Banca de QUALIFICAÇÃO: DANIEL SALES COSTA FRANÇA

Uma banca de QUALIFICAÇÃO de MESTRADO foi cadastrada pelo programa.
DISCENTE : DANIEL SALES COSTA FRANÇA
DATA : 30/09/2019
HORA: 08:00
LOCAL: NEPSA I, SALA MULTIMEIOS
TÍTULO:

Hedge Funds: An Investigation of the relationship between the product characteristics and benchmark adopted by reference


PALAVRAS-CHAVES:

Hedge Funds; Return-based style analysis; Benchmark; CDI.


PÁGINAS: 27
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:
The hedge funds are gaining ground in the portfolio of investors. However, these products have high freedom of choice with respect to  investment policy and asset portfolio build, which leads to difficulties in assessing risks and characteristics of this wide range of funds. Since the benchmark adopted by an investment fund is a major factor to the performance

analysis made by the investor, this paper aims to investigate the relationship and adherence of benchmarks used in the investment funds sector to the risk, return, cost and liquidity characteristics of hedge funds. The sample consists of investment funds classified as Fixed Income, Equities and Hedge Fund, excluding exclusive funds. The research aims to measure the four characteristics and compare their results with those of the fixed income and equity fund classes. Next, the study seeks to analyze whether CDI, the most common bechmark in the fund industry, adheres to the characteristics of the hedge funds sample. Finally, the study proposes to use a return-based style analysis model to identify the sensitivity of the sample to risk factors present in the market.


MEMBROS DA BANCA:
Presidente - 1802347 - VINICIO DE SOUZA E ALMEIDA
Interno - 1543333 - ANDERSON LUIZ REZENDE MOL
Interno - 053.812.984-04 - ISRAEL JOSE DOS SANTOS FELIPE - UFRN
Notícia cadastrada em: 26/09/2019 15:11
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