Eficiência dos fundos de investimento durante o cenário de crise político-econômica no Brasil entre 2012 e 2016

Investment funds, such as others investment types, are responsible for providing liquidity and the development of capital markets. The efficiency of those funds is an important attribute in investment decision. This paper aimed to analyze and compare the efficiency of investment funds in stocks, fixed income and multi-market on the current Brazilian scenario of political-economic crisis. The Data Envelopment Analysis was used to measure the efficiency level of 1.536 investment funds between 2012 and 2016, using as input the administration fee, investment per quota and Beta index, and as product the annual rate of return and Sharpe index. From the annual efficiency rankings, it was identified that the multi-market funds were with the highest recurrence among the most efficient in the period, while in the central tendency behavior, fixed income funds obtained the best average performance. In terms of persistence, it was observed that, independently of the instability scenario, funds belonging to the higher efficiency in the initial period have a 95% chance of remaining efficient in 2016. Moreover, we observe that the efficiency frontier based on the Malmquist-DEA index suffered successive downgrades in the years after 2012, especially in 2016, which showed a worse than 25% risk-return ratio. Finally, we emphasize that the DEA approach has proved to be an important tool in the analysis of investment funds efficiency.

Grantor dc:publisher

Universidade Federal da Paraíba

Year dc:date.issued

2017

Author dc:creator

• Silva, Anderson Siza de Medeiros

• Fundos de investimento
• Mercado de capitais
• Análise envoltória de dados
• Crise político-econômica brasileira

Statement dc:rights

• Acesso aberto

Language dc:language

por

Repository record dc:identifier.uri

https://repositorio.ufpb.br/jspui/handle/123456789/1835

OAI identifier oai:identifier

oai:repositorio.ufpb.br:123456789/1835