Utilização de derivativos agropecuários nas carteiras de fundos de investimentos multimercados: uma pesquisa exploratória

Abstract

The present scenario of interest rate reduction has been object of discussion in the financial market, specially in asset management offices, that aim yield alternatives and portfolio risk mitigation. The comprehension of the reasons of the reduced use of derivatives by hedge funds required an exploratory analysis in asset management offices. The exploratory research, along with the fund managers was done through a list of questions sent by e-mail to hedge funds directors and managers. The behavior of the agricultural derivatives price at BM&F was also used to calculate the risk and return of a portfolio formed by six agricultural futures contracts. In the period studied, the analysis showed that these instruments can reduce portfolio risk and bring a higher return than the interest rate used in the market. The descriptive analysis and non-parametric techniques done by the Cluster analysis along with the Mann-Whitney test and the Crammer correlation showed that there are some operational and structural obstacles related to derivatives instruments witch can explain the low use of agricultural derivatives in hedge funds.