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Authors
Abstract(s)
Este estudo busca identificar se os fundos de investimentos com maior número de
cotistas no Brasil entre os anos de 2017 a 2019 superam a opção de investir em um ativo com
retorno maior que a inflação e sem risco, assim como se seus desempenhos superam a carteira
de mercado brasileira, o Ibovespa. E também apresentar indicadores de avaliação e métodos
de análise de investimentos que possam beneficiar ao acadêmico e ao potencial investidor
aplicar seus investimentos e obter ao menos a riqueza financeira. Os dados da pesquisa foram
constituídos por resultados diários de cinco fundos de investimentos e da carteira de mercado
Ibovespa com uma sequência amostral de três anos. A informação de destaque destes fundos,
é que os cinco fundos da classe de ações são os mesmos durante os respectivos anos da
pesquisa.
A metodologia usa uma amostra de cinco ativos durante o período de 2014-2019 e
calcula o retorno bruto simples, o índice de Sharpe, índice de Treynor, o índice de Sortino
e o índice de Jensen, regride as diferenças de desempenho entre os fundos e o índice de
mercado, avalia a persistência de desempenho. Os resultados revelam que a maioria dos
desempenhos selecionados não superou o índice Ibovespa no nível diário. No entanto,
houve a persistência do retorno dos fundos no intervalo da amostra. E finalmente, a análise
de regressão indica que o desempenho dos fundos pode ser de alguma forma previsível. As
conclusões do estudo podem ajudar os investidores que buscam opções de investimento que
os ajudem a obter retornos acima do ativo livre de risco que supere a inflação. Assim como
também, da carteira de mercado. Contudo, as conclusões sobre as comparações entre os
desempenhos dos fundos, do ativo livre de risco e da carteira de mercado também podem
ser úteis para o investidor manter o patrimônio sempre valorizado acima da inflação.
This study seeks to identify whether the investment funds with the largest number of quota holders in Brazil between the years 2017 to 2019 outperform the option of investing in an asset with return greater than inflation and without risk, as well as whether their performances outperform the Brazilian market portfolio, the Ibovespa. And also present evaluation indicators and methods of investment analysis that can benefit the academic and potential investor to apply their investments and obtain at least financial wealth. The research data consisted of daily results of five investment funds and the Ibovespa market portfolio with a sample sequence of three years. The highlight information of these funds, is that the five funds in the equity class are the same during the respective years of the survey. The methodology uses a sample of five assets over the period 2014-2019 and calculates the simple gross return, Sharpe index, Treynor index, Sortino index and Jensen index, regresses the performance differences between the funds and the market index, assesses the persistence of performance. The results reveal that most of the selected performers did not outperform the Ibovespa index at the daily level. However, there was persistence of the funds' returns over the sample interval. And finally, the regression analysis indicates that the performance of the funds can be somewhat predictable. The findings of the study can help investors looking for investment options that will help them earn returns above risk-free assets that outperform inflation. As well as, from the market portfolio. However, the conclusions about the comparisons between the performances of the funds, the risk-free asset and the market portfolio can also be useful for the investor to keep the equity always valued above inflation.
This study seeks to identify whether the investment funds with the largest number of quota holders in Brazil between the years 2017 to 2019 outperform the option of investing in an asset with return greater than inflation and without risk, as well as whether their performances outperform the Brazilian market portfolio, the Ibovespa. And also present evaluation indicators and methods of investment analysis that can benefit the academic and potential investor to apply their investments and obtain at least financial wealth. The research data consisted of daily results of five investment funds and the Ibovespa market portfolio with a sample sequence of three years. The highlight information of these funds, is that the five funds in the equity class are the same during the respective years of the survey. The methodology uses a sample of five assets over the period 2014-2019 and calculates the simple gross return, Sharpe index, Treynor index, Sortino index and Jensen index, regresses the performance differences between the funds and the market index, assesses the persistence of performance. The results reveal that most of the selected performers did not outperform the Ibovespa index at the daily level. However, there was persistence of the funds' returns over the sample interval. And finally, the regression analysis indicates that the performance of the funds can be somewhat predictable. The findings of the study can help investors looking for investment options that will help them earn returns above risk-free assets that outperform inflation. As well as, from the market portfolio. However, the conclusions about the comparisons between the performances of the funds, the risk-free asset and the market portfolio can also be useful for the investor to keep the equity always valued above inflation.
Description
Keywords
Fundos de investimentos Indicadores de Desempenho Persistência do desempenho Investment funds Indicators of performance Performance persistence