A eficácia do índice de sharpe como ferramenta de ranqueamento de fundos de investimentos em renda variável no Brasil

Abstract

This study aims to evaluate the effectiveness of the Sharpe Ratio as a ranking tool for equity investment funds in the Brazilian market. The research is characterized as quantitative, descriptive, and applied, based on a sample of 1,293 funds with a continuous 36-month historical track record and a minimum net asset value of BRL 50 million. For the empirical analysis, two statistical tests were employed: Spearman’s rank correlation coefficient, to measure the degree of association between cumulative return rankings and Sharpe-based rankings, and simple linear regression, to assess the explanatory power of the Sharpe Ratio over fund performance. The results revealed a strong and statistically significant correlation between the evaluated metrics, as well as substantial predictive power of the Sharpe Ratio, especially when calculated using the Selic rate as the risk-free benchmark. The findings contribute to the academic literature on risk-adjusted performance evaluation and provide relevant insights for asset allocation decisions by institutional investors and portfolio managers.