Análise do desempenho de carteiras de investimento recomendadas no mercado brasileiro de ações

• Ano de defesa: 2025
• Autor(a) principal: Sperry, Maria Vitória Anschau
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Tecnológica Federal do Paraná; Curitiba; Brasil; Programa de Pós-Graduação em Administração; UTFPR
• Palavras-chave em Português: Investimentos - Análise; Ações (Finanças); Desempenho; Mercado de capitais; Risco financeiro; Investment analysis; Stocks; Performance; Capital market; Financial risk; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO; Administração
• Link de acesso: http://repositorio.utfpr.edu.br/jspui/handle/1/36155

Professional investment recommendations are important because they influence the decisions of investors, especially those with less knowledge and/or ability to analyze investment options and their risks. Considering the scarcity of research on the performance of this type of product in the Brazilian financial industry, this research aims to comparatively analyze the performance of recommended investment portfolios in the Brazilian stock market. To this end, the research used hypothesis tests as well as longitudinal models to analyze the variables that influence this performance. The sample under which the analyses were carried out included data from 115 companies recommended in 40 investment portfolios between January 2020 and December 2024. The main findings of the research point to the lack of effect of the recommended portfolios on the generation of returns above those expected for the risk-adjusted market in the two metrics analyzed, namely the Sharpe Ratio and Jensen’s Alpha. In addition, when analyzing the absolute return not adjusted for risk, the recommended portfolios do not outperform the market return either. Finally, the variables with the greatest capacity to explain Jensen’s Alpha were the portfolio’s risk level, the return provided by the benchmark, the return provided by the portfolio, the asset allocation strategy and the number of preferred shares in the portfolio. Future research that expands the volume of portfolios analyzed, as well as the number of variables, is desirable to improve understanding of the value generation observed in professional investment recommendations.