisa volta ao tema, introduzindo uma variável antes não apreciada no Brasil, os custos de transação. Estudar a validade ou não da administração ativa é uma forma de estudar o tema eficiência de mercado. Em outras palavras, seria impossível ao investidor obter benefícios por meio da administração ativa em um mercado realmente eficiente. O atual estudo, realizado por meio de uma pesquisa explicativa, trabalha com uma carteira com administração ativa formada a partir das indicações de analistas consultados pelo jornal Folha de São Paulo no período entre julho de 2000 e junho de 2010. Fazem parte da amostra também, como instrumentos de controle, o índice Ibovespa e o IBrX, bem como as 20 principais ações do Ibovespa (carteira com diversificação ingênua). Foram calculadas diversas estatísticas acerca dos resultados, de modo a demonstrar o desempenho das quatro carteiras. Além disso, foram realizados testes estatísticos para avaliar a significância estatística das diferenças encontradas (Teste F – ANOVA). Dos resultados, observa-se que, mesmo após a introdução dos custos de transação, a carteira com administração ativa apresentou retornos superiores: 442,121%, contra 375,622% da carteira do Ibrx, 334,121% da carteira com diversificação ingênua e 197,991% do Ibovespa. Porém, do ponto de vista estatístico, os testes não apresentaram significância, invalidando a possibilidade de afirmação de superioridade da administração ativa. A despeito de os resultados não serem significativos do ponto de vista estatístico, pode-se dizer que nenhum investidor ficaria insensível às diferenças encontradas, pois a gestão ativa também permitiu observar os seguintes aspectos: obtenção de carteira com menor volatilidade total (desvio padrão), menor risco sistemático (beta), menor amplitude, maior Índice de Sharpe, maior Índice de Treynor e maior Alfa de Jensen. Isso tudo permite colocar em dúvida a hipótese de eficiência do mercado de capitais brasileiro. / The discussion on the validity or not of the active management of resources is ancient in the academic universe. This research deals with the theme by introducing a variable not previously appreciated in Brazil, transaction costs. To study the validity or not of active management is a way of studying the issue of market efficiency. In other words, it would be impossible, for the investor, to obtain benefits through active management in a truly efficient market. The current study, by means of an explanatory research, works with a portfolio with actively formed management under the directions of analysts polled by the newspaper Folha de Sao Paulo in the period of July 2000 to June 2010. As part of the sample, and also instruments of control, the ibovespa and ibrx and the top 20 shares of bovespa (portfolio with naïve diversification). Several statistics about the results were calculated in order to demonstrate the performance of four portfolios. In addition to this, statistical tests were performed to evaluate the statistical significance of differences (f test - anova). From the results, it is observed that even after the introduction of transaction costs, the portfolio with active management had higher returns: 442.121% 375.622% of the portfolio against the ibrx, 334.121% of portfolio with naive diversification and 197.991% of the bovespa index. However, from a statistical point of vies, the tests were not statistically significant, invalidating the possibility of asserting the superiority of active management. Even though the results were not significant from a statistical viewpoint, one can say that no investor would be insensitive to the difference, since the active management also allowed to observe the following aspects: obtaining total portfolio with less volatility (standard deviation) lower systematic risk (beta), smaller amplitude, higher the sharpe’s index, higher treynor’s index as well as jensen’s alpha. All of this allows us to question the hypothesis of efficiency of the capital market.

