Performance de fundos mútuos de investimento no Brasil : uma análise dos fenomenos de "hot-hands", sinalização e persistência de retornos

o presente trabalho apresenta um resumo não só dos conceitos básicos sobre fundos de investimento, como também seu histórico e evolução no Brasil e no mundo, o contexto institucional nacional e os principais ratings de classificação de performance. Sua parte empírica foca-se no exame do fenômeno de persistência de performance para os fundos de investimentos ativos brasileiros entre julho de 1996 e junho de 2001. o estudo empírico dividiu-se em três partes: a comparação do retomo das categorias de fundos de ações ativos, de renda fixa e multimercados com os respectivos benchmarks e fundos passivos; a verificação do fenômeno de persistência baseando-se em Malkiel (1995); e a análise dos resultados de investimentos em portfólios formados pelos grupos de uma mesma categoria pertecentes a um mesmo percentil de retomo não ajustado ao risco.

Desempenho dos fundos de investimento de ações brasileiro : um estudo do período de 2000 a 2014

O objetivo primário deste trabalho é verificar se os fundos de investimento em ações brasileiros criaram valor, medido pelo alpha de Jensen, dentro do período selecionado. Em seguida, busca-se identificar os fatores determinantes dessa criação de valor. Utilizando a metodologia desenvolvida por Jensen (1968), inicialmente foram separados os fundos que geram alphas significativos dos que não geram. Os benchmarks de mercado utilizados foram Ibovespa e IBRx e as taxas livres de risco foram Taxa Selic, CDI e Poupança. A conclusão foi que os fundos de ações brasileiros, nos períodos estudados, não foram capazes de gerar alpha, independentemente do benchmark ou da taxa livre de risco. No entanto, os resultados foram piores quando comparados com o IBRx. Após esse processo, foi utilizada uma regressão cross section para encontrar quais as variáveis significativas para geração de alpha. Concluiu-se que quanto maior o fundo, maior o alpha gerado. No entanto, quanto mais velho o fundo e quanto maior a taxa de administração menor será o alpha gerado. Por fim, para gestores que geram alphas positivos, cada unidade adicional de risco gera valor e, para gestores com alpha negativo, cada unidade adicional de risco destrói valor

Mechanical properties and porosity of dental glass-ceramics hot-pressed at different temperatures

The objective of this work was to evaluate biaxial-flexural-strength (σf), Vickers hardness (HV), fracture toughness (K Ic), Young's modulus (E), Poisson's ratio (ν) and porosity (P) of two commercial glass-ceramics, Empress (E1) and Empress 2 (E2), as a function of the hot-pressing temperature. Ten disks were hot-pressed at 1065, 1070, 1075 and 1080 °C for E1; and at 910, 915, 920 and 925 °C for E2. The porosity was measured by an image analyzer software and s f was determined using the piston-on-three-balls method. K Ic and HV were determined by an indentation method. Elastic constants were determined by the pulse-echo method. For E1 samples treated at different temperatures, there were no statistical differences among the values of all evaluated properties. For E2 samples treated at different temperatures, there were no statistical differences among the values of σf, E, and ν, however HV and K Ic were significantly higher for 910 and 915 °C, respectively. Regarding P, the mean value obtained for E2 for 925 °C was significantly higher compared to other temperatures.

Transiting exoplanets from the CoRoT space mission XVI. CoRoT-14b: an unusually dense very hot Jupiter

In this paper, the CoRoT Exoplanet Science Team announces its 14th discovery. Herein, we discuss the observations and analyses that allowed us to derive the parameters of this system: a hot Jupiter with a mass of 7.6 +/- 0.6 Jupiter masses orbiting a solar-type star (F9V) with a period of only 1.5 d, less than 5 stellar radii from its parent star. It is unusual for such a massive planet to have such a small orbit: only one other known higher mass exoplanet orbits with a shorter period.

Transiting exoplanets from the CoRoT space mission XVIII. CoRoT-18b: a massive hot Jupiter on a prograde, nearly aligned orbit

