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Análise de desempenho dos investimentos sustentáveis no mercado acionário brasileiro

Performance analysis of sustainable investments in the Brazilian stock market

Cunha, Felipe Arias F. de S.; Samanez, Carlos Patricio

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Resumo

Este trabalho estudou o Índice de Sustentabilidade Empresarial (ISE) da Bolsa de Mercadorias e Futuros e Bolsa de Valores de São Paulo (BM&FBOVESPA), com o objetivo principal de analisar o desempenho histórico dos investimentos sustentáveis no mercado acionário brasileiro, considerando o período de dezembro de 2005 a dezembro de 2010. Foram utilizados, principalmente, os seguintes índices de desempenho: Sharpe, Treynor, Jensen, Sortino, Modigliani & Modigliani e Omega. Concluiu-se que, embora os investimentos sustentáveis tenham registrado características interessantes no mercado acionário brasileiro, tais como baixo risco diversificável e aumento de liquidez, não obtiveram, no período de análise, um desempenho financeiro satisfatório. À medida que a adoção de critérios que exijam elevado desempenho das empresas no que tange às questões sobre sustentabilidade se tornar obrigatória, esses investimentos tenderão à valorização.

Palavras-chave

Investimento sustentável. Investimento socialmente responsável. Índice de Sustentabilidade Empresarial (ISE). Análise de investimentos

Abstract

We studied the Corporate Sustainability Index (ISE) of the Brazilian Mercantile, Futures and Stock Exchange (BM&FBOVESPA), with the main objective of analyzing the performance of sustainable investments in the Brazilian stock market during the period from December 2005 to December 2010. We mainly used the following measures: Sharpe, Treynor, Jensen, Sortino, Modigliani and Modigliani, and Omega. Our results show that although sustainable investments exhibited some interesting characteristics, such as low diversifiable risk and increasing liquidity, they did not achieve satisfactory financial performance in the analysis period. As the adoption of criteria that demand high performance of companies in relation to sustainability issues becomes mandatory, the value of these investments will tend to increase.

Keywords

Sustainable investment. Socially responsible investment. Corporate Sustainability Index (ISE). Portfolio performance analysis.

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