文章基本信息

标题：Análise do Desempenho de Fundos de Investimentos: Um Estudo em Ações Brasileiras no Período de Janeiro de 2004 a Agosto de 2009
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作者：Michelli Coll Casaccia ; Oscar Claudino Galli ; Guilherme Ribeiro de Macêdo 等
期刊名称：Revista Organizações em Contexto
印刷版ISSN：1809-1040
电子版ISSN：1982-8756
出版年度：2011
卷号：7
期号：13
页码：1-30
语种：Portuguese
出版社：Universidade Metodista de São Paulo
摘要：The objective of this study was to assess the superiority of investment funds with active management in relation to its benchmark. To this end, we analyzed the historical performance adjusted for risk, as well as the selectivity and market timing ability of fund managers. Tests were done with 106 active funds characterized as Ibovespa Active. The risk-free asset used was the CDI. We used Sharpe and Treynor ratios, Jensen’s alpha, and Treynor-Mazuy and Henriksson-Merton model. The Sharpe ratio and the Treynor ratio have shown superiority of about half of the funds examined. Jensen’s alpha as well as Treynor-Mazuy and Henriksson-Merton models haven`t shown significant results that could demonstrate the skills of selectivity and market timing of fund managers.
关键词：: Investment Funds;Performance;Selectivity;Market Timing.;Fundos de Investimento;Desempenho;Seletividade;Market Timing