Análise de desempenho das ações listadas no ibrx100 através do NTN-B principal – estudo amparado no downside risk.

Abstract

The financial market is a complex environment surrounded by uncertainties and many variables. Measuring the risk involved when investing becomes a crucial activity for achieving positive returns and continued growth. Be based on the trends of asymmetric distributions and the not always rational investor’s behavior is a key point of the work. Thus, the research used the postmodern approach of risk for evaluating the performance of the stock index of the BM&FBovespa, the IBRX100, before a fixed income security issued by the Brazilian government, the NTN-B Principal. The methodology had used explorative and documentary characteristics as it aims to present the results found by the use of the technique, that is still not widespread in research in the Brazilian context, through data collected from private sources. The results of the downside risk assessment technique exhibit an asymmetry between the upside and downside samples before the target return rate, in which the upside risk presented distribution with the higher amplitude returns, indicating that the IBRX100 have greater risk of getting returns above the NTN-B Principal.