Gestão de Carteiras e Avaliação de Desempenho

Métodos Quantitativos Aplicados ás Finanças

Fundamentos de Gestão de carteiras

O ensino da unidade curricular baseia-se em recentes materiais de pesquisa e na experiência de investigação obtida. A pedagogia do curso é fortemente interactiva. Pretende uma participação substancial dos alunos e uma aprendizagem com base no saber-fazer. Os métodos de ensino incluem a discussão em grupo de trabalhos de investigação e a elaboração de um trabalho prático com recurso a dados reais (SABI, Amadeus, Bankscope) e a metodologias de investigação apreendidas ao longo do curso e da UC. A ênfase é colocada em auxiliar os alunos a relacionarem os conceitos, ideias e teorias à prática da investigação aplicada.

Competências:

Concluída a disciplina o aluno deverá será capaz de:

• Compreender os aspetos práticos essenciais para a gestão de uma carteira de títulos;
• Avaliar o desempenho de uma carteira de títulos e do seu respetivo gestor.
•  Elaborar um trabalho prático sobre aspetos tratados na UC
• Elaborar um trabalho científico com recurso a métodos e técnicas, já abordados noutras unidades curriculares, nomeadamente em Métodos Quantitativos Aplicados às Finanças.

I. INTRODUÇÃO
Rendibilidade, risco e diversificação: definição,medidas e regressão
Teoria da Carteira: o modelo de Markowitz
Capital Asset Pricing Model (CAPM).
Omodelo de mercado
II. GESTÃO DE CARTEIRAS
Constituição de carteiras.
Mix de activos :Classes de activos (rendibilidade esperada, variabilidade e correlação)
Asset Allocation, diversificação de portfolio e benchmark adequado.
Gestão passiva e activa de carteiras (style management)
Selecção de acções (upside e downside) e tendências de movimentação no mercado (market timing)
Tracking Portfolio e exploração de anomalias
Modelos multifactor: factor betas in a multifactor model
III. AVALIAÇÃO DE DESEMPENHO DE CARTEIRAS
Cálculo da rendibilidade de carteiras:
IRR- internal rate of return
Time-weighted e money-weighted
Medidas de Sharpe, Treynor e Jensen
Ajustamento do risco das carteiras
Benchmarks
Apresentação de padrões de desempenho
Diagnóstico de desempenho e atribuição

NAO

Livros:

Allen, S. L. (2012). Financial risk management: a practitioner’s guide to managing market and credit risk (Vol. 721). John Wiley & Sons.

 Bacon, C. R. (2011). Practical portfolio performance measurement and attribution (Vol. 568). John Wiley & Sons.

 Bodie, Z., Kane, A., and Marcus, A. J. (2014). Investments, 10e. McGraw-Hill Education.

 Edwards, R. D., Magee, J., & Bassetti, W. C. (2018). Technical analysis of stock trends. CRC press.

 Elton, E. J., Gruber, M. J., Brown, S. J. And Goetzmann, W. N. (2010), Modern Portfolio Theory and Investment Analysis, 8th edition, John Wiley & Sons

Neves E e Quelhas A. P (2013), Carteiras de Investimento, Gestão e avaliação do desempenh

 Artigos- Anexo A

Lista de artigos a selecionar para elaboração de ficha de leitura

Ano letivo 2022_2023

1. Algarni, M. A., Ali, M., Albort-Morant, G., Leal-Rodríguez, A. L., Latan, H., Ali, I., & Ullah, S. (2022). Make green, live clean! Linking adaptive capability and environmental behavior with financial performance through corporate sustainability performance. Journal of Cleaner Production, 346, 131156.
2. Borah, P. S., Iqbal, S., & Akhtar, S. (2022). Linking social media usage and SME’s sustainable performance: The role of digital leadership and innovation capabilities. Technology in Society, 68, 101900.

1. Cheng, L. T., Sharma, P., & Broadstock, D. C. (2022). Interactive effects of brand reputation and ESG on green bond issues: A sustainable development perspective. Business Strategy and the Environment.
2. Choy, S. K., Koci, I., & Wang, M. (2022). Does Social Capital Foster Sustainable Investment?. European Financial Management.
3. Di Marco, R., Dong, T., Malatincová, R., Reuter, M., & Strömsten, T. (2022). Symbol or substance? Scrutinizing the ‘risk transparency premise’in marketized sustainable finance: The case of TCFD reporting. Business Strategy and the Environment.
4. Imran, M., Ismail, F., Arshad, I., Zeb, F., & Zahid, H. (2022). The mediating role of innovation in the relationship between organizational culture and organizational performance in Pakistan’s banking sector. Journal of Public Affairs, 22, e2717.
5. Ketprapakorn, N., & Kantabutra, S. (2022). Toward an organizational theory of sustainability culture. Sustainable Production and Consumption.
6. Madanaguli, A., Srivastava, S., Ferraris, A., & Dhir, A. (2022). Corporate social responsibility and sustainability in the tourism sector: A systematic literature review and future outlook. Sustainable Development, 30(3), 447-461.
7. Ong, E. C., & Tan, C. L. (2022). Soft TQM, agility, and knowledge management deliver organizational performance: A study of Malaysian manufacturing organizations in the electrical and electronics sector. Global Business and Organizational Excellence, 41(4), 28-47.
8. Riaz, H., Saeed, A., Liedong, T. A., & Rajwani, T. (2022). Environmental management, nonmarket strategy, and firm performance in emerging markets: The case of ISO 14001. Business Ethics, the Environment & Responsibility, 31(1), 139-163.
9. Umrani, W. A., Ahmad, I., Rasheed, M. I., Ahmed, U., Pahi, M. H., Jhatial, A., & Abbsai, G. A. (2022). Managing intellectual capital: role of corporate entrepreneurship and absorptive capacity on firm performance. Knowledge Management Research & Practice, 1-13.
10. Wang, X., Li, J., Ren, X., & Lu, Z. (2022). Exploring the bidirectional causality between green markets and economic policy: evidence from the time-varying Granger test. Environmental Science and Pollution Research, 29(58), 88131-88146.
11. Zeidan, R. (2022). Why don’t asset managers accelerate ESG investing? A sentiment analysis based on 13,000 messages from finance professionals. Business Strategy and the Environment.
12. Zhang, R., Fu, W., & Lu, T. (2022). Capital market opening and corporate environmental performance: Empirical evidence from China. Finance Research Letters, 103587.
13. Zheng, M., Feng, G. F., Jiang, R. A., & Chang, C. P. (2022). Does environmental, social, and governance performance move together with corporate green innovation in China?. Business Strategy and the Environment.

