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Las medidas de performance en la gestión de fondos de inversión socialmente responsables

Author

Listed:
  • Daniel Knebel Baggio
  • João Serafim Tusi Da Silveira
  • Isoé Nícolas Schneider
  • Alessandra Costenaro Maciel
  • Eduardo De Camargo Oliva

Abstract

El estudio tiene como objetivo analizar y comparar la performance de los fondos de inversión socialmente responsables de Brasil, a partir de la utilización de cuatro medidas de performance distintas. La base de datos utilizadas corresponde a todos los fondos de inversión socialmente responsable de Brasil, durante el período de 2002 hasta 2009. Los fondos fueron comparados a partir de las medidas del Ratio de Sharpe, Ratio de Sharpe Alternativo, índice PIRR y alfa de Jensen, produciendo rankings de performances. Los resultados revelan una gran similitud entre las clasificaciones de los fondos en los rankings a partir de cada medida performance. Se puede concluir que las diferentes medidas de performance produjeron posiciones similares de los fondos en los rankings. Este estudio agrega nuevos hallazgos a los de Ferruz, Baggio y Rivas (2017).

Suggested Citation

  • Daniel Knebel Baggio & João Serafim Tusi Da Silveira & Isoé Nícolas Schneider & Alessandra Costenaro Maciel & Eduardo De Camargo Oliva, 2018. "Las medidas de performance en la gestión de fondos de inversión socialmente responsables," Contribuciones a la Economía, Servicios Académicos Intercontinentales SL, issue 2018-02, April-Jun.
    • Handle: RePEc:erv:contri:y:2018:i:2018-02:10
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