Fundos de investimento multimercado: a liberdade de ação do gestor importa?

Storck, Bruno Armezindo and Motoki, Fabio Yoshio Suguri (2021) Fundos de investimento multimercado: a liberdade de ação do gestor importa? Revista de Contabilidade e Organizações, 15. ISSN 1982-6486

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Abstract

O presente trabalho busca compreender se a discricionariedade dos fundos Multimercado Estratégia Livre está relacionada a um melhor desempenho quando comparado aos demais de sua classe. Na indústria de fundos norte-americana, estudos anteriores mostram que maior discricionariedade está associada a melhores retornos. Os resultados estão em linha com a literatura estrangeira onde os Fundos Estratégia Livre estão associados a melhor desempenho, porém não se pode afirmar o mesmo quanto ao risco. Foram utilizados dados da base Quantum Axis, no total de 3499 fundos multimercado durante o período de janeiro de 2016 a janeiro de 2019. Desempenho foi mensurado pelo Índice de Sharpe e Sortino, e o risco por VaR, CVaR (Conditional Value at Risk) e Downside Risk. This study seeks to understand if the discretionary nature of free strategy multimarket investment funds in Brazil is related to better performance when compared to other funds classified in the same class. Previous studies on the US fund industry show that greater discretion is associated with better returns. The results corroborate the international literature, demonstrating that free strategy funds are associated with better performance. However, there was no evidence of an association between free strategy funds and risk. The research used data of 3499 multimarket funds from January 2016 to January 2019, collected from the Quantum Axis database. Performance was measured using the Sharpe and Sortino Index, and risk was assessed using VaR, CVaR, and Downside Risk.

Item Type: Article
Uncontrolled Keywords: free strategy,manager discretion,multimarket investment funds,accounting,management of technology and innovation,organizational behavior and human resource management,education ,/dk/atira/pure/subjectarea/asjc/1400/1402
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Related URLs:
Depositing User: LivePure Connector
Date Deposited: 05 Jan 2022 10:30
Last Modified: 11 Jan 2022 09:30
URI: https://ueaeprints.uea.ac.uk/id/eprint/82889
DOI: 10.11606/issn.1982-6486.rco.2021.175889

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