Ranking de fundos multimercado de baixa volatilidade (~ abaixo de 4% de vol.)
| CNPJ | Nome do Fundo | Rank | Número mágico | Retorno em 12 meses | Vol 12 meses | Sharpe 12 meses | Calmar 12 meses | Sortino 12 meses | Information Ratio 12 meses | Retorno em 24 meses | Ret. An. 24 meses | Vol 24 meses | Retorno em 36 meses | Ret. An. 36 meses | Vol 36 meses | Sharpe 36 meses | Calmar 36 meses | Sortino 36 meses | Information Ratio 36 meses | M2 36 meses | Retorno em 48 meses | Ret. An. 48 meses | Vol 48 meses | Retorno em 60 meses | Ret. An. 60 meses | Vol 60 meses |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 10320188000109 | AZ QUEST LOW VOL FIM | 1 | 33.8 | 15.0% | 1.0% | 0.531 | 1.304 | 0.415 | -0.823666 | 30.4% | 13.7% | 0.9% | 45.5% | 12.9% | 1.0% | 0.420 | 1.056 | 0.545 | -0.433518 | 0.197 | 65.8% | 13.0% | 1.0% | 89.8% | 13.2% | 1.1% |
| 00888897000131 | BTG PACTUAL HEDGE FI RF CP | 2 | 20.9 | 14.8% | 1.7% | 0.337 | 1.464 | 0.395 | -0.911407 | 29.2% | 13.2% | 1.4% | 44.4% | 12.6% | 1.2% | 0.153 | 0.483 | 0.173 | -0.438501 | 0.154 | 65.5% | 13.0% | 1.2% | 89.6% | 13.2% | 1.3% |
| 21983042000160 | ABSOLUTE ALPHA GLOBAL FIC DE FIM | 3 | 14.5 | 16.7% | 2.2% | 0.879 | 4.916 | 1.035 | -0.852249 | 32.9% | 14.7% | 1.9% | 45.7% | 12.9% | 1.6% | 0.243 | 1.007 | 0.270 | -0.452543 | 0.169 | 61.7% | 12.3% | 1.6% | 78.3% | 11.8% | 1.8% |
| 13812165000100 | JGP STRATEGY FIC DE FIM | 4 | -7.4 | 13.6% | 2.6% | -0.276 | -1.836 | -0.402 | -1.118553 | 28.1% | 12.7% | 2.8% | 46.4% | 13.1% | 3.1% | 0.176 | 1.405 | 0.289 | -0.454947 | 0.158 | 60.5% | 12.1% | 3.0% | 84.5% | 12.6% | 2.9% |
| 27945264000174 | KINEA RF ABSOLUTO FI LP | 5 | -22.6 | 13.8% | 341.7% | -0.003 | -2.202 | -0.003 | 3.506923 | 28.2% | 12.8% | 242.6% | 40.9% | 11.7% | 198.2% | -0.004 | -1.884 | -0.003 | 1.568193 | 0.129 | 61.5% | 12.3% | 171.6% | 79.8% | 12.0% | 153.4% |
| 14180011000105 | ACE CAPITAL DINÂMICO FIC DE FI FINANCEIRO MULTIMERCADO - RL | 6 | -34.8 | 12.6% | 0.8% | -1.880 | -4.065 | -2.766 | -1.109365 | 28.1% | 12.7% | 1.0% | 41.8% | 11.9% | 0.9% | -0.543 | -1.262 | -0.722 | -0.525334 | 0.043 | 62.2% | 12.4% | 0.9% | 80.6% | 12.1% | 0.8% |
| 08912591000185 | JGP MAX FIC DE FIM | 7 | -51.2 | 13.0% | 1.6% | -0.811 | -3.283 | -1.166 | -1.131175 | 26.7% | 12.1% | 1.8% | 42.1% | 12.0% | 2.0% | -0.213 | -1.057 | -0.345 | -0.524006 | 0.096 | 57.2% | 11.6% | 1.9% | 76.4% | 11.6% | 1.8% |
| 37626852000107 | DNA DEFENSE FIC DE FIM CP | 8 | -58.5 | 0.0% | 0.0% | 0.000 | 0.000 | 0.000 | 0.000000 | 0.0% | 0.0% | 0.0% | 2.1% | 0.7% | 0.1% | -0.792 | -0.264 | -0.130 | -6.520392 | 0.003 | 11.9% | 2.7% | 0.5% | 18.9% | 3.4% | 0.5% |
| 17899612000160 | MAG CASH FI RF LP | 9 | -60.5 | 14.5% | 0.1% | -0.022 | -0.007 | 0.000 | -0.959763 | 29.8% | 13.5% | 0.2% | 45.0% | 12.7% | 0.2% | 1.241 | 0.554 | 0.000 | -0.459479 | 0.328 | 64.9% | 12.9% | 0.2% | 83.6% | 12.5% | 0.2% |
