Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais?
Autor(a) principal: | |
---|---|
Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional da UFG |
Texto Completo: | http://repositorio.bc.ufg.br/tede/handle/tede/9755 |
Resumo: | The objective of this research is to verify if the investment portfolios of the Brazilian municipal RPPS are allocated efficiently. If not, what are the losses from their sub-optimal allocation? In order to answer these questions, a review of relevant studies was carried out on: portfolio theory, risk measures, measures of performance, measures of loss by sub-optimization, optimization of portfolios in pension funds and, finally , RPPS and portfolio optimization in RPPS. The investigation of the literature evidenced the lack of consensus among the studies that were proposed to study the existence of losses from sub-optimization in the municipal RPPS, therefore, a gap in the literature was seen, which this work intends to contribute. The database was assembled with primary data from the 30 largest and 30 smallest RPPSs, obtained from the respective DAIRs from the end of the first two months of the years 2012 to 2015. Theoretical portfolios were set up on the Economática platform and later these were exported to the software statistic R. Algorithms of calculations of the loss measures via Return Loss and Return Sharpe Ratio Loss were implemented under different measures of risk and, consequently, of performance. The results indicated losses from sub-optimization for all measures of performance and benchmarks. There were RPPSs that, even with the legal scenario restricted by Resolutions CMN 3,922 / 2010 and CMN 4,604 / 2017, had small subotimization losses, which indicates that the inefficiencies of the portfolios are not only due to the restrictions imposed by the legislation. |
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Cruz, Alethéia Ferreira dahttp://lattes.cnpq.br/4696821747588199Cruz, Aletheia Ferreira daRech, Ilírio JoséLima, Diana Vaz dehttp://lattes.cnpq.br/6610912212870728Roriz, Ataualpa Veloso2019-06-27T13:09:21Z2018-06-14RORIZ, A. V. Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? 2018. 95 f. Dissertação (Mestrado em Ciências Contábeis) - Universidade Federal de Goiás, Goiânia, 2018.http://repositorio.bc.ufg.br/tede/handle/tede/9755The objective of this research is to verify if the investment portfolios of the Brazilian municipal RPPS are allocated efficiently. If not, what are the losses from their sub-optimal allocation? In order to answer these questions, a review of relevant studies was carried out on: portfolio theory, risk measures, measures of performance, measures of loss by sub-optimization, optimization of portfolios in pension funds and, finally , RPPS and portfolio optimization in RPPS. The investigation of the literature evidenced the lack of consensus among the studies that were proposed to study the existence of losses from sub-optimization in the municipal RPPS, therefore, a gap in the literature was seen, which this work intends to contribute. The database was assembled with primary data from the 30 largest and 30 smallest RPPSs, obtained from the respective DAIRs from the end of the first two months of the years 2012 to 2015. Theoretical portfolios were set up on the Economática platform and later these were exported to the software statistic R. Algorithms of calculations of the loss measures via Return Loss and Return Sharpe Ratio Loss were implemented under different measures of risk and, consequently, of performance. The results indicated losses from sub-optimization for all measures of performance and benchmarks. There were RPPSs that, even with the legal scenario restricted by Resolutions CMN 3,922 / 2010 and CMN 4,604 / 2017, had small subotimization losses, which indicates that the inefficiencies of the portfolios are not only due to the restrictions imposed by the legislation.O objetivo dessa pesquisa é verificar se as carteiras de investimentos dos RPPSs municipais brasileiros são alocadas de forma eficiente. Se não, quais são as perdas por essa alocação subótimo? Com o intuito de responder essas perguntas, foi realizada uma revisão dos estudos relevantes sobre: teoria de portfólio, medidas de risco, medidas de performance, medidas de perda por subotimização, otimização de portfólios em fundos de pensão e, por fim, RPPS e otimização de portfólios nos RPPS. A investigação da literatura evidenciou a inexistência de consenso entre os estudos que se propuseram a estudar a existência de perdas oriundas de subotimização nos RPPS municipais, vislumbrou-se, pois, uma lacuna na literatura, a qual este trabalho se propõe a contribuir. A base de dados foi montada com dados primários dos 30 maiores e 30 menores RPPSs, obtidos a partir dos respectivos DAIRs do 1o bimestre dos anos de 2012 a 2015. Foram montadas carteiras teóricas na plataforma Economática e, posteriormente, estas foram exportadas para o software estatístico R. Implementou-se algoritmos de cálculos das medidas de perdas via Return Loss e Return Sharpe Ratio Loss sob diferentes medidas de risco e, consequentemente, de performance. Os resultados indicaram perdas oriundas de subotimização para todas as medidas de performance e benchmarks. Foram encontrados RPPSs que, mesmo com o cenário legal restrito pelas Resoluções CMN 3.922/2010 e CMN 4.604/2017, tiveram perdas de subotimização ínfimas, fato que indica que a ineficiências das carteiras não se deve somente às restrições impostas pela legislação.Submitted by Ana Caroline Costa (ana_caroline212@hotmail.com) on 2019-06-26T19:10:41Z No. of bitstreams: 2 Dissertação - Ataualpa Veloso Roriz - 2018.pdf: 1268478 bytes, checksum: 00cd56b7ef663431955b51459b870905 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5)Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2019-06-27T13:09:21Z (GMT) No. of bitstreams: 2 Dissertação - Ataualpa Veloso Roriz - 2018.pdf: 1268478 bytes, checksum: 00cd56b7ef663431955b51459b870905 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5)Made available in DSpace on 2019-06-27T13:09:21Z (GMT). No. of bitstreams: 2 Dissertação - Ataualpa Veloso Roriz - 2018.pdf: 1268478 bytes, checksum: 00cd56b7ef663431955b51459b870905 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2018-06-14application/pdfporUniversidade Federal de GoiásPrograma de Pós-graduação em Ciências Contábeis (FACE)UFGBrasilFaculdade de Administração, Ciências Contábeis e Ciências Econômicas - FACE (RG)http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessRPPSOtimização de portfóliosFundos de pensãoMedidas de riscoMedidas de performancePortfolio optimizationPension fundsRisk measuresPerformance measuresADMINISTRACAO::CIENCIAS CONTABEISHá perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais?Are the municipal RPPS’s losses due to sub-optimization of its investment portfolios?info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis-53390896293140749966006006004371253776516639045083931829893356571reponame:Repositório Institucional da UFGinstname:Universidade Federal de Goiás (UFG)instacron:UFGLICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? |
