Alternative beta model in practice: the Brazilian fund industry case

Detalhes bibliográficos
Autor(a) principal: Mendonça, Luisa Passebon
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/31222
Resumo: O presente trabalho introduz aspectos práticos na metodologia do alternative beta de modo a aproximar a sua implementação de uma experiência real. A literatura se concentra principalmente em aspectos teóricos, com pouca ênfase ao uso prático. A metodologia desenvolvida neste trabalho aborda diversos aspectos práticos do processo de investimento de forma a torná-la mais próxima de uma experiência de replicação real. Implementamos o algoritmo utilizando o filtro de Kalman para replicar oito fundos Multimercado brasileiros entre janeiro de 2015 e dezembro de 2020. Conseguimos acompanhar de perto e, na metade do período, superar os fundos originais, enquanto observamos o impacto dos elementos práticos na performance do modelo.
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spelling Mendonça, Luisa PassebonEscolas::EESPDario, Alan de GenaroPinto, Afonso de CamposMarques, Alessandro Martim2021-10-20T14:36:45Z2021-10-20T14:36:45Z2021-09-21https://hdl.handle.net/10438/31222O presente trabalho introduz aspectos práticos na metodologia do alternative beta de modo a aproximar a sua implementação de uma experiência real. A literatura se concentra principalmente em aspectos teóricos, com pouca ênfase ao uso prático. A metodologia desenvolvida neste trabalho aborda diversos aspectos práticos do processo de investimento de forma a torná-la mais próxima de uma experiência de replicação real. Implementamos o algoritmo utilizando o filtro de Kalman para replicar oito fundos Multimercado brasileiros entre janeiro de 2015 e dezembro de 2020. Conseguimos acompanhar de perto e, na metade do período, superar os fundos originais, enquanto observamos o impacto dos elementos práticos na performance do modelo.The present work introduces practical aspects into the alternative beta methodology in order to bring its implementation closer to a real life experience. The literature focus mostly on theoretical aspects with little attention to practical usage. The methodology developed in this work touches several practical aspects of the investment process in order to be closer to real life replication experience. We implemented the algorithm using the Kalman filter in order to replicate eight Brazilian Multimarket funds between January 2015 and December 2020. We were able to closely track and, in half of the period, even outperform the original funds while observing the impact of the real life details on the model performance.engTracking de hdge fundHedge fund trackingKalman Filter in financeAlternative BetaReplicação de retornosFiltro de Kalman em finançasReturn replicationEconomiaFundos de investimento - BrasilInvestimentos - AnáliseInvestimentos - AdministraçãoFundos hedgeKalman, Filtragem deAlternative beta model in practice: the Brazilian fund industry caseinfo: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:FGVORIGINALDissertação - Luisa Mendonça.pdfDissertação - Luisa Mendonça.pdfPDFapplication/pdf666979https://repositorio.fgv.br/bitstreams/a64185f4-67e9-49b4-984f-6172f92c8aa7/download68fcb4e34f5798d80a38366ee1d59edbMD53LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Alternative beta model in practice: the Brazilian fund industry case
title Alternative beta model in practice: the Brazilian fund industry case
spellingShingle Alternative beta model in practice: the Brazilian fund industry case
Mendonça, Luisa Passebon
Tracking de hdge fund
Hedge fund tracking
Kalman Filter in finance
Alternative Beta
Replicação de retornos
Filtro de Kalman em finanças
Return replication
Economia
Fundos de investimento - Brasil
Investimentos - Análise
Investimentos - Administração
Fundos hedge
Kalman, Filtragem de
title_short Alternative beta model in practice: the Brazilian fund industry case
title_full Alternative beta model in practice: the Brazilian fund industry case
title_fullStr Alternative beta model in practice: the Brazilian fund industry case
title_full_unstemmed Alternative beta model in practice: the Brazilian fund industry case
title_sort Alternative beta model in practice: the Brazilian fund industry case
author Mendonça, Luisa Passebon
author_facet Mendonça, Luisa Passebon
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Dario, Alan de Genaro
dc.contributor.author.fl_str_mv Mendonça, Luisa Passebon
dc.contributor.advisor1.fl_str_mv Pinto, Afonso de Campos
Marques, Alessandro Martim
contributor_str_mv Pinto, Afonso de Campos
Marques, Alessandro Martim
dc.subject.eng.fl_str_mv Tracking de hdge fund
Hedge fund tracking
Kalman Filter in finance
topic Tracking de hdge fund
Hedge fund tracking
Kalman Filter in finance
Alternative Beta
Replicação de retornos
Filtro de Kalman em finanças
Return replication
Economia
Fundos de investimento - Brasil
Investimentos - Análise
Investimentos - Administração
Fundos hedge
Kalman, Filtragem de
dc.subject.por.fl_str_mv Alternative Beta
Replicação de retornos
Filtro de Kalman em finanças
Return replication
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Fundos de investimento - Brasil
Investimentos - Análise
Investimentos - Administração
Fundos hedge
Kalman, Filtragem de
description O presente trabalho introduz aspectos práticos na metodologia do alternative beta de modo a aproximar a sua implementação de uma experiência real. A literatura se concentra principalmente em aspectos teóricos, com pouca ênfase ao uso prático. A metodologia desenvolvida neste trabalho aborda diversos aspectos práticos do processo de investimento de forma a torná-la mais próxima de uma experiência de replicação real. Implementamos o algoritmo utilizando o filtro de Kalman para replicar oito fundos Multimercado brasileiros entre janeiro de 2015 e dezembro de 2020. Conseguimos acompanhar de perto e, na metade do período, superar os fundos originais, enquanto observamos o impacto dos elementos práticos na performance do modelo.
publishDate 2021
dc.date.accessioned.fl_str_mv 2021-10-20T14:36:45Z
dc.date.available.fl_str_mv 2021-10-20T14:36:45Z
dc.date.issued.fl_str_mv 2021-09-21
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
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dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/31222
url https://hdl.handle.net/10438/31222
dc.language.iso.fl_str_mv eng
language eng
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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