Sharpe Analysis

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Submitted By psoribeiro
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20

índice de Jensen apresenta a maior diversificação quanto mais próximo de zero for seu valor, já que ele representa, de certa forma, o ganho obtido pela ocorrência de risco não sistemático.

Mas este valor de α não deve ser negativo, pois quanto mais negativo, pior. Assaf Neto (2011) destaca que valores positivos indicam um bom desempenho do ativo, isto por que ao se obter um valor positivo o ativo apresentou desempenho melhor do que o esperado pelo CAPM. Um fator que merece destaque é o de que o índice Jensen não pode ser utilizado para comparar o desempenho de ativos diferentes, a não ser que eles estejam ajustados quanto ao risco, para isto costuma-se dividir o α pelo β. Ao comparar o índice de Jensen com o de Treynor e o de Sharpe, Reilly e Brown (2003) mostram que tanto Treynor quanto Jensen utilizam apenas o risco sistemático, enquanto Sharpe utiliza o risco total. Desta forma, é esperado que a ordenação gerada pelo índice de Treynor e pelo de Jensen seja semelhante. Já quando comparados com o valor gerado pelo índice de Sharpe esta ordenação deve apresentar diferença.

3. METODOLOGIA

No primeiro momento foi realizado um levantamento bibliográfico sobre os princípios da diversificação de carteiras de ativos, além dos índices de Sharpe, Treynor e Jensen. Após isto, a empresa foi analisada detalhadamente, verificando as mudanças ocorridas entre os anos de 2006 á 2011 e como estas interferiram no comportamento da mesma. Este intervalo de 2006 a 2011 foi escolhido pois os dados disponibilizados pela empresa envolviam apenas este período, além disso as informações foram coletadas por trimestres, que representa a menor periodicidade possível, para se ter uma maior confiabilidade dos dados. Como a empresa escolhida para a pesquisa possui o capital aberto, estas informações foram obtidas diretamente dos relatórios e demonstrações financeiras da empresa.…...

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