Fundos multimercados brasileiros criam valor? Uma avaliação dos alfas

• Ano de defesa: 2016
• Autor(a) principal: Gomes, Alexandre Batista Ludolf
• Orientador(a): Rochman, Ricardo Ratner
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Desempenho; Fundos; Investimento; Multimercado; Modelo multifatorial
• Palavras-chave em Inglês: Multistrategy funds; Performance; Multi-factor model; Investment measurement; Risk exposures
• Link de acesso: http://hdl.handle.net/10438/17809

This work examines the alpha generation of the Brazilian multimarket fund industry, taking in account fund specific characteristics, fund strategies, investor segment during different economic conditions. The employed dataset represents 1,568 multistrategy funds from 328 different managers within a 10-year timeframe from Dec-2005 to Dec-2015. The proposed model utilizes a stepwise automatic feature selection method, similar to other authors such as Stafylas, Anderson e Uddin (2015), where features are selected from a regressor candidates list that contemplates: equity factors, interest rate factors, credit factors, currency factors and commodities factors. The results found shows that at a 5% level there is positive alpha generation, that is, Brazilian multistrategy funds on average have delivered extraordinary returns on the whole sample and at the more benign market environments. During less benign market environment multistrategy funds does not deliver alpha that is statistically distinguishable from zero and sub-strategy segmentation points to different risk exposures dynamics during different market conditions.