Loading...
Please wait, while we are loading the content...
Similar Documents
Universidade Federal Do Rio Grande Do Sul Faculdade De Ciências Econômicas Departamento De Ciências Econômicas
| Content Provider | Semantic Scholar |
|---|---|
| Author | Ávila, Gustavo Noronha De |
| Copyright Year | 2011 |
| Abstract | The objective of this study was to analyze the superiority of investment funds with active management in relation to its benchmark. To this end, we analyzed the historical performance in terms of risk and return, as well as skills of selectivity and market timing of fund managers. Were evaluated twenty-five active funds, classified as stock funds, and one passive management fund, classified as a stock market index fund. Among actively managed funds, fourteen had as a benchmark IBrX-50, while eleven others had reference to the Ibovespa. The risk-free asset used was the Interbank Deposit Certificate (CDI). The analysis used were Sharpe, Treynor and Modigliani ratios, Jensen’s alpha and the Treynor-Mazuy’s model. The Sharpe, Treynor and Modigliani indexes have shown superiority only in a small portion of the analyzed funds. The Jensen’s index and the Treynor-Mazuy’s model showed no significant results that could demonstrate the skills of selectivity and market timing of |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.lume.ufrgs.br/bitstream/handle/10183/34851/000782935.pdf?isAllowed=y&sequence=1 |
| Alternate Webpage(s) | https://www.lume.ufrgs.br/bitstream/handle/10183/28382/000770282.pdf?isAllowed=y&sequence=1 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
