ANÁLISE DE DESEMPENHO DE FUNDOS DE GERENCIAMENTO ATIVO: UM ESTUDO COMPARATIVO / PERFORMANCE ANALYSIS OF ACTIVE MANAGED INVESTMENTS FUNDS A COMPARATIVE STUDY

AUTOR(ES)
DATA DE PUBLICAÇÃO

2004

RESUMO

The scope of this dissertation is the comparison between the meanvariance based performance measurers of active management Brazilian-based stock funds and stochastic dominance of first, second and third orders criteria. 84 funds were considered and the period studied goes from May 1999 to April 2001. For the stochastic dominance calculus a Matlab function was created so that, with the funds returns as inputs, it gives the most dominating funds in relation to the others. The conclusion of this study is that individuals that chose investments taking account solely mean-variance measurers can make decisions that goes against their criteria of risk aversion and absolute decreasing risk aversion. In the same way, investments funds performance measured only by stochastic dominance criteria will not lead necessarily to a highest reward-to- risk ratio. Regarding a well structured investment decision, investors should consider all moments of the distribution of returns and perform not only a mean- variance but also a stochastic dominance analysis.

ASSUNTO(S)

stochastic dominance investimentos investments dominancia estocastica

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