Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros

Detalhes bibliográficos
Ano de defesa: 2019
Autor(a) principal: Santos, Ana Carolina Caetano dos lattes
Orientador(a): Holanda, Francisco Bruno de Lima lattes
Banca de defesa: Holanda, Francisco Bruno de Lima, Cruz, Alethéia Ferreira da, Monsueto, Sandro Eduardo
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 Economia (FACE)
Departamento: Faculdade de Administração, Ciências Contábeis e Ciências Econômicas - FACE (RG)
País: Brasil
Palavras-chave em Português:
Palavras-chave em Inglês:
Área do conhecimento CNPq:
Link de acesso: http://repositorio.bc.ufg.br/tede/handle/tede/9969
Resumo: The Brazilian hedge funds industry has grown significantly in recent years. It is currently the second largest class of funds, second only to Fixed Income funds. Given the importance of this category, this dissertation aims to analyze the relationship between risk and return of hedge funds. For this, the Conditional Value at Risk is used as a measure of risk, a measure with valuable properties in relation to the traditional measures such as variance. The relationship between risk and return was verified through the creation of portfolios, such as those of Fama and French (1993), and regressions with panel data. The data contain information from 326 brazilian hedge funds from january 2010 to december 2017. It should be noted that hedge funds portfolios with higher CVaR (risk) have a low average return and high volatility, while lower risk portfolios have, on average, better performance and lower volatility. Analyzing the multimarket funds individually, through regressions with panel data, a direct relationship between risk and funds monthly return is observed. The size of funds seems to be indirectly related to active funds and direct related with closed funds. The age of the funds did not present a significant relationship with returns from hedge funds.