| 37645550000178 | DNA SERENITY FIC MULTIMERCADO CP | 10 | -73.5 | 0.6% | 0.1% | -1.922 | -0.432 | 0.000 | 15.282776 | 11.8% | 5.5% | 1.4% | 23.7% | 7.1% | 1.1% | -0.992 | -2.718 | -0.816 | -0.286697 | -0.029 | 37.7% | 8.0% | 1.1% | 51.4% | 8.3% | 1.0% |
| 12839769000187 | SUL AMÉRICA EVOLUTION FIM | 11 | -74.6 | 13.2% | 1.5% | -0.770 | -2.842 | -0.694 | -1.039730 | 27.2% | 12.3% | 1.1% | 40.4% | 11.6% | 1.0% | -0.843 | -2.081 | -0.673 | -0.540410 | -0.005 | 56.1% | 11.4% | 0.9% | 70.1% | 10.8% | 1.0% |
| 44613740000179 | ARMOR SWORD FIC DE FIM | 12 | -82.5 | 12.2% | 1.2% | -1.610 | -4.921 | -2.305 | -1.230595 | 24.9% | 11.4% | 1.2% | 38.9% | 11.2% | 1.3% | -0.874 | -2.911 | -1.255 | -0.617118 | -0.010 | 57.6% | 11.6% | 1.4% | 0.0% | 0.0% | 0.0% |
| 34231926000100 | XP ADVISORY PORTFOLIO PRIVATE I FIC DE FIM CP | 13 | -82.6 | 0.0% | 0.0% | 0.000 | 0.000 | 0.000 | 0.000000 | -0.0% | -0.0% | 0.0% | 10.5% | 3.3% | 0.2% | -4.240 | -1.722 | -1.000 | -1.259589 | -0.548 | 22.1% | 4.9% | 0.3% | 35.0% | 6.0% | 1.4% |
| 34687428000176 | VINLAND ATIVO FI FINANCEIRO CIC RF LP - RL | 14 | -86.4 | 12.8% | 0.4% | -3.459 | -3.811 | -1.681 | -1.049016 | 27.5% | 12.5% | 0.4% | 40.5% | 11.6% | 0.4% | -1.746 | -1.981 | -1.331 | -0.547162 | -0.149 | 57.6% | 11.6% | 0.5% | 76.1% | 11.6% | 0.5% |
| 09528698000197 | BAHIA AM FIC DE FIM | 15 | -92.8 | 12.0% | 1.9% | -1.167 | -5.513 | -1.453 | -1.156236 | 26.0% | 11.8% | 1.7% | 40.5% | 11.6% | 1.7% | -0.472 | -2.034 | -0.677 | -0.540233 | 0.054 | 49.5% | 10.2% | 2.0% | 70.1% | 10.8% | 2.1% |
| 08773805000180 | KADIMA FIC DE FI FINANCEIRO MULTIMERCADO - RL | 16 | -100.5 | 1.0% | 1.3% | -1.566 | -5.268 | -0.345 | -10.420695 | 13.0% | 6.1% | 4.7% | 25.9% | 7.7% | 4.3% | -0.302 | -3.331 | -0.440 | -0.386126 | 0.082 | 33.9% | 7.3% | 4.1% | 40.2% | 6.8% | 3.9% |
| 06301947000119 | NOVUS INSTITUCIONAL FIC DE FIM | 17 | -104.2 | 12.9% | 2.2% | -0.620 | -3.427 | -0.539 | -1.086853 | 25.6% | 11.6% | 1.9% | 36.3% | 10.5% | 1.7% | -1.035 | -4.478 | -1.187 | -0.629399 | -0.036 | 51.6% | 10.6% | 1.6% | 72.8% | 11.2% | 1.6% |
| 14326479000165 | SAM RATES AND FX MULTIMERCADO FIC DE FI | 18 | -112.3 | 10.8% | 0.1% | -47.275 | -7.984 | 0.000 | -1.153540 | 21.9% | 10.1% | 0.1% | 31.9% | 9.3% | 0.1% | -27.016 | -7.158 | 0.000 | -0.675995 | -4.189 | 46.3% | 9.6% | 0.3% | 60.8% | 9.6% | 0.5% |
| 27928186000108 | QUANTITAS FIM GALÁPAGOS | 19 | -115.4 | 16.2% | 8.0% | 0.177 | 3.631 | 0.290 | -1.075897 | 20.1% | 9.3% | 7.7% | 30.2% | 8.9% | 6.7% | -0.474 | -8.121 | -0.678 | -0.907308 | 0.054 | 49.0% | 10.1% | 5.9% | 72.0% | 11.1% | 5.4% |
| 10705335000169 | PRINCIPAL CLARITAS INSTITUCIONAL FIC DE FIM | 20 | -125.1 | 0.0% | 0.0% | 0.000 | 0.000 | 0.000 | 0.000000 | 7.7% | 3.6% | 0.2% | 17.4% | 5.3% | 0.7% | -2.040 | -3.641 | -2.458 | -0.130254 | -0.196 | 30.3% | 6.6% | 0.7% | 44.0% | 7.3% | 0.7% |
