Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas
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: | http://hdl.handle.net/10438/17809 |
Resumo: | 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. |
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Gomes, Alexandre Batista LudolfEscolas::EESPSampaio, Joelson OliveiraSheng, Hsia HuaRochman, Ricardo Ratner2017-01-30T17:21:28Z2017-01-30T17:21:28Z2016-12-16GOMES, Alexandre Batista Ludolf. Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.http://hdl.handle.net/10438/17809This 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.Esse trabalho analisa a geração de alfa da indústria brasileira de fundos multimercado, levando em consideração características específicas, estratégias de investimento e segmento de investidor durante diferentes condições econômicas. A amostra utilizada compreende 1.568 fundos de 328 gestores distintos, observados em granularidade mensal durante período de 10 anos, de dez-2005 a dez-2015. O método empírico utilizado faz uso de processo de seleção automática de regressores via stepwise, modelagem implementada por autores como Stafylas, Anderson e Uddin (2015), selecionados de uma lista prévia de candidatos a regressores amparados na literatura e contemplando fatores de ações, fatores de juros, fatores de risco de crédito, fatores de moedas e fatores de commodities. Os resultados obtidos mostram que a 5% existe geração de alfa positivo na categoria de fundos, isto é, os gestores de fundos multimercado têm capacidade de gerar, na média, retornos anormais na administração dos recursos dos investidores ao longo do tempo, tanto na amostra total quanto nos períodos econômicos mais benignos, contudo não apresentam retornos extraordinários estatisticamente diferentes de zero durante períodos econômicos menos benignos. Além disso, os fundos também apresentam diferenças sensíveis na composição dos retornos quando avaliados por sub-estratégias e em diferentes condições de mercado.porMultistrategy fundsPerformanceMulti-factor modelInvestment measurementRisk exposuresDesempenhoFundosInvestimentoMultimercadoModelo multifatorialEconomiaFundos de investimento - BrasilMercado de capitaisInvestimentos - AnáliseModelos econométricosFundos multimercados brasileiros criam valor? 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|
dc.title.por.fl_str_mv |
Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas |
title |
Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas |
spellingShingle |
Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas Gomes, Alexandre Batista Ludolf 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 |
title_short |
Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas |
title_full |
Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas |
title_fullStr |
Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas |
title_full_unstemmed |
Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas |
title_sort |
Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas |
author |
Gomes, Alexandre Batista Ludolf |
author_facet |
Gomes, Alexandre Batista Ludolf |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Sampaio, Joelson Oliveira Sheng, Hsia Hua |
dc.contributor.author.fl_str_mv |
Gomes, Alexandre Batista Ludolf |
dc.contributor.advisor1.fl_str_mv |
Rochman, Ricardo Ratner |
contributor_str_mv |
Rochman, Ricardo Ratner |
dc.subject.eng.fl_str_mv |
Multistrategy funds Performance Multi-factor model Investment measurement Risk exposures |
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 |
dc.subject.por.fl_str_mv |
Desempenho Fundos Investimento Multimercado Modelo multifatorial |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Fundos de investimento - Brasil Mercado de capitais Investimentos - Análise Modelos econométricos |
description |
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. |
publishDate |
2016 |
dc.date.issued.fl_str_mv |
2016-12-16 |
dc.date.accessioned.fl_str_mv |
2017-01-30T17:21:28Z |
dc.date.available.fl_str_mv |
2017-01-30T17:21:28Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
GOMES, Alexandre Batista Ludolf. Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/17809 |
identifier_str_mv |
GOMES, Alexandre Batista Ludolf. Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016. |
url |
http://hdl.handle.net/10438/17809 |
dc.language.iso.fl_str_mv |
por |
language |
por |
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) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/b9b8dc25-6918-49d8-8a98-a527fd65ed17/download https://repositorio.fgv.br/bitstreams/0d7a2d84-37cd-4b38-a476-0abbfecb5bf0/download https://repositorio.fgv.br/bitstreams/1868539b-eaa7-4ed3-ac71-f960244640a6/download https://repositorio.fgv.br/bitstreams/116c16d8-fd89-47bd-94af-43e8e1892fab/download |
bitstream.checksum.fl_str_mv |
4425a3588298003137db83a5e2be57f2 91e4b622130ab4ac64d4ffc168ba2458 dfb340242cced38a6cca06c627998fa1 85e84e977e0df9caffa8db4f5ce0249c |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023801665093632 |