Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros
Autor(a) principal: | |
---|---|
Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional da UFG |
Texto Completo: | http://repositorio.bc.ufg.br/tede/handle/tede/9969 |
Resumo: | The Brazilian hedge funds industry has grown significantly in recent years. It is currently the second largest class of funds, second only to Fixed Income funds. Given the importance of this category, this dissertation aims to analyze the relationship between risk and return of hedge funds. For this, the Conditional Value at Risk is used as a measure of risk, a measure with valuable properties in relation to the traditional measures such as variance. The relationship between risk and return was verified through the creation of portfolios, such as those of Fama and French (1993), and regressions with panel data. The data contain information from 326 brazilian hedge funds from january 2010 to december 2017. It should be noted that hedge funds portfolios with higher CVaR (risk) have a low average return and high volatility, while lower risk portfolios have, on average, better performance and lower volatility. Analyzing the multimarket funds individually, through regressions with panel data, a direct relationship between risk and funds monthly return is observed. The size of funds seems to be indirectly related to active funds and direct related with closed funds. The age of the funds did not present a significant relationship with returns from hedge funds. |
id |
UFG-2_31c40330c05b31b72eef7288f9d36868 |
---|---|
oai_identifier_str |
oai:repositorio.bc.ufg.br:tede/9969 |
network_acronym_str |
UFG-2 |
network_name_str |
Repositório Institucional da UFG |
repository_id_str |
|
spelling |
Holanda, Francisco Bruno de Limahttp://lattes.cnpq.br/0680905827894606Holanda, Francisco Bruno de LimaCruz, Alethéia Ferreira daMonsueto, Sandro Eduardohttp://lattes.cnpq.br/6670511485640483Santos, Ana Carolina Caetano dos2019-08-28T11:26:46Z2019-06-06SANTOS, A. C. C. Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros. 2019. 66 f. Dissertação (Mestrado em Economia) - Universidade Federal de Goiás, Goiânia, 2019.http://repositorio.bc.ufg.br/tede/handle/tede/9969The Brazilian hedge funds industry has grown significantly in recent years. It is currently the second largest class of funds, second only to Fixed Income funds. Given the importance of this category, this dissertation aims to analyze the relationship between risk and return of hedge funds. For this, the Conditional Value at Risk is used as a measure of risk, a measure with valuable properties in relation to the traditional measures such as variance. The relationship between risk and return was verified through the creation of portfolios, such as those of Fama and French (1993), and regressions with panel data. The data contain information from 326 brazilian hedge funds from january 2010 to december 2017. It should be noted that hedge funds portfolios with higher CVaR (risk) have a low average return and high volatility, while lower risk portfolios have, on average, better performance and lower volatility. Analyzing the multimarket funds individually, through regressions with panel data, a direct relationship between risk and funds monthly return is observed. The size of funds seems to be indirectly related to active funds and direct related with closed funds. The age of the funds did not present a significant relationship with returns from hedge funds.A indústria de fundos multimercados brasileira apresentou grande crescimento nos últimos anos. Atualmente é a segunda maior classe de fundos, perdendo apenas para fundos de Renda Fixa. Diante da importância dessa categoria, esta dissertação tem como objetivo analisar a relação entre risco e retorno de fundos multimercados. Para isso, utiliza-se como medida de risco o Condicional Value at Risk, uma medida com propriedades vantajosas em relação às medidas tradicionais como variância. A relação entre risco e retorno foi verificada através de criação de portfólios, semelhantes aos de Fama e French (1993), e regressões com dados em painel. Os dados incluem informações de 326 fundos multimercados brasileiros entre janeiro de 2010 a dezembro de 2017. Observa-se que portfólios de fundos multimercados com maior CVaR (risco) apresentam retorno mensal médio baixo e alta volatilidade, enquanto portfólios de menor