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首页> 外文期刊>Revista Organizaes em Contexto >Análise do Desempenho de Fundos de Investimentos: Um Estudo em A??es Brasileiras no Período de Janeiro de 2004 a Agosto de 2009
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Análise do Desempenho de Fundos de Investimentos: Um Estudo em A??es Brasileiras no Período de Janeiro de 2004 a Agosto de 2009

机译：投资基金绩效分析：2004年1月至2009年8月期间的巴西股票研究

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The objective of this study was to assess the superiority of investment funds with active management in relation to its benchmark. To this end, we analyzed the historical performance adjusted for risk, as well as the selectivity and market timing ability of fund managers. Tests were done with 106 active funds characterized as Ibovespa Active. The risk-free asset used was the CDI. We used Sharpe and Treynor ratios, Jensen’s alpha, and Treynor-Mazuy and Henriksson-Merton model. The Sharpe ratio and the Treynor ratio have shown superiority of about half of the funds examined. Jensen’s alpha as well as Treynor-Mazuy and Henriksson-Merton models haven`t shown significant results that could demonstrate the skills of selectivity and market timing of fund managers.
机译：这项研究的目的是评估相对于基准而言，积极管理的投资基金的优势。为此，我们分析了经过风险调整后的历史表现，以及基金经理的选择性和市场时机选择能力。测试以106个称为Ibovespa Active的活跃基金进行。所使用的无风险资产为CDI。我们使用了Sharpe和Treynor的比率，Jensen的alpha和Treynor-Mazuy和Henriksson-Merton模型。夏普比率和特雷诺比率显示出大约一半的被研究基金具有优势。詹森（Jensen）的alpha以及Treynor-Mazuy和Henriksson-Merton模型均未显示出可证明基金经理选择性和市场时机技巧的重要结果。

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