Estilo e agrupamento de fundos: um estudo aplicado aos fundos multimercados brasileiros

• Ano de defesa: 2015
• Autor(a) principal: Nunes, Luigi Leon
• Orientador(a): Rochman, Ricardo Ratner
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Classificação de fundos de investimento; Análise de estilo; Análise de clusters; Análise discriminante
• Link de acesso: http://hdl.handle.net/10438/13440

An efficient classification helps the applicator to make better decisions, in In Brazil , there are two widely used classification systems, the CVM and ANBIMA , however both have borders with subjective categories , that is, have a high degree of arbitrariness in the definition of its categories , this fact undermines the efficient allocation by the investor . Multimarket funds (Brazilian Hedge Funds) are funds that have investment policy involving several risk factors without concentration in any particular factor , unlike other classes in the Brazilian market funds. In this regard, proper categorization of hedge funds would bring numerous benefits such as reducing the cost analysis , greater ease in the investment decision -making process , a more efficient diversification , clarity in the performance comparison and a better understanding of the risks incurred among other benefits . This study, using the already established Sharpe's style analysis (1992) , decompose the exposure of each fund in its major risk factors , after this, they used the cluster analysis to group funds consistently to its exhibitions , trying to make more efficient classification; this would be a counterpoint to more classification used by the Brazilian market, Anbima classification, which is based in the fund , that is, in the background ' can ' invest , not in the fund invests effectively.