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Abstract(s)
O debate suscitado na comunidade financeira, sobre se a gestão ativa de carteiras pode ou não oferecer melhores performances do que a gestão passiva, mantém-se atual. Embora os gestores de carteiras frequentemente obtenham retornos mais elevados, os custos de intermediação de um fundo ativo podem anular os ganhos obtidos no mercado.
O objetivo desta dissertação é verificar, para o mercado português, se os fundos ativos de ações oferecem ou não maiores retornos do que os fundos passivos, numa base corrigida pelo custo. Centra-se na seguinte questão de investigação: “É a gestão ativa dos fundos de investimentos de ações, negociados em Portugal, capaz de apresentar melhor desempenho face à gestão passiva?”.
Para responder a esta questão foi realizada uma análise empírica ao desempenho de cinco dos principais fundos de ações nacionais e ao índice PSI-20, enquanto indicador da gestão passiva, reportando os dados ao período compreendido entre 1 de janeiro de 2005 e 31 de dezembro de 2017, com frequência diária.
A metodologia utilizada recorreu aos indicadores tradicionais, selecionados a partir da revisão de literatura, tais como a rentabilidade e desvio-padrão, Índice de Jensen, Índice de Sharpe, Índice de Treynor, e o Modelo Treynor-Mazuy com a finalidade de avaliar as capacidades e qualidades dos gestores.
Os resultados obtidos evidenciam que a gestão ativa de carteiras é um instrumento de investimento mais económico do que a gestão passiva. A avaliação do trade-off rentabilidade-risco para os fundos de investimento analisados apresentou desempenhos superiores ao benchmark, medido pelo índice de mercado, e os gestores foram capazes de obter rentabilidades suficientes de modo a cobrir as comissões suportadas pelos investidores. Com base nestes resultados, conclui-se que a utilização de veículos de investimento passivos no mercado de ações português apresentam um desempenho inferior em comparação aos fundos de investimento, indicando que há benefício para a gestão ativa em Portugal.
The debate raised in the financial community, whether or not the active portfolio management can offer better performances than passive management, remains current. Although portfolio managers often obtain higher returns, the costs of intermediation of an active fund may void the gains obtained on the market. The aim of this dissertation is to verify, for the Portuguese market, whether the active funds of shares offer or not higher returns than the passive funds, on a basis corrected by cost. It focuses on the following research question: "Is the active management of stock investment funds, traded in Portugal, capable of presenting better performance over passive management?”. To answer this question, an empirical analysis was carried out on the performance of five of the main national equity funds and the PSI-20 index, as an indicator of passive management, reporting data for the period from 1 January 2005 to 31 December 2017, with daily frequency. The methodology used resorted to traditional indicators, selected from the literature review, such as profitability and standard deviation, Jensen Index, Sharpe Index, Treynor Index, and the Treynor-Mazuy model in order to evaluate the capacities and qualities of managers. The results show that the active management of portfolios is a more economical investment instrument than passive management. The evaluation of the trade-off profitability-risk for the investment funds analyzed presented higher performances than the benchmark, measured by the market index, and managers were able sufficient profitability in order to cover the commissions supported by investors. Based on these results, it is possible to concluded that the use of passive investment vehicles in the Portuguese stock market presents a lower performance compared to investment funds, indicating that there is benefit to active management in Portugal.
The debate raised in the financial community, whether or not the active portfolio management can offer better performances than passive management, remains current. Although portfolio managers often obtain higher returns, the costs of intermediation of an active fund may void the gains obtained on the market. The aim of this dissertation is to verify, for the Portuguese market, whether the active funds of shares offer or not higher returns than the passive funds, on a basis corrected by cost. It focuses on the following research question: "Is the active management of stock investment funds, traded in Portugal, capable of presenting better performance over passive management?”. To answer this question, an empirical analysis was carried out on the performance of five of the main national equity funds and the PSI-20 index, as an indicator of passive management, reporting data for the period from 1 January 2005 to 31 December 2017, with daily frequency. The methodology used resorted to traditional indicators, selected from the literature review, such as profitability and standard deviation, Jensen Index, Sharpe Index, Treynor Index, and the Treynor-Mazuy model in order to evaluate the capacities and qualities of managers. The results show that the active management of portfolios is a more economical investment instrument than passive management. The evaluation of the trade-off profitability-risk for the investment funds analyzed presented higher performances than the benchmark, measured by the market index, and managers were able sufficient profitability in order to cover the commissions supported by investors. Based on these results, it is possible to concluded that the use of passive investment vehicles in the Portuguese stock market presents a lower performance compared to investment funds, indicating that there is benefit to active management in Portugal.
Description
Keywords
Gestão ativa Gestão passiva Fundos de investimento Índice de mercado Active management Market index Passive management Investment funds