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Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros

Author

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  • Gustavo Teixeira Coelho
  • Andrea Maria A. F. Minardi
  • Márcio Poletti Laurini

Abstract

Nos últimos anos, houve um direcionamento dos investimentos dos brasileiros para fundos com risco maior, o que requer um monitoramento constante. Só é possível ter acesso às carteiras dos fundos multimercado no Brasil com uma defasagem de três meses, o que dificulta estimar no momento corrente os riscos aos quais os investidores estão expostos e a dimensão da possível perda. Buscando aumentar a transparência do segmento e mensurar a exposição corrente dos fundos investidos, foi aplicado neste trabalho um modelo de fatores em busca de uma carteira representada por índices de mercado, mas com as mesmas propriedades da original, e através desta, mensurar a exposição aos respectivos fatores e calcular os riscos de mercado para VAR e Stress.

Suggested Citation

  • Gustavo Teixeira Coelho & Andrea Maria A. F. Minardi & Márcio Poletti Laurini, 2009. "Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros," Business and Economics Working Papers 073, Unidade de Negocios e Economia, Insper.
    • Handle: RePEc:aap:wpaper:073
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