Stylized facts of Private Equity funds in Brazil

• Autor(a) principal: Ribeiro, João Eduardo
• Data de Publicação: 2019
• Outros Autores: Maciel, Claudia Faria, Pinheiro, Juliano Lima
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: CAFI (São Paulo)
• Texto Completo: https://revistas.pucsp.br/index.php/CAFI/article/view/43505

The main purpose of this article is to highlight stylized facts about Private Equity funds in Brazil, in order to understand how this type of investment occurs in the Brazilian capital market. Therefore, secondary data from 12 funds that are domiciled in Brazil and invested in Brazilian companies were used. All data were obtained from a Bloomberg terminal. The results show that the most commonly used benchmark indexes by the funds of the sample was DI-Cetip, Fix TRX Des Imob I has the highest return, Brazil Invest 2014 I FIP has the highest risk of the sample, and Barao Vermelho FIP the lowest. As for the tracking error, the fund that presented the largest departure from the benchmark was Brazil Invest 2014 I FIP. In addition, negative beta was observed in several funds, which reinforces the idea that there are more appropriate measures than beta to assess risk of countries with emerging markets like Brazil. In general, the FIP TRX Des Imob I fund presented the best performance of the funds analyzed, not only for the results of the IS, IT, Jensen’s alpha and Isor indexes, but also for being one of the most adherent to the benchmark index and having one of the lowest volatilities of the sample. On the other hand, the Brazil Invest 2014 FIP fund had the lowest adherence to the benchmark, in addition to being the most volatile fund in the sample.