Análise comparativa entre uma carteira formada por fundos de investimentos imobiliários e o IGMI-C

Abstract

This study aims to analyze which alternative obtained the best risk/return ratio: the Real Estate Investment Funds Index (IFIX) using the Markowitz portfolio selection model to find the efficient portfolio or the Commercial Real Estate Market General Index (IGMI-C), and also, to verify if there is a significant difference in the average return in the two forms presented. The methodology of this paper presents a descriptive and documentary research with a quantitative approach. The data relating to real estate funds were taken from the BMF & BOVESPA and the data about IGMI-C of the Getúlio Vargas Foundation/Brazilian Institute of Economics (FGV/IBRE). 28 real estate funds belonging to the IFIX traded between January 2011 and December 2014 were selected. Through the results gathered based on the average return calculations, standard deviation and Sharpe Ratio of the real estate funds examined, was built, over the tool Solver Microsoft Excel, the efficient portfolio formation according to Markowitz model. After that, in order to have a posterior comparative analysis with IGMI-C, likewise, was calculated the average return, standard deviation and Sharpe Ratio. The results from this study indicate that the IGMI-C showed a best risk /return ratio than the efficient portfolio of real estate funds according to Markowitz model, and the study confirms that average returns of the methods are statistically different.