Análise de performance de fundos de investimento multimercado no Brasil

• Ano de defesa: 2015
• Autor(a) principal: Bragança, Maria Manuela de Orleans e
• Orientador(a): Pessoa, Marcelo de Sales
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Fundos multimercado; Análise de performance; Modelo de fatores; Persistência de performance; Fundos de investimento
• Palavras-chave em Inglês: lnvestment funds; Hedge funds; Performance analysis; Factor model; Performance persistence
• Link de acesso: https://hdl.handle.net/10438/13860

This work aims to verify if brazilian Hedge Funds generate significant positive alphas, that is, if managers have skill and contribute positively to the return of their funds during the period 2003 through 2013. To find the alphas, we estimate a sevenfactor model based, mainly, on the work of Edwards and Caglayan (2001), including an iliquidity factor to the model. We found that, on average, these funds earn negative alphas. However, despite the fact that the percentage of funds with positive alpha is low, their magnitude is significant. The results differ widely by Anbima classification and by sample. We also verify if there is performance persistence over time by using a non-parametric model based on contingency tables. We did not find evidence of persistence, not even when the funds were separated by classification.