Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial

• Autor(a) principal: Costa, Thiago de Melo Teixeira da
• Data de Publicação: 2010
• Tipo de documento: Tese
• Idioma: por
• Título da fonte: LOCUS Repositório Institucional da UFV
• Texto Completo: http://locus.ufv.br/handle/123456789/124
• topic: Fundos de pensão; Risco; Hedge; Setores econômicos; Modelos VAR/VGC; Pension funds; Risk; Hedge; Economic sectors; Models VAR/VGC; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::METODOS QUANTITATIVOS EM ECONOMIA

The Pension Funds continue to grow in assets and importance in Brazil and worldwide. They represent a yearning for workers at the prospect of retirement. They also represent an important way to generate national savings, transferring the present consumption for future consumption and allowing injection of resources for investment in various sectors of the economy. From this assumption, a continuous process of reflection on the principles and on the ways to improve the performance of these institutions is necessary, so that the Pension Funds achieve their goals, seek an efficient process for managing their portfolios, and, mainly, find a correct strategy to diversify the assets. In this context, we sought to analyze future contracts and how they influence to improve the return risk ratio of investment portfolios of pension funds in Brazil through an analysis of the economic sectors covered with the investments of these institutions. This work is presented in a series of four independent, though inter-related, articles. The first deals with the theoretical discussion of the dichotomy that can exist between the choice of efficient portfolios based on the economic rationality and the need for socially responsible investment achievements on the behalf of Pension Funds. The second article deals with the relations of economic and financial variables with indicators of stock prices in the sectors of Energy, Telecommunications and Industry - these sectors were also used in the following articles in order to meet the main objective of this thesis. It was observed that these relationships may differ according to economic sector that is analyzed. Changes in macroeconomic variables can affect the financial or economic sectors differently, especially when analyzing the temporal precedence among the variations. The third paper aimed to evaluate the ratio of some of these variables with economic-financial derivatives linked to them, so that it would be possible to notice the potential for diversification between stocks and futures contracts. Particularly, it was observed that the levels of optimal hedge are high in the transactions that are related to the indicator of the Brazilian stock market behavior (IBOVESPA) and with the oil price. The last article sought to ascertain the risk and the hedge from a theoretical portfolio based on investments of pension funds in the period of 2000 and 2008 and the use of the IBOVESPA futures contracts. We tested the efficiency in terms of the trade-off risk and return, with and without the hedging strategies. Specifically, we verified if the hedge can generate more significant gains when considering the sectors characteristics. The results indicated that the dynamic management, from the sectoral monitoring of certain assets comprising the investment portfolio, improves the portfolio performance, reducing considerably the level of risk assumed.