Desempenho, TURNOVER e a capacidade profissional do gestor: uma análise dos fundos de investimentos em ações

• Ano de defesa: 2019
• Autor(a) principal: Sabrina Espinele da Silva
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Minas Gerais; Brasil; Programa de Pós-Graduação em Administração; UFMG
• Palavras-chave em Português: Fundos de investimentos; Desempenho; Turnover da carteira; Capacitação profissional; Fundos de investimento – Brasil; Administração
• Link de acesso: http://hdl.handle.net/1843/30334

This research aimed to analyze the relationship between the level of portfolio turnover, performance and managers professional qualification of equity investment funds in Brazil, For this purpose, a sample of 130 funds, that are classified by ANBIMA as Ações Livres, was analyzed, in the period between January 2012 and January 2018. The methodology consisted of the analysis of two measures of portfolio turnover — one based on the monetary changes of the assets in the portfolio and another one on the exchange of the weights of the assets — and three measures of fund performance: Jensen alphas by the model CAPM, Jensen alpha by the model of Carhart (1997) and Sharpe's index, corrected by the Israelsen procedure (2005). The estimates were made based on the use of panel data, instrumental variables and a model of simultaneous equations. The main results pointed to a positive relationship between the level of portfolio turnover and the performance measured by Jensen's alpha of equity funds. In addition, it was found that managers who hold CFA certification manage funds with better performance. In addition, the age of the manager and the time spent managing the same fund were shown to be statistically significant variables and negatively correlated to the performance of the funds.