Submitted by Guilherme Lopez Ghidetti (guilherme.ghidetti@gmail.com) on 2017-09-04T22:40:46Z No. of bitstreams: 1 Dissertação - Guilherme Ghidetti.pdf: 995353 bytes, checksum: 4373446355579d7219e09a399a6d9851 (MD5) / Rejected by Joana Martorini (joana.martorini@fgv.br), reason: Prezado Guilherme, boa noite. Por gentileza, corrija o nome da escola na capa do seu trabalho para que eu possa aprovar! "Getulio" sem acento. Qualquer dúvida entre em contato pelo e-mail mestradoprofissional@fgv.br ou ligue 3799-7764 Att, on 2017-09-04T23:03:37Z (GMT) / Submitted by Guilherme Lopez Ghidetti (guilherme.ghidetti@gmail.com) on 2017-09-04T23:44:01Z No. of bitstreams: 1 Dissertação - Guilherme Ghidetti.pdf: 924017 bytes, checksum: e4d23b4bb78e47633d5326b5724ebd78 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2017-09-05T22:28:24Z (GMT) No. of bitstreams: 1 Dissertação - Guilherme Ghidetti.pdf: 924017 bytes, checksum: e4d23b4bb78e47633d5326b5724ebd78 (MD5) / Made available in DSpace on 2017-09-06T14:33:11Z (GMT). No. of bitstreams: 1 Dissertação - Guilherme Ghidetti.pdf: 924017 bytes, checksum: e4d23b4bb78e47633d5326b5724ebd78 (MD5) Previous issue date: 2017-08-09 / Global financial markets are getting more and more integrated. One must consider this phenomenon’s effects in making investment decisions: a Brazilian investor should not rely just on its own local market when making an investment. Within this background and uncountable investment opportunities across the globe, this paper has the objective to help investment professionals in the decision of where to concentrate efforts and resources to select the best investment funds when building a global stocks portfolio. This study analyses the determinants of mutual fund performance for a sample of 2,223 investments funds focused in stocks, for the period between 2008 and 2015. These funds’ investments guidelines restrict them to invest in one of the following regional blocks: United States, Europe, Asia Pacific ex-Japan and Brazil. Data related to funds’ characteristics, economic and financial development, regional stock markets and respective fund industry characteristics where collected to identify and understand their impact in funds’ ‘alpha’. We conclude that investors must focus their efforts looking for active investment managers in regions with the following characteristics: better access to information, developed stock markers (being by larger participation in the region’s economy or higher trading volumes), lower competition in the fund industry and lower passive investment penetration in the market. Regarding fund’s characteristics, larger funds that are receiving inflows should have investors’ preference. / O mercado financeiro está cada vez mais integrado mundialmente e os efeitos desse fenômeno nas decisões de investimento de alocadores de recursos não podem ser desprezados: um investidor brasileiro não deveria se restringir ao mercado local na sua tomada de decisões. Diante desse cenário e das inúmeras alternativas de investimentos disponíveis ao redor do globo, esse trabalho tem como objetivo auxiliar esses alocadores de recursos na decisão de onde concentrar esforços e recursos para selecionar as melhores opções de fundos de investimento no mercado de ações global. Foi realizado um estudo sobre os determinantes de performance de fundos de investimento a partir de uma amostra de 2.223 fundos de ações, com dados no período entre 2008 e 2015, em frequência anual. Esses fundos seguem mandatos de investimentos focados exclusivamente em cinco blocos regionais: Estados Unidos, Europa, Japão, Ásia Pacífico ex-Japão e Brasil. Coletou-se dados relacionados às características dos fundos, ao desenvolvimento econômico-financeiro e do mercado de ações dessas regiões e características das respectivas indústrias de fundos. A partir desses dados, foi realizada uma análise de dados em painel com a geração de valor dos fundos de investimento, 'alfa', como variável explicada e as variáveis citadas anteriormente como variáveis explicativas. Conclui-se que os investidores devem focar seus esforços em busca de bons gestores ativos em regiões onde o acesso a informação seja bem difundido, o mercado de ações bem desenvolvido, seja por ter uma relevante participação na economia ou por negociar altos volumes de ações, tenha uma indústria de fundos menor e com baixa participação da gestão passiva. Já em relação às características de fundos, fundos maiores e que estejam recebendo fluxo de investimentos positivo devem ter a preferência dos investidores.

[pt] Este estudo objetiva investigar se existe uma relação entre posições agregadas de fundos de investimento brasileiros e o desempenho passado, presente e futuro das ações. Utilizando dados mensais das carteiras de 30.416 fundos entre 2006 e 2018 e dados de mercado de 84 ações, diversas regressões com dados em painel foram feitas para testar a correlação entre retornos totais das ações e o nível e a mudança de posições compradas e vendidas. Além disso, os dados foram utilizados para testar uma estratégia long-short de investimento segundo a qual as ações que ocupam posições altas nos fundos são compradas e as ações com baixas posições são vendidas. / [en] This study aims to investigate whether there is a relationship between aggregate Brazilian mutual fund positions and past, concurrent, and future stock performance. Using monthly fund portfolio data for 30.416 funds between 2006 and 2018 and market data for 84 stocks, several panel data regressions were ran to test the correlation between stock total returns and both the level and change in mutual fund aggregate long and short positions. In addition, the data was used in testing a long-short investing strategy in which stocks with high fund ownership indicators are purchased and stocks with low fund ownership indicators are sold.