We report the detection of CoRoT-18b, a massive hot Jupiter transiting in front of its host star with a period of 1.9000693 +/- 0.0000028 days. This planet was discovered thanks to photometric data secured with the CoRoT satellite combined with spectroscopic and photometric ground-based follow-up observations. The planet has a mass M(p) = 3.47 +/- 0.38 M(Jup), a radius R(p) = 1.31 +/- 0.18 R(Jup), and a density rho(p) = 2.2 +/- 0.8 g cm(-3). It orbits a G9V star with a mass M(*) = 0.95 +/- 0.15 M(circle dot), a radius R(*) = 1.00 +/- 0.13 R(circle dot), and a rotation period P(rot) = 5.4 +/- 0.4 days. The age of the system remains uncertain, with stellar evolution models pointing either to a few tens Ma or several Ga, while gyrochronology and lithium abundance point towards ages of a few hundred Ma. This mismatch potentially points to a problem in our understanding of the evolution of young stars, with possibly significant implications for stellar physics and the interpretation of inferred sizes of exoplanets around young stars. We detected the RossiterMcLaughlin anomaly in the CoRoT-18 system thanks to the spectroscopic observation of a transit. We measured the obliquity psi = 20 degrees +/- 20 degrees +/- (sky-projected value lambda = -10 degrees +/- 20 degrees), indicating that the planet orbits in the same way as the star is rotating and that this prograde orbit is nearly aligned with the stellar equator.

Transiting exoplanets from the CoRoT space mission XIV. CoRoT-11b: a transiting massive ""hot-Jupiter"" in a prograde orbit around a rapidly rotating F-type star

The CoRoT exoplanet science team announces the discovery of CoRoT-11b, a fairly massive hot-Jupiter transiting a V = 12.9 mag F6 dwarf star (M(*) = 1.27 +/- 0.05 M(circle dot), R(*) = 1.37 +/- 0.03 R(circle dot), T(eff) = 6440 +/- 120 K), with an orbital period of P = 2.994329 +/- 0.000011 days and semi-major axis a = 0.0436 +/- 0.005 AU. The detection of part of the radial velocity anomaly caused by the Rossiter-McLaughlin effect shows that the transit-like events detected by CoRoT are caused by a planet-sized transiting object in a prograde orbit. The relatively high projected rotational velocity of the star (upsilon sin i(star) = 40 +/- 5 km s(-1)) places CoRoT-11 among the most rapidly rotating planet host stars discovered so far. With a planetary mass of M(p) = 2.33 +/- 0.34 M(Jup) and radius R(p) = 1.43 +/- 0.03 R(Jup), the resulting mean density of CoRoT-11b (rho(p) = 0.99 +/- 0.15 g/cm(3)) can be explained with a model for an inflated hydrogen-planet with a solar composition and a high level of energy dissipation in its interior.

Transiting exoplanets from the CoRoT space mission XIII. CoRoT-13b: a dense hot Jupiter in transit around a star with solar metallicity and super-solar lithium content

We announce the discovery of the transiting planet CoRoT-13b. Ground-based follow-up in CFHT and IAC80 confirmed CoRoT's observations. The mass of the planet was measured with the HARPS spectrograph and the properties of the host star were obtained analyzing HIRES spectra from the Keck telescope. It is a hot Jupiter-like planet with an orbital period of 4.04 days, 1.3 Jupiter masses, 0.9 Jupiter radii, and a density of 2.34 g cm(-3). It orbits a G0V star with T(eff) = 5 945 K, M(*) = 1.09 M(circle dot), R(*) = 1.01 R(circle dot), solar metallicity, a lithium content of +1.45 dex, and an estimated age of between 0.12 and 3.15 Gyr. The lithium abundance of the star is consistent with its effective temperature, activity level, and age range derived from the stellar analysis. The density of the planet is extreme for its mass, implies that heavy elements are present with a mass of between about 140 and 300 M(circle plus).

Transiting exoplanets from the CoRoT space mission XI. CoRoT-8b: a hot and dense sub-Saturn around a K1 dwarf

Aims. We report the discovery of CoRoT-8b, a dense small Saturn-class exoplanet that orbits a K1 dwarf in 6.2 days, and we derive its orbital parameters, mass, and radius. Methods. We analyzed two complementary data sets: the photometric transit curve of CoRoT-8b as measured by CoRoT and the radial velocity curve of CoRoT-8 as measured by the HARPS spectrometer**. Results. We find that CoRoT-8b is on a circular orbit with a semi-major axis of 0.063 +/- 0.001 AU. It has a radius of 0.57 +/- 0.02 R(J), a mass of 0.22 +/- 0.03 M(J), and therefore a mean density of 1.6 +/- 0.1 g cm(-3). Conclusions. With 67% of the size of Saturn and 72% of its mass, CoRoT-8b has a density comparable to that of Neptune (1.76 g cm(-3)). We estimate its content in heavy elements to be 47-63 M(circle plus), and the mass of its hydrogen-helium envelope to be 7-23 M(circle plus). At 0.063 AU, the thermal loss of hydrogen of CoRoT-8b should be no more than similar to 0.1% over an assumed integrated lifetime of 3 Ga.

