Estudo sobre a otimização de uma carteira de fundos de investimentos destinados aos regimes próprios de Previdência Social - RPPS

Abstract

This study sought to identify which investment fund or set of investment funds managed by "Caixa Econômica Federal" Bank offers the best risk and return, for investment of institutional investors called "Regimes Próprios de Previdência Social" (RPPS) according the legal rules. The methodology is applied, and it can be regarded as descriptive and the quantitative by using statistical tools. The study mainly used the mean variance model developed by Markowitz (1952) , complemented by assumptions of Tobin (1952) and Sharpe (1966), in order to build an efficient frontier and optimize a portfolio of 24 investment funds in the period July 1, 2013 the 30 June 2015. The research included the application of appropriate tools for the selection of investment funds as possible targets applications of RPPS, examined the effects of legal restrictions on the income of a potential investment portfolio with the sample funds and complemented the study of risk ratio and return through the hierarchy of the funds using the Sharpe Ratio. The optimization of the risk and of the return is a classic problem applied to the Modern Portfolio Theory, and the information produced can contribute to the administrator's leadership maintenance of this segment of industry of investment funds, and promote a skilled and effective best management of financial resources of RPPS by dissemination of the analysis of the problem. The results demonstrated that the "optimal portfolios", obtained from alternatives adopted in sample processing, are mostly composed by fixed income funds compared with minuscule share of stock funds, although legal restrictions allow to invest in a much higher level to that seen to the segment of funds. The study showed that the legal restrictions imposed on RPPS investments are not favorable to the optimization of a portfolio that should have the best ratio of risk and return, according to the assumptions of the model Markowitz. It was also found that the optimal portfolios does not fully reach the actuarial target of RPPS, which would be possible achieve with the use of a set investment funds which demonstrated a worst relationship of risk and return compared those obtained with the optimal portfolios.