Performance das melhores ideias dos gestores de fundos de ações brasileiros

Detalhes bibliográficos
Autor(a) principal: Carvalho, Milton Baggio
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/9881
Resumo: I build a portfolio of stocks that Brazilian portfolio managers believe will have the best return. This portfolio outperforms the benchmark by 1.8% per month. These stocks are the stocks managers have ex ante the most conviction in, they are identified as each manager’s biggest overweight when comparing his portfolio to a benchmark. This excess return is statically and economically meaningful. This 'best idea' portfolio is built from the monthly holdings reported by Brazilian mutual funds to the Brazilian securities exchange commission from 2006 to 2011.
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spelling Carvalho, Milton BaggioEscolas::EPGEFGVAssunção, Juliano JunqueiraBonomo, Marco Antônio CesarSimonsen, Axel AndréBerriel, Tiago Couto2012-07-10T20:17:47Z2012-07-10T20:17:47Z2012-04-16CARVALHO, Milton Baggio. Performance das melhores ideias dos gestores de fundos de ações brasileiros. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2012.https://hdl.handle.net/10438/9881I build a portfolio of stocks that Brazilian portfolio managers believe will have the best return. This portfolio outperforms the benchmark by 1.8% per month. These stocks are the stocks managers have ex ante the most conviction in, they are identified as each manager’s biggest overweight when comparing his portfolio to a benchmark. This excess return is statically and economically meaningful. This 'best idea' portfolio is built from the monthly holdings reported by Brazilian mutual funds to the Brazilian securities exchange commission from 2006 to 2011.Nesta tese é construído um portfolio com as melhores ideias dos gestores de fundos de ações brasileiro. Este portfolio apresenta um retorno acima do mercado de 1,8% ao mês. As melhores ideias dos gestores são definidas como as ideias que os gestores têm a maior convicção ex ante e são identificadas como a maior posição de cada gestor relativa a um benchmark. Os retornos em excesso encontrados são estatisticamente e economicamente significantes e utilizam como base de dados a carteira mensal de fundos de ações brasileiros no período de janeiro 2006 a agosto 2011.porGestorFundos de ações brasileirosEficiênciaStocksFund holdingPortfolio managerEconomiaAções (Finanças)Investimentos - AnáliseFundos de investimentoPerformance das melhores ideias dos gestores de fundos de ações 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:FGVORIGINALMilton Baggio - Melhores ideias.pdfMilton Baggio - Melhores ideias.pdfPDFapplication/pdf1015228https://repositorio.fgv.br/bitstreams/bbe2cf13-3dac-4a9a-a2df-0c62e3a84f33/downloadd00d5b8c9bd9a672e9c81074bca0a365MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv Performance das melhores ideias dos gestores de fundos de ações brasileiros
title Performance das melhores ideias dos gestores de fundos de ações brasileiros
spellingShingle Performance das melhores ideias dos gestores de fundos de ações brasileiros
Carvalho, Milton Baggio
Gestor
Fundos de ações brasileiros
Eficiência
Stocks
Fund holding
Portfolio manager
Economia
Ações (Finanças)
Investimentos - Análise
Fundos de investimento
title_short Performance das melhores ideias dos gestores de fundos de ações brasileiros
title_full Performance das melhores ideias dos gestores de fundos de ações brasileiros
title_fullStr Performance das melhores ideias dos gestores de fundos de ações brasileiros
title_full_unstemmed Performance das melhores ideias dos gestores de fundos de ações brasileiros
title_sort Performance das melhores ideias dos gestores de fundos de ações brasileiros
author Carvalho, Milton Baggio
author_facet Carvalho, Milton Baggio
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 Assunção, Juliano Junqueira
Bonomo, Marco Antônio Cesar
Simonsen, Axel André
dc.contributor.author.fl_str_mv Carvalho, Milton Baggio
dc.contributor.advisor1.fl_str_mv Berriel, Tiago Couto
contributor_str_mv Berriel, Tiago Couto
dc.subject.por.fl_str_mv Gestor
Fundos de ações brasileiros
Eficiência
topic Gestor
Fundos de ações brasileiros
Eficiência
Stocks
Fund holding
Portfolio manager
Economia
Ações (Finanças)
Investimentos - Análise
Fundos de investimento
dc.subject.eng.fl_str_mv Stocks
Fund holding
Portfolio manager
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Ações (Finanças)
Investimentos - Análise
Fundos de investimento
description I build a portfolio of stocks that Brazilian portfolio managers believe will have the best return. This portfolio outperforms the benchmark by 1.8% per month. These stocks are the stocks managers have ex ante the most conviction in, they are identified as each manager’s biggest overweight when comparing his portfolio to a benchmark. This excess return is statically and economically meaningful. This 'best idea' portfolio is built from the monthly holdings reported by Brazilian mutual funds to the Brazilian securities exchange commission from 2006 to 2011.
publishDate 2012
dc.date.accessioned.fl_str_mv 2012-07-10T20:17:47Z
dc.date.available.fl_str_mv 2012-07-10T20:17:47Z
dc.date.issued.fl_str_mv 2012-04-16
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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status_str publishedVersion
dc.identifier.citation.fl_str_mv CARVALHO, Milton Baggio. Performance das melhores ideias dos gestores de fundos de ações brasileiros. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2012.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/9881
identifier_str_mv CARVALHO, Milton Baggio. Performance das melhores ideias dos gestores de fundos de ações brasileiros. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2012.
url https://hdl.handle.net/10438/9881
dc.language.iso.fl_str_mv por
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dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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