Trabalhos com alunos:

1. Neves, M.E, Rego, M., Proença, C., Pinto, P. (2022). Corporate Performance Determinants in the Iberian Peninsula: the effect of intellectual capital and gender diversity, Gender in Management: An International Journal, (in advanced review process)
2. Neves, M.E., Cancela, B.L. & Gabriel, V.M. (2022). Performance drivers in Iberian companies in different economic cycles: new evidence using panel data, International Journal of Accounting & Information Management, Vol. ahead-of-print No. ahead-of-print.
3. https://doi.org/10.1108/IJAIM-05-2022-0107
4. Neves, M.E; Dias, A., Ferreira, M., & Henriques, C.(2022). Determinants of wine firms’ performance: the Iberian Case using Panel Data, International Journal of Accounting and Information Management (forthcoming, accepted 21 january)
5. Henriques, C., Neves, M.E, Castelão, L.& Duc Khuong Nguyen  (2022). Assessing the Performance of Exchange Traded Funds in the Energy Sector: A Hybrid DEA Multiobjective Linear Programming Approach, Annals of Operations Research, forthcoming.10.1007/s10479-021-04323-6
6. Proença, C., & Neves, E. (2021). Determinants of Iberian Companies Performance: Corporate boards and non-linearity of gender diversity. Gender in Management, forthcoming.
   1. Neves, M.E, Maurício, G. & Rodrigues, L. (2022). Insider transactions and performance: The Portuguese companies case, New Challenges and Global Outlooks in Financial Risk Management, IGI Global Book (chapter 16).
   2. Neves, M.E, Neves, R. & Leite, J. (2022). Does technical analysis win? Evidence from the period between Donald Trump’s campaign and the first date for Brexit. New Challenges and Global Outlooks in Financial Risk Management, IGI Global Book (chapter 17).
   3. Neves. M. E, Oliveira, V., Leite, J. & Henriques, C. (2021). The global business cycle and speculative demand for crude oil, China Finance Review International, 11 (4), pp.502-521.https://doi.org/10.1108/CFRI-05-2021-0091.
   4.  Neves, M.E., Pinto, M., Fernandes, C. & Vieira, E. (2021). Value and Growth Stock Returns: International Evidence, International Journal of Accounting and Information Management, Vol. 29 No. 5, pp. 698-733. https://doi.org/10.1108/IJAIM-05-2021-0097.
      1. Cascão, A. Pimentel, A., Neves, M.E. (2021), The Impact of Social Responsibility of Companies Performance: the case of IBEX 35,” 2021 16th Iberian Conference on Information Systems and Technologies (CISTI), 2021, pp. 1-8, doi: 10.23919/CISTI52073.2021.9476384.)
      2.  Neves, M.E., Afonso, L., Dias, A. & Lisboa, I. (2021). What factors can explain the performance of energy companies in Portugal? Panel Data Evidence, International Journal of Productivity and Performance Management, Vol. ahead-of-print No. ahead-of-print (forthcoming), https://doi.org/10.1108/IJPPM-01-2021-0057
      3.  Neves. M.E, Amado, J., & Montenegro, V. (2021). Performance of ExchangeTraded Funds in Europe: Beta-Performance Ratio, In book: Handbook of Research on Financial Management During Economic Downturn and Recovery. DOI: 10.4018/978-1-7998-6643-5.ch021
      4.  Proença, C., Neves, E., Dias, J.C., & Martins, P (2021). Determinants of sovereign debt ratings in clusters of European countries – effects of the crisis, Journal of Financial Economic Policy, Vol. ahead-of-print No. ahead-of-print (forthcoming). https://doi.org/10.1108/JFEP-01-2021-0017
      5. Henriques, C. and Neves, E. (2021).Exploring the trade-off between liquidity, risk and return under sectoral diversification across distinct economic settings, Journal of Risk Finance, Vol. 22 No. 2, pp. 130-152. https://doi.org/10.1108/JRF-05-2020-0101
      6. Neves, M.E., & Proença, C. (2021). Intellectual capital and financial performance: evidence from Portuguese banks,International Journal of Learning and Intellectual capital, 18(1), pp 93-108. DOI: 10.1504/IJLIC.2020.10031817