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Bibliografia Sugerida Exame CGA Data: 01/06/2021 Bibliografia Sugerida Exame CGA Data: 01/06/2021 1. GESTÃO DE CARTEIRAS – RENDA VARIÁVEL a) LIVROS BERNSTEIN, R. Style Investing: Unique Insight Into Equity Management. Editora Wiley, 1995 Buffett, H.W.; EIMICKE, W. B. Investindo em Valor Social: Gerando Valor Social com Investimentos. Editora FGV, 2020. CHINCARINI, L.B.; KIM, D. Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management. 1. ed. Editora Mc Graw Hill, 2010. CORCORAN, C.M. Long/Short Market Dynamics: Trading Strategies for Today's Markets. Editora Wiley, 2007. FABOZZI, F.J.; GRANT, J.L. Equity Portfolio Management. 1. ed. Editora Wiley. FABOZZI, F.J.; MARKOWITZ, H.M. Equity Valuation and Portfolio Management. Editora Wiley, 2011. PALEOLOGO, G.A. Advanced Portfolio Management: A Quant's Guide for Fundamental Investors. Editora Wiley, 2021. Swensen, D.F. Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment: An Unconventional Approach to Institutional Investment. Editora Free Press, 2009. b) ARTIGOS, TESES, DISSERTAÇÕES BARBERIS, N.; SHLEIFER, A. Style Investing. Journal of Financial Economics, 68, p. 161-199, 2003. FAMA, E. F.; FRENCH, K. R. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Finance, 1993. GRIM, D.M.; PAPPAS, S.N.; TOLANI, R.G.; KESIDIS, S. Equity factor-based investing: A practitioner’s guide. Vanguard Whitepaper, 2017. KAO, D. Battle for Alphas: Hedge Funds versus Long-Only Portfolios. Financial Analysts Journal, v. 58, n. 2, p. 16-36, 2002. 2 LEWIN, M.; CAIPANI, C.H. Gestão de Carteiras sob Múltiplos Regimes: Estratégias que Performam Acima do Mercado. Revista de Administração Contemporânea (RAC), v. 24, n. 4, 2020. MAESTRI, C.O.N.M.; MALAQUIAS, R.F. Aspectos do gestor, alocação de carteiras e desempenho de fundos no Brasil. Revista Contabilidade e Finanças, v. 29, n. 76, 2018. MICHAUD, R.O. Are Long-Short Equity Strategies Superior? Financial Analysts Journal, v. 49, n. 6, p. 44-49,1993. c) LINK ÚTEIS MUTUAL Funds and ETFs – A Guide for Investors. U.S. Securities and Exchange Commission. Disponível em: https://www.investor.gov/sites/investorgov/files/2020-04/mutual-funds- ETFs_2_0.pdf ETF de Renda Variável. B3. Disponível em: http://www.b3.com.br/pt_br/produtos-e- servicos/negociacao/renda-variavel/etf-de-renda-variavel.htm 2. GESTÃO DE CARTEIRAS – RENDA FIXA a) LIVROS FABOZZI, F.J. The Handbook of fixed income securities. 8. ed. Editora Mc Graw Hill, 2011. FABOZZI, F.J.; MANN, S.V. Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation. 2. ed. Editora Wiley, 2010. HENDERSON, T.M. Fixed Income Strategy: A Practitioner's Guide to Riding the Curve. Editora Wiley, 2010. Hull, J.C Opções, Futuros e Outros Derivativos. 9. ed. Editora Bookman, 2016. MILAN, P.L.A.B. Gestão ativa de carteiras de renda fixa. Editora Quartier Latin, 2017. THAU, A. The Bond Book. 3. ed. Editora Mc Graw Hill, 2010. TUCKMAN, B.; SERRAT, A. Fixed Income Securities. 3 ed. Editora John Wiley & Sons, 2011. 3 VARANDA NETO, J.M.; SANTOS, J.C.S. O Mercado de Renda Fixa no Brasil: Conceitos, Precificação e Risco. 1. ed. Editora Saint Paul, 2019. b) ARTIGOS, TESES, DISSERTAÇÕES BESSLER, W.; LEONHARDT, A.; WOLFF, D. Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection. International Review of Financial Analysis, v. 46, 2016 p. 239-256. CALDEIRA, J.F. Estimação da estrutura a termo da curva de juros no Brasil através de modelos paramétricos e não paramétricos. Revista Análise Econômica, v. 29, n. 55, 2011. FRANKLIN JR. S.L.; DUARTE, T.B.; NEVES, C.R.; MELO, E.F.L. A estrutura a termo de taxas de juros no Brasil: modelos, estimação e testes. Revista Economia Aplicada, v. 16, n. 2, 2012. GIMENES, L.D. SELEÇÃO ÓTIMA DE PORTFÓLIO EM RENDA FIXA: Combinações de Estruturas a Termo de Taxa de Juros e Fatores Macroeconômicos. FGV EAESP - Tese de doutorado, 2019. MEIRELLES, S.K.S.; FERNANDES, M. Estratégias de Imunização de Carteiras de Renda Fixa no Brasil. Revista Brasileira de Finanças, v. 16, n. 2, 2018. VILELLA, P.A.; LEAL, R.P.C. O desempenho de fundos de renda fixa e o índice de renda de mercado (IRF-M). RAE Eletrônica, v. 7, n. 1, 2008 3. INVESTIMENTOS NO EXTERIOR a) LIVROS BODIE, Z.; KANE, A.; MARCUS, A.; DANA, S.; HONORATO, B. Investimentos. 10. ed. Editora AMGH, 2014 COUDRY, M. Corporate Bonds and Structured Financial Products. Editora Butterworth- Heinemann, 2004. FABOZZI, F.J. The Handbook of fixed income securities. 8. ed. Editora Mc Graw Hill, 2011. THAU, A. The Bond Book: Everything Investors Need to Know About Treasuries, Municipals, GNMAs, Corporates, Zeros, Bond Funds, Money Market Funds, and More. Editora McGraw-Hill, 2010 4 b) ARTIGOS, TESES, DISSERTAÇÕES FINANCIAL Stability Board. Reforming Major Interest Rate Benchmarks. 2014. WILCOX, J.W.; FABOZZI, F.J. Bond Features, Yield Measures, and Risks in Financial Advice and Investment Decisions: A Manifesto for Change. John Wiley & Sons, Inc, 2013. WEINSTEIN, M. The Systematic Risk of Corporate Bonds. The Journal of Financial and Quantitative Analysis, v. 16, n. 3, 1981, p. 257-278. WELLMANN, D.; TRUCK, S. Factors of the term structure of sovereign yield spreads. Journal of International Money and Finance, v. 81, 2018, p. 56-75. c) LINKS ÚTEIS BENCHMARK Reform and Transition from LIBOR. ISDA. Disponível em: https://www.isda.org/2020/05/11/benchmark-reform-and-transition-from-libor/ BOND spread. Robeco. Disponível em: https://www.robeco.com/en/key-strengths/credits- investing/glossary/bond-spread.html CORPORATE Bonds. US Securities and Exchange Commission. Disponível em: https://www.investor.gov/introduction-investing/investing-basics/investment-products/bonds-or- fixed-income-products EUROPEAN benchmark rates. European Central Bank. Disponível em: https://www.ecb.europa.eu/explainers/tell-me- more/html/benchmark_rates_qa.en.html#:~:text=Interest%20rate%20benchmarks%20%E2%80% 93%20also%20known,other%20more%20complex%20financial%20transactions FINANCIAL benchmarks. Financial Stability Board. Disponível em: https://www.fsb.org/work-of- the-fsb/market-and-institutional-resilience/financial-benchmarks/ HISTORY of the American Stock Exchange. NYSE. Disponível em: https://www.nyse.com/american- stock-exchange LIST of Stock Exchanges. ISIN. Disponível em: https://www.isin.org/stock-exchanges/ 5 MARKETS: Exchange or Over-the-Counter. IMF. Disponível em: https://www.imf.org/external/pubs/ft/fandd/basics/markets.htm MUNICIPAL Bonds. US Securities and Exchange Commission. Disponível em: https://www.investor.gov/introduction-investing/investing-basics/investment-products/bonds-or- fixed-income-products-0 STOCKS. US Securities and Exchange Commission. Disponível em: https://www.investor.gov/introduction-investing/investing-basics/investment-products/stocks 4. AVALIAÇÃO DE DESEMPENHO a) LIVROS BACON, C.R. Practical Portfolio Performance Measurement and Attribution. Editora John Wiley & Sons, 2004. BACON, C.R. Practical Risk-Adjusted Performance Measurement. 