Taxa de performance e os fundos multimercados brasileiros

Detalhes bibliográficos
Autor(a) principal: Gonzaga, Laura Vicente Lemos
Data de Publicação: 2016
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/17444
Resumo: Este estudo analisa o desempenho e o risco incorrido pelos fundos multimercado brasileiros que cobram taxa de performance vis-à-vis àqueles que não cobram. Testamos a hipótese de que, para se ter maiores retornos, os gestores que cobram performance assumem maiores riscos. Nossa análise é baseada em aproximadamente 820 mil retornos diários, e incluiu 545 fundos operando no período pós-crise financeira (2010 a 2015). Surpreendentemente, os resultados encontrados apontam, de forma robusta, que os fundos que cobram taxa de performance tendem a apresentar (i) menor risco, (ii) maior retorno e (iii) menor alongamento da carteira. Oferecemos algumas possíveis explicações para essa evidência empírica.
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spelling Gonzaga, Laura Vicente LemosEscolas::EPGEFGVSantos, Rafael ChavesGonçalves, Edson Daniel LopesSouza, Giuliano Carrozza Uzêda Iorio deSilva, André de Castro2016-11-07T18:45:29Z2016-11-07T18:45:29Z2016-05-27GONZAGA, Laura Vicente Lemos. Taxa de performance e os fundos multimercados brasileiros. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016.https://hdl.handle.net/10438/17444Este estudo analisa o desempenho e o risco incorrido pelos fundos multimercado brasileiros que cobram taxa de performance vis-à-vis àqueles que não cobram. Testamos a hipótese de que, para se ter maiores retornos, os gestores que cobram performance assumem maiores riscos. Nossa análise é baseada em aproximadamente 820 mil retornos diários, e incluiu 545 fundos operando no período pós-crise financeira (2010 a 2015). Surpreendentemente, os resultados encontrados apontam, de forma robusta, que os fundos que cobram taxa de performance tendem a apresentar (i) menor risco, (ii) maior retorno e (iii) menor alongamento da carteira. Oferecemos algumas possíveis explicações para essa evidência empírica.This study aims to analyze the performance and risk of Brazilian hedge funds that charge performance fees against with those, which do not charge it. We tested the hypothesis that to obtain higher returns, managers who charge performance take greater risks. Our analysis is based on approximately 820,000 daily returns across 545 funds operating in the financial post-crisis period (2010-2015). Surprisingly, the results consistently show that the funds that charge performance fees tend to present (i) less risk, (ii) higher returns and (iii) lower portfolio duration. 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dc.title.por.fl_str_mv Taxa de performance e os fundos multimercados brasileiros
title Taxa de performance e os fundos multimercados brasileiros
spellingShingle Taxa de performance e os fundos multimercados brasileiros
Gonzaga, Laura Vicente Lemos
Fundos de investimento
Multimercado
Taxa de performance
Risco
Análise de estilo
Investments funds
Hedge funds
Performance fee
Risk
Style analysis
Economia
Fundos de investimento
Ações (Finanças)
Risco (Economia)
title_short Taxa de performance e os fundos multimercados brasileiros
title_full Taxa de performance e os fundos multimercados brasileiros
title_fullStr Taxa de performance e os fundos multimercados brasileiros
title_full_unstemmed Taxa de performance e os fundos multimercados brasileiros
title_sort Taxa de performance e os fundos multimercados brasileiros
author Gonzaga, Laura Vicente Lemos
author_facet Gonzaga, Laura Vicente Lemos
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Santos, Rafael Chaves
Gonçalves, Edson Daniel Lopes
Souza, Giuliano Carrozza Uzêda Iorio de
dc.contributor.author.fl_str_mv Gonzaga, Laura Vicente Lemos
dc.contributor.advisor1.fl_str_mv Silva, André de Castro
contributor_str_mv Silva, André de Castro
dc.subject.por.fl_str_mv Fundos de investimento
Multimercado
Taxa de performance
Risco
Análise de estilo
topic Fundos de investimento
Multimercado
Taxa de performance
Risco
Análise de estilo
Investments funds
Hedge funds
Performance fee
Risk
Style analysis
Economia
Fundos de investimento
Ações (Finanças)
Risco (Economia)
dc.subject.eng.fl_str_mv Investments funds
Hedge funds
Performance fee
Risk
Style analysis
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Fundos de investimento
Ações (Finanças)
Risco (Economia)
description Este estudo analisa o desempenho e o risco incorrido pelos fundos multimercado brasileiros que cobram taxa de performance vis-à-vis àqueles que não cobram. Testamos a hipótese de que, para se ter maiores retornos, os gestores que cobram performance assumem maiores riscos. Nossa análise é baseada em aproximadamente 820 mil retornos diários, e incluiu 545 fundos operando no período pós-crise financeira (2010 a 2015). Surpreendentemente, os resultados encontrados apontam, de forma robusta, que os fundos que cobram taxa de performance tendem a apresentar (i) menor risco, (ii) maior retorno e (iii) menor alongamento da carteira. Oferecemos algumas possíveis explicações para essa evidência empírica.
publishDate 2016
dc.date.accessioned.fl_str_mv 2016-11-07T18:45:29Z
dc.date.available.fl_str_mv 2016-11-07T18:45:29Z
dc.date.issued.fl_str_mv 2016-05-27
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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dc.identifier.citation.fl_str_mv GONZAGA, Laura Vicente Lemos. Taxa de performance e os fundos multimercados brasileiros. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/17444
identifier_str_mv GONZAGA, Laura Vicente Lemos. Taxa de performance e os fundos multimercados brasileiros. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016.
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