SeleÃÃo de fundos de investimento : uma anÃlise da escolha de portfÃlio da FACHESF utilizando o mÃtodo de anÃlise de envoltÃria de dados - DEA

AUTOR(ES)

Andrà StÃfano Cabral de Assis

DATA DE PUBLICAÇÃO

2008

RESUMO

The choice of investment funds has been the subject of several studies, starting with Markowitz (1952) and Sharpe (1964). Select investment funds is not an easy task, given the large number available on the market, the tools for evaluating performance, the assets that make up the funds, the level of risk to which it has run and so on. One option that appeared to perform better the process of choice is the use of Data Envelopment Analysis (DEA). This shows up powerful tool in the evaluation of the performance of investment funds, therefore, can incorporate multiple attributes, in addition to traditional risk and return. The DEA allows incorporate other attributes important to the investor, such as costs of administration, alpha, bÃta, equity of the fund, and turn them into a single score for performance. Therefore, we decided to undertake this work, in order to investigate the process of selection of investment funds by an employee pension fund, through Data Envelopment Analysis. We analyzed 50 funds from fixed income, low volatility, in the period from October 24, 2006 to October 24, 2007. The results in the first round, using the variables used by the pension fund, identified five investment funds dominant. In the second round, new variables were employed through these was found a larger amount of funds in relation to the previous round. It was also compared the results of the model used by the pension fund with the results of the models DEA, which concluded that Data Envelopment Analysis is superior to the model of the pension fund. Were also presented some recommendations for the improvement of this work

ASSUNTO(S)

seleÃÃo de fundos anÃlise de performance performance analysis anÃlise envoltÃria de dados mutual funds data envelopment analysis economia fund selection dea fundos de investimento dea

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