Os gestores de carteiras têm capacidade de selecção de títulos e de previsão da evolução do mercado? Um estudo empírico para o mercado português

 

João Carlos Romacho*

Maria do Céu Cortez**

 

jcpr@mail.pt

mccortez@eeg.uminho.pt

 

Resumo: O objectivo deste artigo é investigar as capacidades de selectividade e timing dos gestores de carteiras portugueses. Neste sentido, são aplicados e comparados os modelos de Treynor e Mazuy (1966) e de Henriksson e Merton (1981) a uma amostra de fundos de investimento mobiliário portugueses, composta por fundos Nacionais, União Europeia e Internacionais. Os resultados obtidos com os modelos anteriores são similares e sugerem que os gestores de fundos não possuem capacidades de selectividade e timing, havendo mesmo alguma evidência de timing negativo, sendo este mais relevante para os fundos nacionais. É também observada uma acentuada correlação negativa entre estas duas componentes do desempenho, sendo esta mais notória para os fundos internacionais. Estes resultados são semelhantes aos obtidos por outros estudos já realizados e consistentes com a hipótese dos mercados eficientes..

Palavras-chave: Fundos de investimento, selectividade, timing, desempenho, mercado de capitais

 

Abstract. The purpose of this paper is to investigate the timing and selectivity abilities of Portuguese mutual fund managers. To accomplish this task, we apply and compare the methodologies developed by Treynor and Mazuy (1966) and Henriksson and Merton (1981) to a sample composed of National, European Union and International funds. The results obtained by these models are similar and suggest that portfolio managers do not possess timing and selectivity skills. In fact, there is even some evidence of negative timing, which is stronger in relation to national funds. In addition, highly negative correlation between the two components of performance is observed, being stronger in the case of international funds. This type of evidence has also been found in other studies and is consistent with the efficient market hypothesis.

Keywords: Mutual funds, selectivity, timing, performance, capital market.

 

 

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* ESTGP - Escola Superior de Tecnologia e Gestão, Instituto Politécnico de Portalegre

** EEG – Escola Economia e Gestão, Univeridade do Minho (UM)