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

Detalhes bibliográficos
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
Resumo: 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.
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spelling Costa, Thiago de Melo Teixeira dahttp://lattes.cnpq.br/3856349103878126Silveira, Suely de Fátima Ramoshttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4704277E4Braga, Marcelo Joséhttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4798666D3Santos, Maurinho Luiz doshttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4783108H7Müller, Carlos André da Silvahttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4776130T9Mattos, Leonardo Bornacki dehttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4735944Y0Lírio, Viviani Silvahttp://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4763739E62015-03-19T19:35:05Z2011-10-102015-03-19T19:35:05Z2010-04-16COSTA, Thiago de Melo Teixeira da. Risk and hedge in pension funds investment portfolios in Brazil: a sectoral approach. 2010. 141 f. Tese (Doutorado em Economia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos Recursos) - Universidade Federal de Viçosa, Viçosa, 2010.http://locus.ufv.br/handle/123456789/124The 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.Os Fundos de Pensão continuam crescendo em patrimônio e importância no Brasil e no mundo. Eles representam um anseio dos trabalhadores diante da perspectiva da aposentadoria. Representam também uma importante forma de gerar poupança nacional, transferindo o consumo presente para o consumo futuro e propiciando injeção de recursos para investimento nos mais diversos setores da economia. A partir disso, torna-se necessário um processo contínuo de reflexão sobre seus fundamentos e sobre formas de se melhorar o desempenho destas instituições. Para que eles atinjam seus objetivos, buscam um eficiente processo de gerenciamento de seus portfólios e, especialmente, uma correta estratégia de diversificação de seus ativos. Neste contexto, pretendeu-se analisar quais contratos futuros e em que proporções podem melhorar a relação retorno e risco das carteiras de investimento dos Fundos de Pensão no Brasil a partir de uma análise dos setores da economia contemplados com os investimentos destas instituições. Esta discussão se deu a partir de quatro artigos, independentes, porém, inter-relacionados. O primeiro tratou da discussão teórica sobre a dicotomia que pode existir entre a escolha de portfólios eficientes com base na racionalidade econômica e a necessidade de realização, por parte das EFPC, de investimentos socialmente responsáveis. O segundo artigo versa sobre as relações de variáveis econômico- financeiras com indicadores de preço de ações dos setores de Energia Elétrica, Telecomunicações e Industrial, setores usados nos demais artigos para atender o objetivo central da tese.Observou-se que estas relações podem ser diferentes de acordo com o setor econômico que se analisa. Mudanças em variáveis macroeconômicas ou financeiras podem afetar distintamente os setores econômicos, principalmente quando se analisa a precedência temporal entre as variações. O terceiro artigo buscou avaliar a relação de algumas dessas variáveis econômico-financeiras com derivativos ligados às mesmas, de modo que se observasse o potencial de diversificação entre ações e contratos futuros. Especialmente, foram observados que são elevados os níveis de hedge ótimo para operações que tenham relação com o indicador do comportamento do mercado de ações brasileiro (Ibovespa) e com o preço do petróleo. O último artigo buscou averiguar o risco e o hedge a partir de uma carteira teórica com base nos investimentos dos Fundos de Pensão entre os anos 2000 e 2008 e da utilização de contratos futuros do Ibovespa. Foi testada a eficiência, em termos do trade-off risco/retorno, de estratégias sem hedge e com hedge. Especificamente, verificou-se se o hedge pode gerar ganhos mais expressivos quando realizado considerando as características setoriais. Os resultados encontrados indicaram que o gerenciamento dinâmico, a partir do acompanhamento setorial dos ativos que compõem determinada carteira de investimento, torna o desempenho do portfólio melhor, reduzindo consideravelmente o nível de risco assumido.application/pdfporUniversidade Federal de ViçosaDoutorado em Economia AplicadaUFVBREconomia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos RecursosFundos de pensãoRiscoHedgeSetores econômicosModelos VAR/VGCPension fundsRiskHedgeEconomic sectorsModels VAR/VGCCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::METODOS QUANTITATIVOS