Taxa de performance e os fundos multimercados brasileiros
Autor(a) principal: | |
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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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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. We offer some possible explanations for this empirical evidence.porFundos de investimentoMultimercadoTaxa de performanceRiscoAnálise de estiloInvestments fundsHedge fundsPerformance feeRiskStyle analysisEconomiaFundos de investimentoAções (Finanças)Risco (Economia)Taxa de performance e os fundos multimercados brasileirosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTDissertação_LauraGonzaga.pdf.txtDissertação_LauraGonzaga.pdf.txtExtracted 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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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masterThesis |
status_str |
publishedVersion |
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. |
url |
https://hdl.handle.net/10438/17444 |
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por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
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openAccess |
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