| 18860059000115 | ABSOLUTE HEDGE FIC DE FI FINANCEIRO MULTIMERCADO | 21 | -128.8 | 10.0% | 2.3% | -1.580 | -9.200 | -2.173 | -1.349913 | 21.5% | 9.9% | 2.3% | 35.4% | 10.3% | 2.3% | -0.845 | -4.858 | -1.429 | -0.649869 | -0.005 | 49.6% | 10.2% | 2.2% | 76.5% | 11.6% | 2.2% |
| 15578417000103 | OCCAM INSTITUCIONAL FIC DE FI FINANCEIRO MULTIMERCADO II - RL | 22 | -133.0 | 11.3% | 1.6% | -1.672 | -6.923 | -2.351 | -1.177162 | 24.8% | 11.3% | 1.5% | 36.2% | 10.5% | 1.4% | -1.247 | -4.493 | -1.933 | -0.603248 | -0.069 | 49.6% | 10.2% | 1.5% | 63.7% | 10.0% | 1.4% |
| 05024659000100 | WESTERN ASSET MULTITRADING H MULTIMERCADO FI | 23 | -138.9 | 13.1% | 2.2% | -0.563 | -3.148 | -0.720 | -1.119010 | 23.3% | 10.7% | 2.0% | 36.0% | 10.4% | 2.3% | -0.812 | -4.669 | -1.105 | -0.627118 | 0.000 | 44.8% | 9.4% | 2.5% | 49.3% | 8.1% | 2.7% |
| 26549933000126 | XP MACRO INSTITUCIONAL FIC DE FI FINANCEIRO MULTIMERCADO - RL | 24 | -155.7 | 6.8% | 1.0% | -2.186 | -5.330 | -2.264 | -1.606935 | 19.2% | 8.9% | 1.6% | 28.6% | 8.5% | 1.7% | -1.328 | -5.668 | -1.966 | -0.703263 | -0.082 | 38.4% | 8.2% | 2.0% | 52.3% | 8.5% | 1.8% |
| 13429264000107 | KONDOR MACRO FI EM QUOTAS DE FIM | 25 | -179.8 | 13.8% | 4.1% | -0.135 | -1.396 | -0.203 | -1.230669 | 20.4% | 9.4% | 3.6% | 26.4% | 7.9% | 4.2% | -0.970 | -10.443 | -1.287 | -0.937120 | -0.025 | 41.0% | 8.7% | 3.8% | 53.9% | 8.7% | 3.5% |
| 05488919000190 | CLARITAS HEDGE FIC DE FIM LP | 26 | -196.7 | 0.9% | 0.3% | -2.559 | -1.661 | 0.000 | -13.199074 | 9.4% | 4.4% | 1.6% | 16.8% | 5.1% | 1.8% | -1.830 | -8.222 | -2.183 | -0.619860 | -0.163 | 24.2% | 5.4% | 1.8% | 35.5% | 6.0% | 2.0% |
| 11403956000150 | OCCAM EQUITY HEDGE FIC DE FI FINANCEIRO MULTIMERCADO - RL | 27 | -198.0 | 7.9% | 3.4% | -1.661 | -14.207 | -2.101 | -1.488007 | 21.9% | 10.0% | 3.1% | 30.9% | 9.1% | 2.8% | -1.083 | -7.689 | -1.416 | -0.695233 | -0.043 | 36.9% | 7.9% | 2.8% | 50.8% | 8.3% | 2.7% |
| 10447046000107 | GARIN SPECIAL FIM | 28 | -214.3 | 12.7% | 4.0% | -0.357 | -3.629 | -0.511 | -1.236408 | 23.8% | 10.9% | 4.5% | 28.4% | 8.4% | 4.3% | -0.831 | -9.164 | -1.219 | -0.844283 | -0.003 | 27.4% | 6.0% | 5.5% | 35.7% | 6.1% | 5.2% |
| 07967080000106 | RIO ARBITRAGEM FIM | 29 | -225.0 | -0.6% | 4.5% | -1.880 | -21.743 | -2.520 | -2.364512 | 11.9% | 5.6% | 5.8% | 18.5% | 5.6% | 5.9% | -0.802 | -12.100 | -1.193 | -1.042907 | 0.002 | 31.3% | 6.8% | 5.9% | 35.9% | 6.1% | 5.7% |
- O Ranking é criado a partir de vários índices de retorno-ajustado-a-risco em diversas janelas temporais e janelas móveis.
- Trata-se de uma avaliação meramente quantitativa dos fundos. É indicado que se faça também uma análise qualitativa, entendendo quem são os gestores, há quanto tempo a equipe do fundo é a mesma etc.