Análise de desempenho dos fundos de investimento multimercados após a Crise do subprime

Abstract

This study analyzes the performance of the Brazilian hedge fund investment after Subprime Crisis. Evaluates if the different management strategies hedge funds manage to overcome the benchmark, considering the new classification established by ANBIMA in May 2009. The categories were classified as Long & Short Directional Long & Short Neutral, Multigestor Macro, Multiestratégia, Interest and Currencies, Trading, Strategy specifies, Balanced and Protected Capital, in order to adapt in a better way the different strategies and risk profile of each hedge fund the profiles of investors. It was considered in the study only non exclusive hedge funds that had quotas from May 2009 to December 2013. The funds performance was analyzed using indicators such as the average return, volatility, Sharpe ratio and Jensen’s Alpha, in order to assess whether hedge funds are able to get a significant risk adjusted return compared to the CDI rate. Moreover, hypothesis tests were applied to verify if the average return of hedge funds is equivalent to CDI. Data analysis found evidence that only certain categories of hedge funds outperformed the benchmark during the period analyzed, such as Long & Short Directional Long & Short Neutral, Multigestor, macro, multi-strategy and Interest and Currency categories. The return was higher than CDI with acceptable volatility, presenting Sharpe Ratios and Jensen's Alpha positive, further were efficient in overcoming the CDI in relation to the risk assumed in each of their respective management strategies. Concerning to hypothesis testing, it was not rejected the hypothesis that the average returns of hedge funds are statistically equal to the CDI. Only Capital Protected category got a statistically different mean return of CDI in the analyzed period. This study is usefull as a tool for market analysis and reflection on the management strategies of hedge funds and as an investment guide for the general public, helping to identify the best strategies for active management, as well as hedge funds with better performance.