Avaliação de performance dos gestores de fundos de investimentos no mercado brasileiro

Abstract

The objective of this monograph was to evaluate the performance of investment fund managers classified by the Brazilian Association of Financial Market Entities as equity funds and multimarket funds. The evaluation takes place through performance indicators such as Sharpe index, Treynor index, Jensen index and Modigliani index. Funds were selected from the major banks in Brazil, capable of offering the investor an analysis of results of at least 5 years, therefore funds that existed at least since January 2013, resulting in 206 distinct funds in a first filter. Betas were calculated for each fund, and performance indicators were calculated for 3 different periods, where the Bovespa index was in an upward, downward and downward trend. This fragmentation sought to verify if the selected managers offer the same return linked to risk in different market situations, signaling whether in certain periods the risk does not compensate for the return achieved. For the bullish period, equity funds outperformed, while in the lateral period multimarket funds outperformed. In the downturn, the best funds were Santander's multimarkets.