Avaliação da estrutura de dependência entre Fundos de Investimentos e variáveis macroeconômicas: uma aplicação da teoria de cópulas

Abstract

The understanding and monitoring of macroeconomic variables and their impacts on investment funds are recognized as tools of utmost importance for the effective man- agement of these financial instruments. This assertion is based on the ability of such variables to significantly influence the performance of funds. This dissertation addresses this complex relationship, utilizing copula theory as an analytical tool, highlighting its importance in a context marked by economic volatilities and uncertainties. Through a sys- tematic literature review and a bibliometric analysis, an increase in interest in the use of copulas in finance, particularly post-financial crisis, was identified. In the theoretical de- velopment, the study outlines the fundamental concepts of copulas, discussing their main families, measures of dependence and concordance, and estimation methods and tests. This theoretical framework allows for a more detailed and flexible analysis of dependence between variables, overcoming the limitations imposed by marginal distributions. This work used copula models to examine the relationship between the returns of five selected Brazilian investment funds (BTG Discovery, JGP Hedge, Vokin Everest, Opportunity, and G´avea Macro) and five macroeconomic variables (Ibovespa, IMA-B, CDS, IBC-Br, and Exchange Rate) over the period from 2008 to early 2023. Through adequacy tests and simulations, the effectiveness of the models in capturing the dependence structure among these variables was assessed. The results pointed to a relationship between the re- turns of the funds and the performance of macroeconomic variables, with a clear trend of better performances in favorable economic scenarios. The sensitivity of the funds to mar- ket conditions and economic activity is evident, reinforcing the importance of considering these variables in strategic investment decision-making. The findings of this research can provide fund managers and investors with insights into assessing the impact of adverse macroeconomic scenarios, allowing for the improvement of asset allocation strategies and risk management.