Open AccessImpacto da Aplicação em Ativos Internacionais no Desempenho dos Fundos de Pensão no Brasil
Author(s) -
Raphael Braga da Silva,
Roberto Moreno Moreira,
Luiz Felipe Jacques da Motta
Publication year - 2009
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v7n2.2009.1254
Subject(s) - physics
The present study has performed an analysis of the effects caused in theperformance of Brazilian pension funds by the inclusion of internationalassets in their portfolios. The Resolution CMN 3456 of June 1, 2007 allowedpension funds in Brazil to allocate up to 3% of their investments ininternational hedge funds. Given the wide range of assets classes availablein this category of hedge funds, this study has focused on internationalassets. The investments in such asset classes do not generate a major effecton the efficient frontier of the pension funds’ investments. The results donot change much even if we increase the constraint from 3% to 20%. However,changes in the current economic environment indicate that findingalternative investments that can enhance the asset performance on a longterm view will be a crucial factor to maintain the financial health ofpension funds.