Nível de home bias em fundos de investimentos brasileiros: uma aplicação de extensões do value at risk

Abstract

Although literature demonstrates that it is possible to mitigate risks and even raise earnings through international diversification, investors prefer, almost exclusively, domestic assets, a phenomenon known as home bias. In this study, we investigated the participation of the foreign assets in the portfolio composition of Brazilian investment funds and their contribution in terms of risk and performance. It is proposed the Value at Risk (VaR) approach to model the volatility of theoretical portfolios used in the empirical practice. Since their return series violate the assumptions of normality and homoscedasticity, we suggest Laplace distribution for all data adjustments and the ARMA-GARCH framework for modeling the conditional parameters along the time. It appears that VaR´s specifications with these characteristics and at the confidence level of 99% pass every coverage tests. Finally, it appears that the portfolios composed by funds that invest outside the country incur in more risks, however, earn higher returns during the period.