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Uma Análise de Performance de Cinco Fundos de Investimento Mobiliário Harmonizados de Ações Portuguesas

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Resumo:A Performance Analysis of Five Harmonized Portuguese Equity Investment Funds This paper examines five harmonized Portuguese equity investment funds (PEIF) through two distinct perspetives, with the following objetives and methodologies i) to compute the worst loss for an investor with a confidence level of 99%. In order to do so we have used the Historical VaR. ii) to assess the investment funds that have outperformed/underperformed the market in terms of their yearly average rate of return and by how much, and to establish a relation between profitability and risk regarding the investment funds considered, during a period of five years. With these aims we used the CAPM (Capital Asset Pricing Model) and its relevant indicators (Jensen’s Alpha, Treynor and Sharpe Ratios). The results enabled us to hierarchize the funds applying the above criteria, given their past performances: i) the NB Portugal PEIF suffered the less severe worst losses ii) the Santander PEIF had the largest difference between its yearly average geometric rate of return and the respective benchmark rate iii) the BPI PEIF generated the greatest excess of return per unit of risk. Investors should take into account analogous results and the regulatory authorities should publish similar metrics on a systematic basis.
Autores principais:Dias, Henrique Amaral
Assunto:VaR CAPM Rácio de Sharpe Fundos de Investimento VaR CAPM Sharpe Ratio Investment Funds
Ano:2017
País:Portugal
Tipo de documento:artigo
Tipo de acesso:unknown
Instituição associada:Instituto Superior Miguel Torga
Idioma:português
Origem:Interações: sociedade e as novas modernidades

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