avaliação e seleção de fundos de investimentos multimercado no Brasil utilizando Análise Envoltória de Dados

Abstract

This study proposes the application of Data Envelopment Analysis (DEA) for evaluation and selection of investment funds classified as Multimarket in Brazil as an alternative to traditional performance evaluation methods. The main objective was to identify and select the most efficient funds considering risk, return, cost, and performance consistency criteria. The model used was DEA-BCC output-oriented with computational implementation via Python. The input variables were return volatility over two and five years and the management fee, while the output variables were average annual returns over two and five years and the percentage of months with positive returns over five years. 602 funds were analyzed after a filtering process using Economatica, and the results demonstrated that only 34 funds (5.6% of the sample) reached the efficiency frontier. When compared to the sample, funds considered efficient showed superior average annual returns, greater consistency, lower costs, and lower volatility. The study concludes that DEA is a valuable tool for analysis and selection of Multimarket funds in Brazil and that efficiency is achieved through simultaneous optimization across multiple performance dimensions