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Abstract(s)
A crise financeira de 2008 iniciada nos EUA com a falência do Lehman Brothers a que se seguiram as crises de liquidez e das dívidas soberanas a nível global, com maior incidência e prolongamento dos seus efeitos na Europa, vieram trazer uma oportunidade única de análise da evolução da alocação de ativos nos mercados financeiros. Neste contexto, a presente investigação procedeu à análise das políticas de investimento dos Fundos de Investimento Mobiliário, no período compreendido entre junho de 2004 e junho de 2015, com o intuito de aplicar ao mercado português o modelo que Marsh e Pfleiderer (2013) desenvolveram para o mercado norte-americano e verificar em que medida terá ocorrido um fenómeno semelhante de "flight to quality" (refúgio em ativos de menor risco) em Portugal associado à crise financeira. Procedemos ainda ao apuramento das alterações ocorridas a nível da performance e do risco dos fundos, avaliando o desempenho das carteiras, nomeadamente através da análise do rácio Sharpe. Os resultados desta investigação sugerem que as políticas de investimento anteriores a 2008, tiveram que se adaptar aos tempos de crise e foram evoluindo à medida que as preferências dos investidores e o seu apetite ao risco se redirecionou no sentido de "quality" e "safety", o que teve impacto significativo na alocação de ativos durante a crise e nos períodos subsequentes à crise. Verifica-se também que, em períodos de desequilíbrio de mercado, a conjuntura adversa penaliza a rendibilidade dos fundos de investimento, tornando difícil a perceção de quanto foi eficiente a sua gestão mesmo numa situação de realocação dos ativos das carteiras dos fundos.
In USA the financial crisis started in 2008 with the bankruptcy of Lehman Brothers, which was followed by the liquidity crisis and the sovereign debt crises at a global level, with the highest incidence and persistence of its effects in Europe. This phenomenon brought about a unique opportunity to analyze the evolution of asset allocation in financial markets. The present study analyzes the investment policies of Mutual Funds, spanning the period June 2004 to June 2015, in order to test in the Portuguese market the model deployed by Marsh and Pfleiderer (2013) for the U.S. Marsh and Pfleiderer (2013) find the occurrence of the phenomenon "flight to quality" in periods of crises. We also gauge the changes in the levels of performance and the risk of existing investment by deploying the Sharpe ratio. The results of this research suggest that investment policies before the 2008 crisis, had to be adapted since the onset of the crisis to cater to differentiated investors' preferences and their appetite for risk now privileging "quality" and "safety". This phenomenon had a significant impact on asset allocation throughout and after the crisis. We find that in periods of market imbalance, the external environment penalizes the profitability of investment funds, making it difficult the perceive whether and how efficiently there are managed.
In USA the financial crisis started in 2008 with the bankruptcy of Lehman Brothers, which was followed by the liquidity crisis and the sovereign debt crises at a global level, with the highest incidence and persistence of its effects in Europe. This phenomenon brought about a unique opportunity to analyze the evolution of asset allocation in financial markets. The present study analyzes the investment policies of Mutual Funds, spanning the period June 2004 to June 2015, in order to test in the Portuguese market the model deployed by Marsh and Pfleiderer (2013) for the U.S. Marsh and Pfleiderer (2013) find the occurrence of the phenomenon "flight to quality" in periods of crises. We also gauge the changes in the levels of performance and the risk of existing investment by deploying the Sharpe ratio. The results of this research suggest that investment policies before the 2008 crisis, had to be adapted since the onset of the crisis to cater to differentiated investors' preferences and their appetite for risk now privileging "quality" and "safety". This phenomenon had a significant impact on asset allocation throughout and after the crisis. We find that in periods of market imbalance, the external environment penalizes the profitability of investment funds, making it difficult the perceive whether and how efficiently there are managed.
Description
Mestrado em Contabilidade e Análise Financeira
Keywords
Fundos de investimento mobiliário Alocação de ativos Políticas de investimento Performance Risco Mutual funds Asset allocation Investment policies Risk