Active and passive investing

• Autor(a) principal: Meneses, Laura Sofia Dantas Freitas Telo de
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/144627
• topic: Asset pricing; Factor models; Passive investing; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

The purpose of this paper is to provide an overview ofthe transition from active to passive investing. As a BPI GA’s request, the paper will test whether the funds that belong to their white list gene rate alpha(α)and if so, if it is associated with a higher QMJ coefficient. Two models were built –the Gross and the Net Model –, which user egression analyses that rely upon factor models, over the period 09/09/2016 to 30/07/2021.The Gross Model shows that 60 percent of the funds display a slightly positiveα, including the benchmark, and that they are negatively correlated to QMJ. The Net Models hows that only one fund has a significant but negative α,and that each fund has significant exposure to at least one risk factor, showing that the managers fail to outperform the benchmark and simply expose the funds to factors. This study, by using a less naïve approach to measure α, shall provide better guidance for BPI GA’s future course of action.