Avaliação da influência das variações macroeconômicas sobre o comportamento dos fundos de investimentos brasileiros entre 2002 e 2015

Abstract

Macroeconomic variations, such as those experienced in Brazil in the past two decades, have required greater attention from agents in the construction of their portfolios. Investment funds are one of the most common ways of investing resources, where investors pool their resources in a specific investment class. This dissertation focused on evaluating the influence of Brazilian macroeconomic variations between 2002 and 2015 on the behavior of funds. Unlike other studies related to the theme, the emphasis was on equity movements and not on profitability. The economic environment and the performance of the Brazilian fund industry in this period were explored. Using time series, econometric ARCH / GARCH models were built. The results indicate that the productive growth reflected by Nominal GDP justifies part of the equity fluctuations of the stock, foreign exchange, multimarket and referenced DI classes. In addition, the opposite effects of real interest between equity and foreign exchange funds were captured.