risco apresentam, na média, desempenho melhor e baixa volatilidade. Analisando os fundos multimercados de forma individual, através de regressões com dados em painel, observa-se uma relação direta entre risco e retorno mensal de fundos. O tamanho dos fundos parece estar relacionado de forma indireta com fundos ativos e de forma direta com fundos encerrados. A idade dos fundos não apresentou relação significativa com retornos de fundos multimercados.Submitted by Ana Caroline Costa (ana_caroline212@hotmail.com) on 2019-08-27T18:05:16Z No. of bitstreams: 2 Dissertação - Ana Carolina Caetano dos Santos - 2019.pdf: 4191052 bytes, checksum: 7860a5ab30f6a9536401b221f2990dbc (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5)Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2019-08-28T11:26:46Z (GMT) No. of bitstreams: 2 Dissertação - Ana Carolina Caetano dos Santos - 2019.pdf: 4191052 bytes, checksum: 7860a5ab30f6a9536401b221f2990dbc (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5)Made available in DSpace on 2019-08-28T11:26:46Z (GMT). No. of bitstreams: 2 Dissertação - Ana Carolina Caetano dos Santos - 2019.pdf: 4191052 bytes, checksum: 7860a5ab30f6a9536401b221f2990dbc (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2019-06-06application/pdfporUniversidade Federal de GoiásPrograma de Pós-graduação em Economia (FACE)UFGBrasilFaculdade de Administração, Ciências Contábeis e Ciências Econômicas - FACE (RG)http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessFundos multimercadosCVaRRetornoReturnsHedge fundsCIENCIAS SOCIAIS APLICADAS::ECONOMIAUso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileirosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis6547073815134037611600600600437125377651663904-2504903392600098822reponame:Repositório Institucional da UFGinstname:Universidade Federal de Goiás (UFG)instacron:UFGLICENSElicense.txtlicense.txttext/plain; charset=utf-82165http://repositorio.bc.ufg.br/tede/bitstreams/6692bead-3b10-40d5-a705-2d6088226863/downloadbd3efa91386c1718a7f26a329fdcb468MD51CC-LICENSElicense_urllicense_urltext/plain; charset=utf-849http://repositorio.bc.ufg.br/tede/bitstreams/93272603-42d6-44c6-821c-03b596843b23/download4afdbb8c545fd630ea7db775da747b2fMD52license_textlicense_texttext/html; charset=utf-80http://repositorio.bc.ufg.br/tede/bitstreams/09bb7072-7f66-4d6e-b393-a05ac37fcf26/downloadd41d8cd98f00b204e9800998ecf8427eMD53license_rdflicense_rdfapplication/rdf+xml; charset=utf-80http://repositorio.bc.ufg.br/tede/bitstreams/e896ab2e-481f-49ad-a923-ebd0130d7a4b/downloadd41d8cd98f00b204e9800998ecf8427eMD54ORIGINALDissertação - Ana Carolina Caetano dos Santos - 2019.pdfDissertação - Ana Carolina Caetano dos Santos - 2019.pdfapplication/pdf4191052http://repositorio.bc.ufg.br/tede/bitstreams/d18eee02-73a9-4925-a8fa-282afa01ac87/download7860a5ab30f6a9536401b221f2990dbcMD55tede/99692019-08-28 08:26:46.968http://creativecommons.org/licenses/by-nc-nd/4.0/Acesso Abertoopen.accessoai:repositorio.bc.ufg.br:tede/9969http://repositorio.bc.ufg.br/tedeRepositório InstitucionalPUBhttp://repositorio.bc.ufg.br/oai/requesttasesdissertacoes.bc@ufg.bropendoar:2019-08-28T11:26:46Repositório Institucional da UFG - Universidade Federal de Goiás (UFG)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 |
dc.title.eng.fl_str_mv |
Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros |
title |
Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros |
spellingShingle |
Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros Santos, Ana Carolina Caetano dos Fundos multimercados CVaR Retorno Returns Hedge funds CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
title_short |
Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros |
title_full |
Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros |
title_fullStr |
Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros |
title_full_unstemmed |
Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros |
title_sort |
Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros |
author |
Santos, Ana Carolina Caetano dos |
author_facet |
Santos, Ana Carolina Caetano dos |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Holanda, Francisco Bruno de Lima |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/0680905827894606 |
dc.contributor.referee1.fl_str_mv |
Holanda, Francisco Bruno de Lima |
dc.contributor.referee2.fl_str_mv |
Cruz, Alethéia Ferreira da |
