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 estÃ
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, Ã 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 Ã
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.
| Identifer | oai:union.ndltd.org:IBICT/oai:www.teses.ufc.br:6421 |
| Date | 23 January 2012 |
| Creators | Thiago Alves Nogueira |
| Contributors | Paulo RogÃrio Faustino Matos, Marcelo Miranda de Melo, Jocildo Figueiredo Correia Neto |
| Publisher | Universidade Federal do CearÃ, Programa de PÃs-GraduaÃÃo em Economia - CAEN, UFC, BR |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Biblioteca Digital de Teses e Dissertações da UFC, instname:Universidade Federal do Ceará, instacron:UFC |
| Rights | info:eu-repo/semantics/openAccess |
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