Ensaios sobre avaliação de performance de fundos de pensão brasileiros: uma abordagem com eficiência, produtividade e risco/retorno

Abstract

Performance measurement is a decisive issue in various fields, especially in sectors where resource allocation plays a significant role. Measuring efficiency in pension funds is crucial to ensure financial health and fulfil long-term commitments to beneficiaries. This work presents three studies on the performance evaluation of Brazilian pension funds and introduces a structured evaluation model. The first essay aims to conduct a systematic literature review on the efficiency evaluation of pension funds, seeking to identify patterns in objectives, methodologies, results, and trends in fund evaluation. The analysis was conducted from three different perspectives: bibliometric analysis, correspondence analysis, and content analysis. The results indicated that research on pension funds is still incipient, yet patterns are recognized in the predominant methodology used, which is Data Envelopment Analysis (DEA). The second essay evaluates efficiency and productivity using DEA with different orientations, and then correlates the approaches to identify efficiency and productivity patterns. Financial variables were selected based on the literature and their availability in the financial statements issued by the funds and published by the National Superintendence of Complementary Pensions (PREVIC) between 2019-2023. The use of the DEA model followed a four-step process: (1) Defining the database consisting of 132 pension funds for the financial years 2019-2023, with 45 publicly sponsored and 87 privately sponsored. (2) Identifying input and output variables to assess the relative efficiency of the selected Decision Making Units (DMUs). (3) Applying DEA from different perspectives to analyse efficiency (DEA-DSBM) and productivity (DEAMalmquist). (4) Performing Spearman and Kendall correlations, as well as Kendall’s coefficient of concordance, to highlight patterns of efficiency and inefficiency among the productive units. Based on the results, five hypotheses regarding determinants of efficiency and productivity were tested using the non-parametric Mann-Whitney statistical test. Additionally, the results showed that during the analysed period, the funds had an overall efficiency index of only 63% and a productivity index of 88%. Finally, the third essay evaluates the financial efficiency of pension funds using the Sharpe Ratio for the period 2020-2023. The Sharpe Ratio is a performance measure that evaluates the return of an investment relative to the risk taken. This index compares the profitability of an asset or portfolio against a risk-free investment, adjusting returns by the level of volatility. The risk-free assets chosen for comparison were the Ibovespa market index and the Interbank Deposit Certificate (CDI), an important benchmark for fixedincome assets. The results showed that 56 pension funds had a Sharpe Ratio lower than zero compared to the Ibovespa, and 109 funds compared to the CDI. This means that for the analysed period, the adopted risk-free rate outperformed the investment portfolios of a significant number of funds. Furthermore, it is acknowledged that research on fund evaluation needs to advance academically, as the lack of standardized analyses and the various gaps in the literature hinder the comparison of funds from different perspectives.