Transiting exoplanets from the CoRoT space mission IX. CoRoT-6b: a transiting ""hot Jupiter"" planet in an 8.9d orbit around a low-metallicity star

The CoRoT satellite exoplanetary team announces its sixth transiting planet in this paper. We describe and discuss the satellite observations as well as the complementary ground-based observations - photometric and spectroscopic - carried out to assess the planetary nature of the object and determine its specific physical parameters. The discovery reported here is a ""hot Jupiter"" planet in an 8.9d orbit, 18 stellar radii, or 0.08 AU, away from its primary star, which is a solar-type star (F9V) with an estimated age of 3.0 Gyr. The planet mass is close to 3 times that of Jupiter. The star has a metallicity of 0.2 dex lower than the Sun, and a relatively high (7)Li abundance. While the light curve indicates a much higher level of activity than, e. g., the Sun, there is no sign of activity spectroscopically in e. g., the [Ca II] H&K lines.

Transiting exoplanets from the CoRoT space mission XVII. The hot Jupiter CoRoT-17b: a very old planet

We report on the discovery of a hot Jupiter-type exoplanet, CoRoT-17b, detected by the CoRoT satellite. It has a mass of 2.43 +/- 0.30 M(Jup) and a radius of 1.02 +/- 0.07 R(Jup), while its mean density is 2.82 +/- 0.38 g/cm(3). CoRoT-17b is in a circular orbit with a period of 3.7681 +/- 0.0003 days. The host star is an old (10.7 +/- 1.0 Gyr) main-sequence star, which makes it an intriguing object for planetary evolution studies. The planet's internal composition is not well constrained and can range from pure H/He to one that can contain similar to 380 earth masses of heavier elements.

Pressure of massless hot scalar theory in the boundary effective theory framework

We use the boundary effective theory approach to thermal field theory in order to calculate the pressure of a system of massless scalar fields with quartic interaction. The method naturally separates the infrared physics, and is essentially nonperturbative. To lowest order, the main ingredient is the solution of the free Euler-Lagrange equation with nontrivial (time) boundary conditions. We derive a resummed pressure, which is in good agreement with recent calculations found in the literature, following a very direct and compact procedure.

Quantitative constraints on the transport properties of hot partonic matter from semi-inclusive single high transverse momentum pion suppression in Au plus Au collisions at root S(NN)=200 GeV

The PHENIX experiment has measured the suppression of semi-inclusive single high-transverse-momentum pi(0)'s in Au+Au collisions at root s(NN) = 200 GeV. The present understanding of this suppression is in terms of energy loss of the parent (fragmenting) parton in a dense color-charge medium. We have performed a quantitative comparison between various parton energy-loss models and our experimental data. The statistical point-to-point uncorrelated as well as correlated systematic uncertainties are taken into account in the comparison. We detail this methodology and the resulting constraint on the model parameters, such as the initial color-charge density dN(g)/dy, the medium transport coefficient <(q) over cap >, or the initial energy-loss parameter epsilon(0). We find that high-transverse-momentum pi(0) suppression in Au+Au collisions has sufficient precision to constrain these model-dependent parameters at the +/- 20-25% (one standard deviation) level. These constraints include only the experimental uncertainties, and further studies are needed to compute the corresponding theoretical uncertainties.

Equivalence between hot tensile and creep testing data for Kanthal A1 alloy

Hot tensile and creep tests were carried out on Kanthal A1 alloy in the temperature range from 600 to 800 degrees C. Each of these sets of data were analyzed separately according to their own methodologies, but an attempt was made to find a correlation between them. A new criterion proposed for converting hot tensile data to creep data, makes possible the analysis of the two kinds of results according to usual creep relations like: Norton, Monkman-Grant, Larson-Miller and others. The remarkable compatibility verified between both sets of data by this procedure strongly suggests that hot tensile data can be converted to creep data and vice-versa for Kanthal A1 alloy, as verified previously for other metallic materials.

Permeability optimization and performance evaluation of hot aerosol filters made using foam incorporated alumina suspension

Porous ceramic samples were prepared from aqueous foam incorporated alumina suspension for application as hot aerosol filtering membrane. The procedure for establishment of membrane features required to maintain a desired flow condition was theoretically described and experimental work was designed to prepare ceramic membranes to meet the predicted criteria. Two best membranes, thus prepared, were selected for permeability tests up to 700 degrees C and their total and fractional collection efficiencies were experimentally evaluated. Reasonably good performance was achieved at room temperature, while at 700 degrees C, increased permeability was obtained with significant reduction in collection efficiency, which was explained by a combination of thermal expansion of the structure and changes in the gas properties. (C) 2008 Elsevier B.V. All rights reserved.