Gestão ativa de carteiras de renda fixa: o valor da expectativa do gestor no contexto de eficiência de mercado

• Ano de defesa: 2017
• Autor(a) principal: Milan, Pedro Luiz Albertin Bono
• Orientador(a): Eid Júnior, William
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Gestão ativa; Atribuição de desempenho; Expectativas dos gestores
• Palavras-chave em Inglês: Active portfolio management; Performance attribution; Manager’s expectations
• Link de acesso: https://hdl.handle.net/10438/17970

This study examines the contribution of active portfolio management in fixed income investments in Brazil. Active portfolio management is critical to the investment return, as it seeks to achieve rates of return above those of a market portfolio. The Efficient Market Hypothesis, which states that an informational dynamics prevents managers from anticipating price movements and taking up winning positions in the market, surrounds the activities of portfolio management. With regard to the controversy about the effectiveness of active management, the complete understanding about the topic has not yet been established. The contributions of the study is based on the decomposition of excess returns of the portfolios into managers' choices about duration, allocation and selection, which serves as support to apply a metric of dispersion in managers' expectations in fixed income portfolios. Through the expectations, it was possible to observe a positive effect of the managers in the performance of the funds, supporting the active management of the fixed income portfolios in the Brazilian market.