A Relevância do Fator Eficiência em Fundos de Investimento: uma Análise Empírica no Mercado Brasileiro
DOI:
https://doi.org/10.21446/scg_ufrj.v0i0.49550Keywords:
Eficiência, Fundos de investimento, DEA, Precificação, Gestão de risco.Abstract
O desenvolvimento e a crescente atuação de investidores nos mercados de capitais aumentam a necessidade de formulação de estratégias adequadas de investimento. Estas devem, portanto, considerar os riscos envolvidos na precificação de ativos e na formulação de carteiras. Este artigo tem como objetivo incorporar o fator de eficiência à precificação de fundos brasileiros, utilizando os modelos CAPM, FF3, FFC e FF5. O fator deriva da eficiência estimada com Data Envelopment Analysis (DEA), com momentos parciais inferiores e superiores como proxies de insumos e produtos. Foram considerados 1.526 fundos, no período de janeiro/2000 a janeiro/2018. Os resultados indicam que o fator de eficiência foi positivo e significativo em todos os modelos estimados e, portanto, contribui para a explicação dos retornos dos fundos. Entretanto, não há evidências de que melhora a capacidade preditiva agregada dos modelos. Os testes indicaram estratégias com maior potencial e viabilidade, pautadas nos seguintes fatores de risco: valor, momento e lucratividade. A gestão do risco na seleção de ativos representa um desafio constante para os agentes do mercado. Estimar os fatores que influenciam o desempenho dos ativos não corresponde a uma tarefa simples. Os resultados mostram que selecionar fundos com base na eficiência agrega valor para os investidores.
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