1. ed. Editora Wiley, 2012. BODIE, Z.; KANE, A.; MARCUS, A.; DANA, S.; HONORATO, B. Investimentos. 10. ed. Editora AMGH, 2014 FEIBEL, B. J; Investment Performance Measurement. 1. ed. Editora Willey, 2003. LAWTON, P; JANKOWSKI, T. Investment Performance Measurement: Evaluating and Presenting Results. Editora John Wiley & Sons, 2009. b) ARTIGOS, TESES, DISSERTAÇÕES BACON. C. Performance Attribution: Hystory and progress. CFA Institute, 2019. CARHART, M. Mark. On Persistence in Mutual Fund Performance. The Journal of Finance, v. 52, n. 1, p. 57-82, mar. 1997. JENSEN, M. C. The performance of mutual funds in the period 1945-1964.The Journal of finance, Nova Iorque, v. 26, n. 1, mai. 1968, p. 389-416. SHARPE, W. F. Capital Asset Prices: a Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, v. 19, n. 3, p. 425-42, set. 1964. 6 TREYNOR, J. L. How to rate management of investment funds. Harvard Business Review, v. 43, n. 1, p. 63-75, 1965. WU, X.; SOARES, V.S.; PACHECO, L.D.; TAVARES, F.O. Medidas de Avaliação de Desempenho: Os Fundos de Ações Europeias no Período 2001 a 2015. Revista Brasileira de Finanças, v. 15, n. 3, p. 403-433, 2017. YUEN, R.; PONG, W. Workshop for Using Excel for Finance Part 6. SSRN, 2014. c) LINKS ÚTEIS ATTRIBUTION Analysis. Corporate Finance Institute. Disponível em: https://corporatefinanceinstitute.com/resources/knowledge/trading-investing/attribution- analysis/ MONEY vs. Time-Weighted Return. Corporate Finance Institute. Disponível em: https://corporatefinanceinstitute.com/resources/knowledge/finance/money-vs-time-weighted- return/ RETURN Attribution. CFA Institute. Disponível em: https://www.cfainstitute.org/- /media/documents/support/programs/cipm/2019-cipm-l1v1r5.ashx TWRR and MWRR At a Glance. National Bank (Canada). Disponível em: https://www.nbc.ca/content/dam/bnc/en/files/personal/investing/bncpdf/pbn-trp-pror-en.pdf 5. GESTÃO DE RISCO a) LIVROS CAETANO, M.A.L; Análise de Risco em Aplicações Financeiras. 1. ed. Editora Blucher, 2017. CHANCE, D.M.; BROOKS, R. Introduction to Derivatives and Risk Management. Editora South- Western College, 2009. DAMODARAN, A. Gestão estratégica do risco. Editora Bookman, 2009. DEMPSTER, M.A.H; Risk Management (Value at Risk and Beyond). Cambridge University Press, 2002. 7 DUARTE JUNIOR, A. M; Gestão de Riscos para Fundos de Investimentos. 1. ed. Editora Pearson, 2005. HOPKIN, P. Fundamentals of Risk Management: Understanding, Evaluating and Implementing Effective Risk Management. 2. ed. Editora Kogan Page, 2012. JORION, P. Value at Risk: The New Benchmark for Managing Financial Risk. 3. ed. Editora Mc Graw Hill, 2006. NETO, J.M.V.; SANTOS, J.C.S.; MELLO, E.M. O Mercado De Renda Fixa No Brasil: Conceitos, Precificação E Risco. 1. ed. Editora Saint Paul, 2019. SANTOS, J.C.S.; RANGEL, A.S; Precificação e Risco nos Mercados de Renda Fixa. Editora CRV, 2016. SECURATO, J.R. Crédito: Análise e Avaliação do Risco. 2. ed. Editora Saint Paul, 2013. TOSTES, F.P. Gestão de Risco de Mercado. Metodologias Financeira e Contábil. Editora FGV, 2007 WHALEY, R.E.
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