Fundos de Investimentos ativos de ações de empresas com foco em sustentabilidade no Brasil: um estudo sobre a rentabilidade no período 2010 a 2016

• Ano de defesa: 2017
• Autor(a) principal: Vasconcelos, Sérgio Ricardo Mendes
• Orientador(a): Santos, José Odálio dos
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Pontifícia Universidade Católica de São Paulo
• Programa de Pós-Graduação: Programa de Estudos Pós-Graduados em Ciências Contábeis e Atuariais
• Departamento: Faculdade de Economia, Administração, Contábeis e Atuariais
• País: Brasil
• Palavras-chave em Português: Investimentos; Responsabilidade social das empresas; Sustentabilidade
• Palavras-chave em Inglês: Investments; Corporate social responsibility; Sustainable
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS
• Link de acesso: https://tede2.pucsp.br/handle/handle/20224

The growing debate about Sustainability has led to the discussion of the theme also for the business environment. Several companies started adopting Sustainability and Corporate Social Responsibility practices in the formulation of their long-term strategies. Various authors associate sustainable management practices with the generation of value to shareholders, either by reducing risks or by generating higher returns in the long term. The objective of this study was to evaluate the performance of the Equity Funds focusing on sustainable companies, from 2010 to 2016, with the main objective of analyzing whether these Funds, whose invested assets were chosen by the respective managers based on the practices of Sustainability, provide statistically significant long-term returns above the market indices as measured by IBOVESPA and ISE. Fund performance analyzes were performed using the standard deviation, the Beta Coefficient, the Trecking Error, and the Sharpe and Sharpe Generalized Indexes. The results indicated that: a) the analyzed funds were able to generate significant nominal results, above the IBOVESPA, only in the period 2010 to 2014 (period, in which the IBOVESPA showed predominantly negative returns), which did not occur in the period 2015-2016 and In the period 2010 to 2016; B) The risk (standard deviation) of the Funds analyzed were lower than those of the IBOVESPA, in all periods; C) The Funds analyzed showed positive risk-adjusted returns, as measured by the Sharpe Index, between 2010 and 2016. The results of this research were consistent with other researches on the subject, since: i) they indicated that Sustainable Investments presented defensive characteristics, with better nominal returns in moments of crisis and with nominal returns below the market in times of economic growth; ii) indicated that a negative relationship between sustainable practices and risk; iii) Sustainable Investments presented positive risk-adjusted performance (IBOVESPA)