Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas

• Autor(a) principal: Gomes, Alexandre Batista Ludolf
• Data de Publicação: 2016
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/17809
• topic: Multistrategy funds; Performance; Multi-factor model; Investment measurement; Risk exposures; Desempenho; Fundos; Investimento; Multimercado; Modelo multifatorial; Economia; Fundos de investimento - Brasil; Mercado de capitais; Investimentos - Análise; Modelos econométricos

This work examines the alpha generation of the Brazilian multimarket fund industry, taking in account fund specific characteristics, fund strategies, investor segment during different economic conditions. The employed dataset represents 1,568 multistrategy funds from 328 different managers within a 10-year timeframe from Dec-2005 to Dec-2015. The proposed model utilizes a stepwise automatic feature selection method, similar to other authors such as Stafylas, Anderson e Uddin (2015), where features are selected from a regressor candidates list that contemplates: equity factors, interest rate factors, credit factors, currency factors and commodities factors. The results found shows that at a 5% level there is positive alpha generation, that is, Brazilian multistrategy funds on average have delivered extraordinary returns on the whole sample and at the more benign market environments. During less benign market environment multistrategy funds does not deliver alpha that is statistically distinguishable from zero and sub-strategy segmentation points to different risk exposures dynamics during different market conditions.