The aim of this thesis was to study maternal and infant effects of delayed cord clamping (≥180 seconds, DCC) compared to early (≤10 seconds, ECC) in a randomised controlled trial. Practice and guidelines regarding when to clamp the cord vary globally, and different meta-analyses have shown contradictory conclusions on benefits and disadvantages of DCC and ECC. The study population consisted of 382 term infants born after normal pregnancies and randomised to DCC or ECC after birth. The primary objective was iron stores and iron deficiency at 4 months of age, but the thesis was designed to investigate a wide range of suggested effects associated with cord clamping. Paper I showed that DCC was associated with improved iron stores at 4 months (45% higher ferritin) and that the incidence of iron deficiency was reduced from 5.7% to 0.6%. Neonatal anaemia at 2-3 days was less frequent in the DCC group, 1.2% vs. 6.3%. There were no differences between the groups in respiratory symptoms, polycythaemia, or hyperbilirubinaemia. In paper II we demonstrated that DCC versus ECC was not associated with higher risk for maternal post partum haemorrhage and rendered a comparable ratio of valid umbilical artery blood gas samples. In paper III, the Ages and Stages Questionnaire was used to assess neurodevelopment at 4 months. The total scores did not differ, but the DCC group had a higher score in the problem-solving domain and a lower score in the personal-social domain. Immunoglobulin G level was 0.7 g/L higher in the DCC group at 2–3 days, but did not differ at 4 months. Symptoms of infection up to 4 months were comparable between groups. Finally, in paper IV, iron stores and neurodevelopment were similar between groups at 12 months. Gender specific outcome on neurodevelopment at 12 months was discovered, implying positive effects from DCC on boys and negative on girls. We conclude that delaying umbilical cord clamping for 180 seconds is safe and associated with a significantly reduced risk for iron deficiency at 4 months, which may have neurodevelopmental effects at a later age.

Syfte: Syftet med studien är att undersöka hur aktivt förvaltade fonder presterar jämfört med indexfonder, när avkastningen har justerats för förvaltningsavgiften. Indexfonden representeras av ett jämförelseindex och studien omfattar en tioårsperiod, 2000-2009. Det faktum att en apa vann aktie SM 1993, framför professionella placerare, visar att aktiekurser är slumpmässiga. Varför ska en investerare då lita på att en förvaltare är bättre på att utvärdera marknaden och dess placeringsmöjligheter än andra? Metod: En kvantitativ metod har använts i uppsatsen, där data har erhållits från Morningstar och SIX Telekurs. Det insamlade materialet har bearbetats i Microsoft Excel för att beräkna fondernas avkastning och prestationsmått. Resultatet har redovisats i tabeller och diagram i empirikapitlet, för att sedan analyseras och jämföras med den teoretiska referensramen. Resultat & slutsats: Endast en av tio aktivt förvaltade fonder överträffar index, därmed dras slutsatsen att indexfonder är ett bättre investeringsalternativ än aktivt förvaltade fonder. Resultatet visar därmed att den högre förvaltningsavgiften som fondbolagen kräver från sina kunder inte är berättigat. Förslag till fortsatt forskning: Baserat på de resultat som kommit fram i uppsatsen, voredet intressant att genomföra en kvalitativ studie där fondförvaltarens åsikter är i fokus. Hur motiveras den höga förvaltningsavgiften, när de inte överträffar index? / Aim: The fact that a monkey won the Swedish Championship in stocks in 1993, ahead of professional investors, shows that stock prices are random. Why should an investor trust that a professional manager is better on evaluating the market and its investment opportunities than others? The purpose with this thesis is to investigate how active managed funds perform compared to index funds, after subtraction of the management fee. The index fund is represented by a “comparison index” and the research covers a period of ten years, between 2000 and 2009. Method: A quantitative method has been used in this study, where the information has been received from Morningstar and SIX Telekurs. Microsoft Excel has been used to process the collected data in order to calculate the expected return and the risk measures. The result is presented in diagrams and charts in order to analyse and compare it with the theory. Result & Conclusions: Only one out of ten active managed funds outperform index,therefore draws the conclusion that index funds is a better investment option than active managed funds. The result shows that the higher management fee that stock exchange companies claims is not appropriate. Suggestions for future research: Based on the results in this thesis, it would be interesting to do a qualitative research where the focus is on the fund managers’ opinions. How can they motivate the high management fee, when they don’t outperform index?

No description available.