Medidas de desempenho para fundos de investimentos: uma aplicação em institutos próprios de previdência de municípios do Ceará

Abstract

The Private Pension Schemes should manage the savings of the participants and pay social security benefits in the manner provided in regulation. Because they are normally subject to a long term, a pension plan is exposed to a greater degree of uncertainty. As not all events can be controlled, some, especially those of a negative character, can be managed and, if necessary, avoided. The objective of this work was to present some methodologies used for the management of investment risks by applying the performance measures for investment funds in three specific regimes in the state of Ceará: Fortaleza, Caucaia and Maracanaú. As a methodology, the Sharpe, Treynor and Jensen indices were used to evaluate the investment made in relation to the risk and the return of the portfolio. . The results were evaluated according to the investment policy of each institution and the analysis verified that they reflect the conservative policy of applying these entities' resources. All the Funds obtained positive results for the performance indexes used, guaranteeing efficiency in risk compensation.