PERFORMANCE DE FUNDOS LIGADOS AO AGRONEGÓCIO NO BRASIL
DOI:
https://doi.org/10.4270/ruc.2025103Palavras-chave:
Diversificação, Commodities, AgronegócioResumo
O objetivo desta pesquisa consiste em avaliar a performance ajustada ao risco de fundos brasileiros que diversificam via ativos ligados ao agronegócio. A amostra, livre do viés de sobrevivência, foi composta por fundos de ações e por fundos multimercados, considerando o período de janeiro/2017 a março/2023. Com o uso de dados diários, a performance foi estimada a cada trimestre com base no índice de Sharpe. O teste de hipóteses foi realizado por meio da análise de dados em painel. Foram utilizadas três classes diferentes para representar ativos ligados ao agronegócio, sendo: commodities agrícolas, títulos vinculados ao agronegócio e ações de empresas vinculadas ao agronegócio. De maneira geral, observou-se que fundos que possuem em suas carteiras ativos ligados ao agronegócio não necessariamente apresentaram melhor performance que seus pares. Espera-se que os resultados do estudo possam motivar novas pesquisas na área de fundos de investimento e ativos ligados ao agronegócio.
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