EM ECONOMIARisco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorialRisk and hedge in pension funds investment portfolios in Brazil: a sectoral approachinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/openAccessreponame:LOCUS Repositório Institucional da UFVinstname:Universidade Federal de Viçosa (UFV)instacron:UFVORIGINALtexto completo.pdfapplication/pdf1237912https://locus.ufv.br//bitstream/123456789/124/1/texto%20completo.pdf33e03152093549f788d788a1c8dd85c9MD51TEXTtexto completo.pdf.txttexto completo.pdf.txtExtracted texttext/plain257026https://locus.ufv.br//bitstream/123456789/124/2/texto%20completo.pdf.txt2a10b9b9a1d64b1a1fe0945888210772MD52THUMBNAILtexto completo.pdf.jpgtexto completo.pdf.jpgIM Thumbnailimage/jpeg3651https://locus.ufv.br//bitstream/123456789/124/3/texto%20completo.pdf.jpg09f83cff187521e6d3a9aa1328201b5eMD53123456789/1242017-01-13 12:44:50.116oai:locus.ufv.br:123456789/124Repositório InstitucionalPUBhttps://www.locus.ufv.br/oai/requestfabiojreis@ufv.bropendoar:21452017-01-13T15:44:50LOCUS Repositório Institucional da UFV - Universidade Federal de Viçosa (UFV)false
dc.title.por.fl_str_mv Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial
dc.title.alternative.eng.fl_str_mv Risk and hedge in pension funds investment portfolios in Brazil: a sectoral approach
title Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial
spellingShingle Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial
Costa, Thiago de Melo Teixeira da
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
title_short Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial
title_full Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial
title_fullStr Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial
title_full_unstemmed Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial
title_sort Risco e hedge em carteiras de investimento de fundos de pensão no Brasil: uma abordagem setorial
author Costa, Thiago de Melo Teixeira da
author_facet Costa, Thiago de Melo Teixeira da
author_role author
dc.contributor.authorLattes.por.fl_str_mv http://lattes.cnpq.br/3856349103878126
dc.contributor.author.fl_str_mv Costa, Thiago de Melo Teixeira da
dc.contributor.advisor-co1.fl_str_mv Silveira, Suely de Fátima Ramos
dc.contributor.advisor-co1Lattes.fl_str_mv http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4704277E4
dc.contributor.advisor-co2.fl_str_mv Braga, Marcelo José
dc.contributor.advisor-co2Lattes.fl_str_mv http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4798666D3
dc.contributor.advisor1.fl_str_mv Santos, Maurinho Luiz dos
dc.contributor.advisor1Lattes.fl_str_mv http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4783108H7
dc.contributor.referee1.fl_str_mv Müller, Carlos André da Silva
dc.contributor.referee1Lattes.fl_str_mv http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4776130T9
dc.contributor.referee2.fl_str_mv Mattos, Leonardo Bornacki de
dc.contributor.referee2Lattes.fl_str_mv http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4735944Y0
dc.contributor.referee3.fl_str_mv Lírio, Viviani Silva
dc.contributor.referee3Lattes.fl_str_mv http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4763739E6
contributor_str_mv Silveira, Suely de Fátima Ramos
Braga, Marcelo José
Santos, Maurinho Luiz dos
Müller, Carlos André da Silva
Mattos, Leonardo Bornacki de
Lírio, Viviani Silva
dc.subject.por.fl_str_mv Fundos de pensão
Risco
Hedge
Setores econômicos
Modelos VAR/VGC
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
dc.subject.eng.fl_str_mv Pension funds
Risk
Hedge
Economic sectors
Models VAR/VGC
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::METODOS QUANTITATIVOS EM ECONOMIA
description 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.
publishDate 2010
dc.date.issued.fl_str_mv 2010-04-16
dc.date.available.fl_str_mv 2011-10-10
2015-03-19T19:35:05Z
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dc.identifier.citation.fl_str_mv COSTA, Thiago de Melo Teixeira da. Risk and hedge in pension funds investment portfolios in Brazil: a sectoral approach. 2010. 141 f. Tese (Doutorado em Economia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos Recursos) - Universidade Federal de Viçosa, Viçosa, 2010.
dc.identifier.uri.fl_str_mv http://locus.ufv.br/handle/123456789/124
identifier_str_mv COSTA, Thiago de Melo Teixeira da. Risk and hedge in pension funds investment portfolios in Brazil: a sectoral approach. 2010. 141 f. Tese (Doutorado em Economia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos Recursos) - Universidade Federal de Viçosa, Viçosa, 2010.
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