dc.contributor.referee3.fl_str_mv |
Monsueto, Sandro Eduardo |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/6670511485640483 |
dc.contributor.author.fl_str_mv |
Santos, Ana Carolina Caetano dos |
contributor_str_mv |
Holanda, Francisco Bruno de Lima Holanda, Francisco Bruno de Lima Cruz, Alethéia Ferreira da Monsueto, Sandro Eduardo |
dc.subject.por.fl_str_mv |
Fundos multimercados CVaR Retorno Returns |
topic |
Fundos multimercados CVaR Retorno Returns Hedge funds CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.subject.eng.fl_str_mv |
Hedge funds |
dc.subject.cnpq.fl_str_mv |
CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
description |
The Brazilian hedge funds industry has grown significantly in recent years. It is currently the second largest class of funds, second only to Fixed Income funds. Given the importance of this category, this dissertation aims to analyze the relationship between risk and return of hedge funds. For this, the Conditional Value at Risk is used as a measure of risk, a measure with valuable properties in relation to the traditional measures such as variance. The relationship between risk and return was verified through the creation of portfolios, such as those of Fama and French (1993), and regressions with panel data. The data contain information from 326 brazilian hedge funds from january 2010 to december 2017. It should be noted that hedge funds portfolios with higher CVaR (risk) have a low average return and high volatility, while lower risk portfolios have, on average, better performance and lower volatility. Analyzing the multimarket funds individually, through regressions with panel data, a direct relationship between risk and funds monthly return is observed. The size of funds seems to be indirectly related to active funds and direct related with closed funds. The age of the funds did not present a significant relationship with returns from hedge funds. |
publishDate |
2019 |
dc.date.accessioned.fl_str_mv |
2019-08-28T11:26:46Z |
dc.date.issued.fl_str_mv |
2019-06-06 |
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 |
SANTOS, A. C. C. Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros. 2019. 66 f. Dissertação (Mestrado em Economia) - Universidade Federal de Goiás, Goiânia, 2019. |
dc.identifier.uri.fl_str_mv |
http://repositorio.bc.ufg.br/tede/handle/tede/9969 |
identifier_str_mv |
SANTOS, A. C. C. Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros. 2019. 66 f. Dissertação (Mestrado em Economia) - Universidade Federal de Goiás, Goiânia, 2019. |
url |
http://repositorio.bc.ufg.br/tede/handle/tede/9969 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.program.fl_str_mv |
6547073815134037611 |
dc.relation.confidence.fl_str_mv |
600 600 600 |
dc.relation.department.fl_str_mv |
437125377651663904 |
dc.relation.cnpq.fl_str_mv |
-2504903392600098822 |
dc.rights.driver.fl_str_mv |
http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
http://creativecommons.org/licenses/by-nc-nd/4.0/ |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Goiás |
dc.publisher.program.fl_str_mv |
Programa de Pós-graduação em Economia (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 |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional da UFG instname:Universidade Federal de Goiás (UFG) instacron:UFG |
instname_str |
Universidade Federal de Goiás (UFG) |
instacron_str |
UFG |
institution |
UFG |
reponame_str |
Repositório Institucional da UFG |
collection |
Repositório Institucional da UFG |
bitstream.url.fl_str_mv |
http://repositorio.bc.ufg.br/tede/bitstreams/6692bead-3b10-40d5-a705-2d6088226863/download http://repositorio.bc.ufg.br/tede/bitstreams/93272603-42d6-44c6-821c-03b596843b23/download http://repositorio.bc.ufg.br/tede/bitstreams/09bb7072-7f66-4d6e-b393-a05ac37fcf26/download http://repositorio.bc.ufg.br/tede/bitstreams/e896ab2e-481f-49ad-a923-ebd0130d7a4b/download http://repositorio.bc.ufg.br/tede/bitstreams/d18eee02-73a9-4925-a8fa-282afa01ac87/download |
bitstream.checksum.fl_str_mv |
bd3efa91386c1718a7f26a329fdcb468 4afdbb8c545fd630ea7db775da747b2f d41d8cd98f00b204e9800998ecf8427e d41d8cd98f00b204e9800998ecf8427e 7860a5ab30f6a9536401b221f2990dbc |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional da UFG - Universidade Federal de Goiás (UFG) |
repository.mail.fl_str_mv |
tasesdissertacoes.bc@ufg.br |
_version_ |
1798044409515737088 |