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Advisor(s)
Abstract(s)
Os investidores que praticam gestão ativa de carteiras, acreditam em ineficiências
específicas no mercado, podendo as mesmas ser explorados de forma a tentar “vencer” o
mercado. Na gestão passiva, os investidores tentam replicar o retorno de um determinado
índice, já na gestão ativa selecionam ações com possibilidade de rendibilidade superior
ao índice de referência.
Ao longo dos tempos, nos mercados financeiros foram surgindo alguns modelos de
seleção e avaliação de desempenho. Nesse sentido, neste trabalho serão usados o modelo
de Elton e Gruber, CAPM, Sharpe e Treynor.
Esta dissertação vai-se centrar na seleção de ações do índice Português e Francês, PSI20
e CAC40 respetivamente. Após a seleção das ações por cada um dos modelos em análise,
as ações serão avaliadas pelos modelos não usados na sua seleção. Ou seja, o objetivo do
trabalho prende-se com a verificação do modelo e da ação com a melhor taxa de
assertividade, para os dois índices em investigação. As informações utilizadas para a
realização deste estudo será as cotações históricas durante o período de Janeiro de 2005
e Dezembro de 2016.
Investors who practice active portfolio management believe in specific inefficiencies in the market that can be exploited to try to win the market. In the passive management, the investors try to replicate the return of a certain index, already in the active management select actions with possibility of superior profitability to the reference index. Over time, some models of performance selection and evaluation have emerged in the financial markets. In this sense, in this work will be used the model of Elton and Gruber, CAPM, Sharpe and Treynor. This dissertation will focus on the selection of shares of the Portuguese and French index, PSI20 and CAC40 respectively. After selecting the actions for each of the different models under analysis, they will be evaluated by the other models. That is, the objective of the work is to verify the model and the stock with the best rate of assertiveness, for the two indices under investigation. The information used to carry out this study will be historical quotations during the period of January 2005 to December 2016.
Investors who practice active portfolio management believe in specific inefficiencies in the market that can be exploited to try to win the market. In the passive management, the investors try to replicate the return of a certain index, already in the active management select actions with possibility of superior profitability to the reference index. Over time, some models of performance selection and evaluation have emerged in the financial markets. In this sense, in this work will be used the model of Elton and Gruber, CAPM, Sharpe and Treynor. This dissertation will focus on the selection of shares of the Portuguese and French index, PSI20 and CAC40 respectively. After selecting the actions for each of the different models under analysis, they will be evaluated by the other models. That is, the objective of the work is to verify the model and the stock with the best rate of assertiveness, for the two indices under investigation. The information used to carry out this study will be historical quotations during the period of January 2005 to December 2016.
Description
Keywords
Elton e Gruber Shape CAPM Trynor Seleção de ações Treynor; stock selection