Analisando a performance de fundos de ações no Brasil utilizando o modelo de quatro fatores de Carhart

Abstract

The monograph aims to analyze the performance of the best equity investment funds in terms of profitability during two study periods, between 2005 and 2022 and between 2005 and 2007. The analysis uses the theory of investment in risk factors, more precisely the Carhart's Four- Factor Model (1997). The four-factor pricing model uses market, size, value and trend as variables. For each asset, it was observed how much of the return was generated by the manager's skill, measured by Jensen's alpha, and an attempt was made to understand which risk factors could explain the performances of the analyzed funds, measured by the model coefficients. The models were estimated using linear regressions using the Ordinary Least Squares Method (OLS), via the R programming language. The 6 equity investment funds with the highest accumulated profitability in the studied period were selected, and which followed some control criteria. The funds analyzed are: Tempo Capital Manacá FIC FIA, Pava Fia, Dynamo Cougar FIC FIA, IP Participações FIC FIA BDR Nivel I, Itaú Ações Dividendos FIA and Arx Income FIA. The return databases were extracted from the Comissão de Valores Mobiliários (CVM) daily returns database. The daily returns of factor portfolios were extracted from NEFIN – USP. In the results for the broad period, the Tempo Capital Manacá FIA fund showed the highest profitability and the highest alpha for the period. It was difficult to find significant alphas, but the risk factor coefficients found were highly significant. For the optimistic period, between 2005 and 2007, despite the greater predominance of positive alphas, there was also difficulty in finding statistically significant results for this coefficient. The work is in line with academic results, revealing the difficulty for managers to generate consistent returns when controlled by the risks analyzed.