dc.title.alternative.eng.fl_str_mv |
Are the municipal RPPS’s losses due to sub-optimization of its investment portfolios? |
title |
Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? |
spellingShingle |
Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? Roriz, Ataualpa Veloso RPPS Otimização de portfólios Fundos de pensão Medidas de risco Medidas de performance Portfolio optimization Pension funds Risk measures Performance measures ADMINISTRACAO::CIENCIAS CONTABEIS |
title_short |
Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? |
title_full |
Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? |
title_fullStr |
Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? |
title_full_unstemmed |
Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? |
title_sort |
Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? |
author |
Roriz, Ataualpa Veloso |
author_facet |
Roriz, Ataualpa Veloso |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Cruz, Alethéia Ferreira da |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/4696821747588199 |
dc.contributor.referee1.fl_str_mv |
Cruz, Aletheia Ferreira da |
dc.contributor.referee2.fl_str_mv |
Rech, Ilírio José |
dc.contributor.referee3.fl_str_mv |
Lima, Diana Vaz de |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/6610912212870728 |
dc.contributor.author.fl_str_mv |
Roriz, Ataualpa Veloso |
contributor_str_mv |
Cruz, Alethéia Ferreira da Cruz, Aletheia Ferreira da Rech, Ilírio José Lima, Diana Vaz de |
dc.subject.por.fl_str_mv |
RPPS Otimização de portfólios Fundos de pensão Medidas de risco Medidas de performance |
topic |
RPPS Otimização de portfólios Fundos de pensão Medidas de risco Medidas de performance Portfolio optimization Pension funds Risk measures Performance measures ADMINISTRACAO::CIENCIAS CONTABEIS |
dc.subject.eng.fl_str_mv |
Portfolio optimization Pension funds Risk measures Performance measures |
dc.subject.cnpq.fl_str_mv |
ADMINISTRACAO::CIENCIAS CONTABEIS |
description |
The objective of this research is to verify if the investment portfolios of the Brazilian municipal RPPS are allocated efficiently. If not, what are the losses from their sub-optimal allocation? In order to answer these questions, a review of relevant studies was carried out on: portfolio theory, risk measures, measures of performance, measures of loss by sub-optimization, optimization of portfolios in pension funds and, finally , RPPS and portfolio optimization in RPPS. The investigation of the literature evidenced the lack of consensus among the studies that were proposed to study the existence of losses from sub-optimization in the municipal RPPS, therefore, a gap in the literature was seen, which this work intends to contribute. The database was assembled with primary data from the 30 largest and 30 smallest RPPSs, obtained from the respective DAIRs from the end of the first two months of the years 2012 to 2015. Theoretical portfolios were set up on the Economática platform and later these were exported to the software statistic R. Algorithms of calculations of the loss measures via Return Loss and Return Sharpe Ratio Loss were implemented under different measures of risk and, consequently, of performance. The results indicated losses from sub-optimization for all measures of performance and benchmarks. There were RPPSs that, even with the legal scenario restricted by Resolutions CMN 3,922 / 2010 and CMN 4,604 / 2017, had small subotimization losses, which indicates that the inefficiencies of the portfolios are not only due to the restrictions imposed by the legislation. |
publishDate |
2018 |
dc.date.issued.fl_str_mv |
2018-06-14 |
dc.date.accessioned.fl_str_mv |
2019-06-27T13:09:21Z |
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 |
RORIZ, A. V. Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? 2018. 95 f. Dissertação (Mestrado em Ciências Contábeis) - Universidade Federal de Goiás, Goiânia, 2018. |
dc.identifier.uri.fl_str_mv |
http://repositorio.bc.ufg.br/tede/handle/tede/9755 |
identifier_str_mv |
RORIZ, A. V. Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais? 2018. 95 f. Dissertação (Mestrado em Ciências Contábeis) - Universidade Federal de Goiás, Goiânia, 2018. |
url |
http://repositorio.bc.ufg.br/tede/handle/tede/9755 |
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por |
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por |
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600 600 600 |
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437125377651663904 |
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5083931829893356571 |
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http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess |
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http://creativecommons.org/licenses/by-nc-nd/4.0/ |
eu_rights_str_mv |
openAccess |
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application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Goiás |
dc.publisher.program.fl_str_mv |
Programa de Pós-graduação em Ciências Contábeis (FACE) |
dc.publisher.initials.fl_str_mv |
UFG |
dc.publisher.country.fl_str_mv |
Brasil |
dc.publisher.department.fl_str_mv |
Faculdade de Administração, Ciências Contábeis e Ciências Econômicas - FACE (RG) |
publisher.none.fl_str_mv |
Universidade Federal de Goiás |
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