COMPARATIVE ANALYSIS OF DIFFERENT RISK METRICS IN THE COMPOSITION OF A FUND OF REAL ESTATE INVESTMENT FUNDS
DOI:
https://doi.org/10.11606/rco.v11i29.125503Keywords:
Real Estate Mutual Funds. Conditional Value-at-Risk. Investment Analysis. Portfolio Optimization.Abstract
The main purpose of this study is to analyze the complementarity of the results of different risk metrics in the composition of a Fund of FIIs. From the literature review, two risk metrics were opted for adoption of risk variance and Conditional Value-at-Risk, developed in the studies of Markowitz (1952) and Rockafellar and Uryasev (2000, 2002), respectively. The study was conducted with a sample of 30 FIIs listed in the BM&FBOVESPA stock exchange with daily returns between July 2013 and July 2015. As methodology, it were used modeling and computational simulation of theoretical portfolios with minimized non-systematic risk, imposing restrictions depending on investor profiles and regulatory instructions. The main discovery is that different risk measures output different results in the low risk portfolios. It was also observed that the variance metric underestimated the probability of extreme losses.
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