Uma Análise de Performance de Cinco Fundos de Investimento Mobiliário Harmonizados de Ações Portuguesas
DOI:
https://doi.org/10.31211/interacoes.n33.2017.a1Keywords:
VaR, CAPM, Sharpe Ratio, Investment FundsAbstract
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.
References
Alves, C. (2005). O Governo das Sociedades e os Investidores Institucionais: Disponibilidade, Condicionantes e Implicações. Coimbra: Almedina.
Blyth, M. (2013). Austeridade – A História de Uma Ideia Perigosa. Lisboa: Quetzal Editores.
Cícero, M. T. (45 a.C. /1923). De Divinatione. Harvard: Loeb Classical Library.
DeYoung, R., Kowalik, M., & Torna, G. (2017). Private Equity Investment in U.S. Banks. Recuperado em 17 de novembro, 2017 de https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=XXVIfinanceforum&paper_id=104
Dowd, K., Cotter, J., Humphrey, C., & Woods, M. (2008). How Unlucky is 25-Sigma? Journal of Portfolio Management34 (4), 76-80. https://doi.org/10.3905/jpm.2008.709984
Fama, E. F., & French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives 18(3), 25–46.
Hull, J. C. (2012). Options, Futures, and Other Derivatives. Eighth Edition. Boston: Prentice Hall.
Hurlin, C., & Tokpavi, S. (2007). Backtesting Value-at-Risk Accuracy: A New Simple Test. Journal of Risk 9(2), 19-37. https://doi.org/10.21314/JOR.2007.148
Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance23, 389-416. https://doi.org/10.1111/j.1540-6261.1968.tb00815.x
Lintner, J. (1965). The valuation of risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47(1), 13-37. doi: https://doi.org/10.2307/1924119
Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Merton, R. C. (1973). An Intertemporal Capital Asset Pricing Model. Econometrica 41(5), 867–887. https://doi.org/10.2307/1913811
Mitrodima, G., & Oberoi, J. (2017). Value at Risk models of autoregressive quantiles of improved performance on financial criteria. Recuperado em 17 de novembro de 2017 de https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2649348
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19(3), 425-42. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
Sharpe, W. (1973). The Capital Asset Pricing Model: Traditional and ‘Zero-Beta’ Versions. Journal of the Midwest Finance Association, 1-12.
Sharpe, W. F. (1994). The Sharpe Ratio, The Journal of Portfolio Management 21 (1), 49–58. https://doi.org/10.3905/jpm.1994.409501
Sun, N., & Yang, Z. (2003). Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs. Annals of Economics and Finance 4, 51–71.
Taleb, N. (2008). O Cisne Negro, 3.ª Edição. Alfragide: D. Quixote.
Treynor, J. L. (1966). How to rate management investment funds, Harvard Business Review 43(1) (January-February), 63-75.
Youngman, P. (2009). Procyclicality and Value at Risk. Reports Bank of Canada, junho 2009, 51-54.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2017 Henrique Amaral Dias
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
The copyright of published works is retained by the author who grants Interações the original publication right. The published article can be used freely for educational, non-commercial purposes, in accordance with the Creative Commons License - Attribution-Non-Commercial 4.0 International, provided that the author, the title of the article, the title and number of the journal are cited together with the URL or DOI of the article.
