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Gestão activa da carteira versus indexação: no âmbito do índice Euro Stoxx 50
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Resumo(s)
A dissertação investiga o desempenho a longo prazo e as características de risco das
estratégias de gestão activa e passiva de carteiras na zona euro, com foco específico no índice
Euro Stoxx 50. O objectivo principal é determinar se a gestão activa pode, consistentemente,
superar as estratégias passivas em diferentes condições de mercado. A pesquisa utiliza uma
metodologia quantitativa, analisando dados financeiros históricos entre 2010 e 2023. O
desempenho dos fundos de investimento activos seleccionados é comparado ao índice Euro
Stoxx 50 utilizando várias métricas de desempenho, incluindo o Capital Asset Pricing Model
(CAPM), Alfa de Jensen, Rácio de Sharpe, Rácio de Treynor, Rácio de Informação e o Modelo
de Três Fatores de Fama & French. São realizadas análises estatísticas e regressões para avaliar
e comparar a eficácia das duas estratégias. A análise revela que, em média, a gestão activa
não supera consistentemente a indexação passiva no contexto do Euro Stoxx 50. Embora
alguns fundos exibam desempenho superior em métricas específicas, a maioria dos fundos
activos não gera alfa significativo após ajuste pelo risco. As estratégias passivas demonstram
maior consistência e menores custos, tornando-se uma opção mais atractiva para os
investidores na zona euro. Os resultados fornecem insights para investidores, instituições
financeiras e gestores de activos, destacando a importância de considerar a relação custoeficácia e os retornos ajustados ao risco ao escolher entre estratégias de investimento activas
e passivas. Esta informação pode ajudar na tomada de decisões de investimento mais
informadas e na optimização das estratégias de gestão de carteiras. Este estudo pode ainda
informar decisões políticas relativas à regulamentação e promoção de diferentes estratégias
de investimento, sublinhando os benefícios potenciais do investimento passivo para uma
gama mais ampla de investidores, contribuindo para mercados financeiros mais eficientes e
acessíveis. Esta pesquisa preenche uma lacuna na literatura ao fornecer uma análise
abrangente do índice Euro Stoxx 50, uma área menos explorada em comparação com outros
índices importantes como o S&P 500.
The dissertation investigates the long-term performance and risk characteristics of active and passive portfolio management strategies in the eurozone, with a specific focus on the Euro Stoxx 50 index. The main objective is to determine whether active management can consistently outperform passive strategies under different market conditions. The research uses a quantitative methodology, analyzing historical financial data between 2010 and 2023. The performance of the selected active investment funds is compared to the Euro Stoxx 50 index using various performance metrics, including the Capital Asset Pricing Model (CAPM), Jensen's Alpha, Sharpe Ratio, Treynor Ratio, Information Ratio and the Fama & French Three Factor Model. Statistical analysis and regressions are carried out to evaluate and compare the effectiveness of the two strategies. The analysis reveals that, on average, active management does not consistently outperform passive indexing in the context of the Euro Stoxx 50. Although some funds exhibit superior performance in specific metrics, the most active funds do not generate significant alpha after adjusting for risk. Passive strategies demonstrate greater consistency and lower costs, making them a more attractive option for investors in the eurozone. The results provide insights for investors, financial institutions and asset managers, highlighting the importance of considering cost-effectiveness and risk-adjusted returns when choosing between active and passive investment strategies. This information can help in making more informed investment decisions and optimizing portfolio management strategies. This study can also inform policy decisions regarding the regulation and promotion of different investment strategies, highlighting the potential benefits of passive investing for a wider range of investors, contributing to more efficient and accessible financial markets. This research fills a gap in the literature by providing a comprehensive analysis of the Euro Stoxx 50 index, a less explored area compared to other major indices such as the S&P 500.
The dissertation investigates the long-term performance and risk characteristics of active and passive portfolio management strategies in the eurozone, with a specific focus on the Euro Stoxx 50 index. The main objective is to determine whether active management can consistently outperform passive strategies under different market conditions. The research uses a quantitative methodology, analyzing historical financial data between 2010 and 2023. The performance of the selected active investment funds is compared to the Euro Stoxx 50 index using various performance metrics, including the Capital Asset Pricing Model (CAPM), Jensen's Alpha, Sharpe Ratio, Treynor Ratio, Information Ratio and the Fama & French Three Factor Model. Statistical analysis and regressions are carried out to evaluate and compare the effectiveness of the two strategies. The analysis reveals that, on average, active management does not consistently outperform passive indexing in the context of the Euro Stoxx 50. Although some funds exhibit superior performance in specific metrics, the most active funds do not generate significant alpha after adjusting for risk. Passive strategies demonstrate greater consistency and lower costs, making them a more attractive option for investors in the eurozone. The results provide insights for investors, financial institutions and asset managers, highlighting the importance of considering cost-effectiveness and risk-adjusted returns when choosing between active and passive investment strategies. This information can help in making more informed investment decisions and optimizing portfolio management strategies. This study can also inform policy decisions regarding the regulation and promotion of different investment strategies, highlighting the potential benefits of passive investing for a wider range of investors, contributing to more efficient and accessible financial markets. This research fills a gap in the literature by providing a comprehensive analysis of the Euro Stoxx 50 index, a less explored area compared to other major indices such as the S&P 500.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Gestão de carteiras de investimento Fundos de investimento indexação Tracking Error SDG 8 - Decent work and economic growth