Análise do Desempenho de Fundos de Investimentos: Um Estudo em Ações Brasileiras no Período de Janeiro de 2004 a Agosto de 2009

Casaccia, Michelli Coll; Galli, Oscar Claudino; Macêdo, Guilherme Ribeiro de; Leitão, Carla Renata Silva

doi:10.15603/1982-8756/roc.v7n13p1-30

Cited by 12 publications

(14 citation statements)

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“…With respect to market timing and selectivity abilities, none of the models used, including Jensen's alpha, Treynor-Mazuy (TM), and Henriksson and Merton (HM), yielded satisfactory results (Henriksson and Treynor apud Cassicia et al, 2011). The SI and TI confirmed the superiority of about half of the funds with respect to the benchmark, whereas TM and HM did not find this superiority, but reaffirmed that no evidence was found of timing by the managers (Casaccia et al, 2011).…”

Section: Theoretical Frameworkmentioning

confidence: 81%

“…Using a quantitative approach (resources, techniques, and statistical models), they listed a sample of funds. Using Sharpe's model, they found that 49% of the funds outperformed benchmarking; however, after performing the Jarque-Bera normality test, the results showed that 53% of the funds rejected the null hypothesis of normality, indicating that the results from the SI model may not have significance (the model has a premise of normally distributed returns) (Casaccia et al, 2011).…”

Section: Theoretical Frameworkmentioning

confidence: 99%

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Relationship between Portfolio Distribution, Management, and Composition and the Performance of Brazilian Fixed-Income Investment Funds (2011-2018)

Boalin¹,

Gatsios²,

Lima³

et al. 2020

TEL

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This study analyzes the relationship between portfolio distribution, management, and composition indicators and the performance of fixed-income funds in Brazil. It provides support to investors when making decisions regarding their investments. A sample composed of 1039 Brazilian fixed-income funds from January 2011 to December 2019 was analyzed using a panel data analysis methodology and considering robust standard errors. The performance fee charged by funds was found to be the variable that most helped increase the performance of Brazilian fixed-income funds. In addition, portfolios characterized by a higher proportion of fixed-income assets, less experienced management, managers concurrently responsible for a large number of funds, and greater net assets contributed substantially to improved fund performance, by generating the best risk-adjusted returns.

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Section: Theoretical Frameworkmentioning

confidence: 81%

Section: Theoretical Frameworkmentioning

confidence: 99%

Relationship between Portfolio Distribution, Management, and Composition and the Performance of Brazilian Fixed-Income Investment Funds (2011-2018)

Boalin¹,

Gatsios²,

Lima³

et al. 2020

TEL

View full text Add to dashboard Cite

show abstract

“…However, Casaccia, Galli, Macêdo, and Leitao (2011) did not identify any special abilities of managers in their sample. There are other studies on Brazilian funds using factor models where, in most cases, no superior managerial skills are evident.…”

Section: Introductionmentioning

confidence: 79%

Conditional Pricing Model With Heteroscedasticity: Evaluation of Brazilian Funds

et al. 2019

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Empirical studies have revealed that the conditional Capital Asset Pricing Model (CAPM) has a higher explanatory power than its unconditional version, particularly for the model in state-space form where the beta is estimated using Kalman filter. Most empirical analyses are based on stock portfolios to explain financial anomalies, but only a few studies proposed improving investment fund performance. The main contribution of this study is the assessment of Brazilian investment funds through traditional measures estimated from the CAPM model in state-space form with heteroscedastic and homoscedastic errors compared to alternative models, such as the unconditional CAPM and a four-factor model. Using a sample of stock funds from May 2005-April 2015, the results indicate that the conditional CAPM model produces better results than the alternative models, providing better performance evaluation practices for funds in both stock-picking and market-timing ability.

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“…O alfa de Jensen (1976), baseado também no modelo CAPM, corresponde ao termo independente (coeficiente linear) da Equação 14, necessário caso exista "uma parcela do retorno dos fundos independente da variação do excesso de retorno de mercado" (Ceretta & Milani, 2012, p. 97). Deste modo, o Alfa de Jensen "mede o excesso de retorno obtido pelo fundo após ajuste pelo risco sistemático, (dado pelo beta vezes o excesso de retorno do mercado)" (Varga, 2001, p. 9), ou seja, é o índice que obtém o diferencial de retorno quando a medida de risco utilizada é o beta (Casaccia et al, 2011), que pode ser obtido isolando o da Fórmula 14 resultando na seguinte Fórmula:…”

Section: Alfa De Jensenunclassified

Risco versus retorno das ações do setor imobiliário da BM&FBOVESPA no período de 2009 a 2012

Gaspar

Santos

Rodrigues

2014

RECADM

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Este estudo analisou o desempenho de 16 empresas do setor imobiliário com ações na BM&FBOVESPA no período de 2009 a 2012. A importância deste setor para a economia do país e a recente entrada destas empresas no mercado de capitais exige que estudos desta natureza contribuam no melhor entendimento da relação risco e retorno destas firmas. Para tanto, foram aplicados à amostra medidas estatísticas de avaliação e modelos quantitativos de desempenho

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Análise do Desempenho de Fundos de Investimentos: Um Estudo em Ações Brasileiras no Período de Janeiro de 2004 a Agosto de 2009

Cited by 12 publications

References 0 publications

Relationship between Portfolio Distribution, Management, and Composition and the Performance of Brazilian Fixed-Income Investment Funds (2011-2018)

Relationship between Portfolio Distribution, Management, and Composition and the Performance of Brazilian Fixed-Income Investment Funds (2011-2018)

Conditional Pricing Model With Heteroscedasticity: Evaluation of Brazilian Funds

Risco versus retorno das ações do setor imobiliário da BM&FBOVESPA no período de 2009 a 2012

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