Nesta dissertação são utilizados modelos de forma a captar a variação dos risco ao longo do tempo, sendo estabelecida uma comparação entre os modelos tradicionais com os modelos condicionais.
Nos modelos de Fama & French (1993), Carhart (1997) e Fama & French (2015), comparando os modelos não condicionais com os condicionais que consideram o índice de mercado, concluímos que o modelo condicional tem um poder explicativo superior justificando a implementação da variável dummy e a inclusão na análise do desempenho de fundos de investimento os diferentes estados da economia, recessão e expansão. No caso dos modelos com índice sectorial, condicionais e não condicionais, o poder explicativo é similar não se registando um acréscimo de poder explicativo com a introdução da variável dummy. Esta conclusão é válida para ambos os portfolios Equally
Weighted (EW) e Value weighted (VW).
No que diz respeito aos modelos não condicionais, os modelos com índice de mercado conclui-se que a introdução do factor Momentum (Mom) contribuiu para um maior poder explicativo do desempenho de fundos de investimento observando os valores da estatística Ajustado e no modelo de cinco factores verifica-se também um aumento do poder explicativo do modelo. Para os modelos que consideram o índice sectorial verifica-se um comportamento diferente, os modelos apresentam coeficientes de determinação bastante semelhantes e um forte poder explicativo.
Nos modelos condicionais com índice de mercado conclui-se que à medida que são incluídas diferentes variáveis nos modelos, o seu poder explicativo aumenta, apesar de não serem aumentos significativos. Relativamente aos modelos com índice sectorial observa-se o mesmo que nos modelos com índice de mercado, coeficientes de determinação bastante semelhantes e com um forte poder explicativo com valores de 98%.
De referir que, em todas as regressões foram obtidos valores de superiores nos modelos que integravam o índice sectorial. O maior poder explicativo deve-se ao facto do índice de mercado ter uma abrangência mais global de análise sendo o índice sectorial mais especializado e direccionado para o sector a que os fundos de investimento da amostra representam.
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Os alfas não são estatisticamente significativos em nenhum dos modelos implementados tanto não condicionais como condicionais concluindo-se que os gestores de portfolio não conseguem obter rendibilidades anormais exceptuando para o modelo condicional de três factores com índice sectorial.
Todos os factores nos modelos não condicionais são estatisticamente significativos. Nos modelos condicionais verifica-se que o modelo de Fama & French (1993) e de Carhart (1997) apresentam todos os factores com significância estatística e apenas o modelo de Fama & French (2015) exibe coeficientes que não são estatisticamente significativos nomeadamente os factores High Minus Low (HML) de recessão e Robust Minus Weak (RMW) de expansão do modelo com índice de mercado e o factor Robust Minus Weak (RMW) de recessão do modelo com índice sectorial.
Os factores de risco de mercado e sectoriais demonstram uma exposição bastante significativa para os modelos o que denota a importância dos índices de referência na avaliação de desempenho dos fundos de investimento, superior aos factores de risco incluídos nos três modelos implementados.
Concluímos que o impacto da utilização da variável dummy nos modelos condicionais apresenta diferenças quando é considerado o índice de mercado e o índice sectorial. Nos modelos condicionais com índice sectorial os fundos de investimento apresentam uma exposição negativa aos factores de risco de recessão demonstrando que os períodos de recessão utilizados tiveram um impacto negativo no sector imobiliário. O oposto verifica-se nos modelos com índice de mercado, onde o impacto das crises da DotCom Bubble e da crise financeira imobiliária de 2008, não apresenta, se verificarmos a exposição dos fundos de investimento aos factores de risco incluídos nos três modelos condicionais, nenhuma exposição negativa estatisticamente significativa.
