Use este identificador para citar ou linkar para este item: http://rebacc.crcrj.org.br/handle/123456789/6149
Título: PERFORMANCE OF TRADITIONAL INVESTMENT FUNDS AND ETFs LINKED TO SUSTAINABILITY AND CORPORATE GOVERNANCE
Palavras-chave: Fundos de investimento. Índices de Sustentabilidade. Performance
Editora / Evento / Instituição: Revista de Gestão, Finanças e Contabilidade
Descrição: The objective of this study is to compare the performance of traditional investment funds and Exchange traded funds (ETFs), which benchmarks are Ibovespa, IBrX and Sustainability Indexes, as well as free funds using daily frequency data covering the period from 20 June 2012 to 31 October 2013. The survey is descriptive with a quantitative approach. Analyses were performed using the Capital Asset Pricing Model (CAPM) and the Sharpe Ratio (1966). In order to obtain an index of ETFs linked to sustainability, the nomenclature and prospectus of each ETF were analyzed to see which ones were linked to this sector. Then the average return of these funds was calculated, weighted by its Net Asset Value, generating a series of the same period and frequency of others. The results show that the funds linked to sustainability and corporate governance indices are one of the best investment options, surpassed only by free funds.
URI: http://rebacc.crcrj.org.br/handle/123456789/6149
Outros identificadores: http://www.revistas.uneb.br/index.php/financ/article/view/803
10.18028/rgfc.v5i4.803
Aparece nas coleções:Revista de Gestão, Finanças e Contabilidade - UNEB

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