Aplicación de las medidas clásicas de performance en los fondos de inversión brasileños de renta variables

Abstract

In this study we made an application of the classical measure of performance of portfolio and their respective alternatives of absolute coherence with the monthly dates of the profitability of the brasilian variable income fund during the period of July/2003 and July/2005. In order to develop this study we use the multivariate analysis to classify the funds according to their characteristics of volatility and identify the group of funds with the higher variation. When we made the econometric-finance analysis we used the contribution of Sharpe, Treynor and Jensen and their respective measures of absolute coherence adapted by Sarto and Ferruz. Finally, we made an empirical study that demonstrate that, in statistics terms, the categories of classification of the different classical performance are notoriously similar whereas the categories established by the alternatives of absolute coherence for the three classical measure of performance generated similarities less important.