Há perdas por ineficiência nas carteiras de investimentos dos regimes próprios de previdência municipais?

• Ano de defesa: 2018
• Autor(a) principal: Roriz, Ataualpa Veloso
• Orientador(a): Cruz, Alethéia Ferreira da
• Banca de defesa: Cruz, Aletheia Ferreira da, Rech, Ilírio José, Lima, Diana Vaz de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Goiás
• Programa de Pós-Graduação: Programa de Pós-graduação em Ciências Contábeis (FACE)
• Departamento: Faculdade de Administração, Ciências Contábeis e Ciências Econômicas - FACE (RG)
• País: Brasil
• Palavras-chave em Português: RPPS; Otimização de portfólios; Fundos de pensão; Medidas de risco; Medidas de performance
• Palavras-chave em Inglês: Portfolio optimization; Pension funds; Risk measures; Performance measures
• Área do conhecimento CNPq: ADMINISTRACAO::CIENCIAS CONTABEIS
• Link de acesso: http://repositorio.bc.ufg.br/tede/handle/tede/9755

The objective of this research is to verify if the investment portfolios of the Brazilian municipal RPPS are allocated efficiently. If not, what are the losses from their sub-optimal allocation? In order to answer these questions, a review of relevant studies was carried out on: portfolio theory, risk measures, measures of performance, measures of loss by sub-optimization, optimization of portfolios in pension funds and, finally , RPPS and portfolio optimization in RPPS. The investigation of the literature evidenced the lack of consensus among the studies that were proposed to study the existence of losses from sub-optimization in the municipal RPPS, therefore, a gap in the literature was seen, which this work intends to contribute. The database was assembled with primary data from the 30 largest and 30 smallest RPPSs, obtained from the respective DAIRs from the end of the first two months of the years 2012 to 2015. Theoretical portfolios were set up on the Economática platform and later these were exported to the software statistic R. Algorithms of calculations of the loss measures via Return Loss and Return Sharpe Ratio Loss were implemented under different measures of risk and, consequently, of performance. The results indicated losses from sub-optimization for all measures of performance and benchmarks. There were RPPSs that, even with the legal scenario restricted by Resolutions CMN 3,922 / 2010 and CMN 4,604 / 2017, had small subotimization losses, which indicates that the inefficiencies of the portfolios are not only due to the restrictions imposed by the legislation.