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Referências URL
NBER (National Bureau of Economic Research), 25 Outubro 2015: http://www.nber.org/cycles/cyclesmain.html
Classificação de Fundos Lipper, 11 Novembro 2016:
https://lipperweb.com/docs/Research/Methodology/Lipper_Global_Classificati ons_Definitions2014.pdf
Investment Company Institute,19 Julho 2016:
https://www.ici.org/research/industry_research Kenneth R. French, 16 Janeiro 2015:
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Apêndice 1 – Tabela representativa da lista de fundos que constituem a amostra
Número
CRSP Nome Fundo de Investimento
2785 Aston Funds: ASTON/Harrison Street Real Estate Fund; Class N Shares
3175 AIM Investment Securities Funds (Invesco Investment Securities Funds): Invesco Real Estate Fund; Class R5 Shs
3178 AIM Investment Securities Funds (Invesco Investment Securities Funds): Invesco Real Estate Fund; Class C Shs
3181 AIM Investment Securities Funds (Invesco Investment Securities Funds): Invesco Real Estate Fund; Inv Cl Shs
3658 Dunham Funds: Dunham Real Estate Stock Fund; Class N Shares 3691 Forum Funds II: Phocas Real Estate Fund
4710 Alpine Equity Trust: Alpine Realty Income & Growth Fund; Institutional Class Shares 4936 American Century Capital Portfolios, Inc: Real Estate Fund; Investor Class Shares 6860 CGM Trust: CGM Realty Fund
7321 Cohen & Steers Real Estate Securities Fund, Inc; Class I Shares 7322 Cohen & Steers Realty Shares, Inc
7327 Cohen & Steers Institutional Realty Shares, Inc
8315 DFA Investment Dimensions Group Inc: DFA Real Estate Securities Portfolio; Institutional Class Shares
8662 Deutsche Securities Trust: Real Estate Securities Fund; Institutional Class Shares 8766 Davis Series, Inc: Davis Real Estate Fund; Class A Shares
9034 Delaware Pooled Trust: Real Estate Investment Trust Portfolio; Institutional Class Shares 9038 Delaware Pooled Trust: Real Estate Investment Trust Portfolio II
9898 EII Realty Securities Trust: EII Realty Securities Fund; Institutional Shares
9962 Eaton Vance Special Investment Trust: Eaton Vance Real Estate Fund; Class I Shares 11635 Fidelity Advisor Series VII: Fidelity Advisor Real Estate Fund; Institutional Class Shares 11866 Fidelity Select Portfolios: Fidelity Real Estate Investment Portfolio
12006 Fidelity Securities Fund: Fidelity Real Estate Income Fund
12350 Nuveen Investment Funds, Inc: Nuveen Real Estate Securities Fund; Class I Shares 13014 Franklin Real Estate Securities Trust: Franklin Real Estate Securities Fund; Advisor Class 13916 Goldman Sachs Trust: Goldman Sachs Real Estate Securities Fund; Institutional Shares 15270 World Funds Trust: REMS Real Estate Value-Opportunity Fund; Institutional Shares 15687 Voya Investors Trust: VY Clarion Real Estate Portfolio; Service Class Shares 16105 Voya Equity Trust: Voya Real Estate Fund; Institutional Shares
16580 Ivy Funds: Ivy Real Estate Securities Fund; Class A Shares 16701 Natixis Funds Trust IV: AEW Real Estate Fund; Class A Shares 17237 John Hancock Funds II: Real Estate Securities Fund; Class 1 Shares 17287 Johnson Mutual Funds Trust: Johnson Realty Fund
17851 Forward Funds: Forward Real Estate Long/Short Fund; Class A Shares 17855 Forward Funds: Forward Select Income Fund; Class A Shares
21129 Morgan Stanley Institutional Fund, Inc: US Real Estate Portfolio; Class I Shares 22042 Neuberger Berman Equity Funds: Neuberger Berman Real Estate Fund; Trust Class 23232 Oppenheimer Real Estate Fund; Class A Shares
24189 Virtus Opportunities Trust: Virtus Real Estate Securities Fund; Class A Shares
24355 PIMCO Funds: PIMCO RealEstateRealReturn Strategy Fund; Institutional Class Shares 24563 Pioneer Real Estate Shares; Class A Shares
24969 Principal Funds, Inc: Real Estate Securities Fund; Class R-5 Shares 27074 T Rowe Price Real Estate Fund, Inc
