Taxa de performance, volatilidade e retorno nos fundos de ações
This study analyses the effect of charging a performance fee on Brazilian equity funds. Performance fees charged upon investment funds may be regarded as buying a financial call option. In theory, the value of a call option is directly proportional (ceteris paribus) to the volatility of the underlyi...
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| Tipo de recurso: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2012 |
| País: | Brasil |
| Institución: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | portugués |
| OAI Identifier: | oai:repositorio.fgv.br:10438/11417 |
| Acceso en línea: | https://hdl.handle.net/10438/11417 |
| Access Level: | acceso abierto |
| Palabra clave: | Performance fee Volatility Return Risk Equity funds Retorno Risco Fundo de ações Volatilidade Taxa de performance Economia Fundos de investimento Ações (Finanças) |
| Sumario: | This study analyses the effect of charging a performance fee on Brazilian equity funds. Performance fees charged upon investment funds may be regarded as buying a financial call option. In theory, the value of a call option is directly proportional (ceteris paribus) to the volatility of the underlying asset (i.e. the fund quota, in this case). As it is, there is a clear incentive to increase volatility of the quotas of the funds that charge a performance fee. However, on contrary to expectations, the results indicate that those funds that charge a performance fee have presented not only a smaller risk, but also greater efficiency, measured by the relation risk / return. |
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