Título: | PERFORMANCE OF QUANTITATIVE FUNDS VS EQUITY FUNDS | ||||||||||||
Autor(es): |
BRENNO BERKOVITZ FERREIRA RANGEL |
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Colaborador(es): |
MARCELO CABUS KLOTZLE - Orientador |
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Catalogação: | 07/ABR/2020 | Língua(s): | PORTUGUESE - BRAZIL |
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Tipo: | TEXT | Subtipo: | SENIOR PROJECT | ||||||||||
Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=47359@1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=47359@2 |
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DOI: | https://doi.org/10.17771/PUCRio.acad.47359 | ||||||||||||
Resumo: | |||||||||||||
The main objective of this study is to investigate, in a market stress scenario, the option of investing between equity investment funds and quantitative investment funds for investment portfolio composition. The methodology used was quantitative, with data taken from online platforms and compiled into measures to evaluate historical fund returns, these measures are Sharpe Index, Sortino, Treynor and Omega Measure. The base indices are: Ibovespa and EPU Index. The analysis period for the research is 15 years, from 01/01/2004 to 01/01/2019. The result is that the allocation of funds by investors may be influenced according to the political instability in which Brazil finds itself, as well as the assets that make up the investor s fund portfolio.
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