27369 Rydex Series Funds: Real Estate Fund; H-Class Shares
27506 SEI Institutional Managed Trust: Real Estate Fund; Class A Shares 27816 SSgA Funds: SSgA Clarion Real Estate Fund; Class N Shares
28769 Spirit of America Investment Fund, Inc: Spirit of America Real Estate Income & Growth Fund; Class A Shares
29213 Stratton Real Estate Fund, Inc
29616 TIAA-CREF Funds: Real Estate Securities Fund; Institutional Class Shares
30752 Undiscovered Managers Funds: JPMorgan Realty Income Fund; Institutional Class Shares 37829 Forward Funds: Forward Real Estate Fund; Institutional Class Shares
38580 GE Investments Funds, Inc: Real Estate Securities Fund; Class 1 Shares
38595 Virtus Variable Insurance Trust: Virtus Real Estate Securities Series; Class A Shares 38606 Pioneer Variable Contracts Trust: Pioneer Real Estate Shares VCT Portfolio; Class I Shares
38768 AllianceBernstein Variable Products Series Fund, Inc: AllianceBernstein VPS Real Estate Invest Port; Cl A Sh
38839 SunAmerica Series Trust: Real Estate Portfolio; Class 1 Shares 38912 Advanced Series Trust: AST Cohen & Steers Realty Portfolio
38984 Principal Variable Contracts Funds, Inc: Real Estate Securities Account; Class 1 Shares 39030 Securian Funds Trust: Advantus Real Estate Securities Fund; Class 2 Shares
39056 Delaware VIP Trust: Delaware VIP REIT Series; Standard Class Shares 39157 Pacific Select Fund: Real Estate Portfolio; Class I Shares
39255 Davis Variable Account Fund, Inc: Davis Real Estate Portfolio 39587 ProFunds: ProFund VP Real Estate
39658 Rydex Variable Trust: Real Estate Fund
40050 Penn Series Funds, Inc: Real Estate Securities Fund
40080 John Hancock Variable Insurance Trust: Real Estate Securities Trust; Series II 40225 TIAA-CREF Life Funds: Real Estate Securities Fund
40280 Variable Insurance Products Fund IV: Real Estate Portfolio; Initial Class Shares 40285 Universal Institutional Funds, Inc: US Real Estate Portfolio; Class II Shares 40369 Thrivent Series Fund, Inc: Thrivent Real Estate Securities Portfolio
40614 Ivy Funds Variable Insurance Portfolios: Ivy Funds VIP Real Estate Securities 40698 John Hancock Variable Insurance Trust: Real Estate Securities Trust; NAV Shares 41721 Nationwide Variable Insurance Trust: NVIT Real Estate Fund; Class II Shares 42112 Lazard Funds, Inc: Lazard US Realty Income Portfolio; Open Shares
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43821 Lazard Funds, Inc: Lazard US Realty Equity Portfolio; Open Shares 45949 SA Funds - Investment Trust: SA Real Estate Securities Fund 48629 Manning & Napier Fund, Inc: Real Estate Series; Class S Shares
49277 Fidelity Securities Fund: Fidelity Advisor Real Estate Income Fund; Institutional Class Shares 49999 Pacific Life Funds: PL Real Estate Fund; Class P Shares
50708 Columbia Funds Series Trust I: Columbia Real Estate Equity Fund; Class I Shares 51114 Prudential Investment Portfolios 12: Prudential US Real Estate Fund; Class Z Shares 51461 Baron Select Funds: Baron Real Estate Fund; Institutional Shares
53274 Fidelity Securities Fund: Fidelity Series Real Estate Income Fund
53364 JPMorgan Trust I: Security Capital US Core Real Estate Securities Fund; Select Class Shares 53403 Fidelity Securities Fund: Fidelity Series Real Estate Equity Fund
55832 Cole Real Estate Income Strategy (Daily NAV), Inc.
56384 BlackRock Funds: BlackRock Real Estate Securities Fund; Institutional Class Shares
O Apêndice 1 apresenta todos os fundos de investimento que constiuem a amostra do estudo composta por oitenta e sete fundos. Como critérios de exclusão e selecção foram utilizados a idade superior a dois anos de existência, valor patrimonial líquido, exclusão de ETF (Exchange Traded Funds) e Índices de referência. Todos os dados referentes aos fundos foram obtidos pela base de dados CRSP (Center for Research in Security Prices).