Análise da alocação de ativos para carteiras de planos tradicionais em entidades abertas de previdência complementar
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In this dissertation we discussed the recent growth of the private pension market in Brazil and its key drivers. We are focused in the so called 'planos tradicionais' with guaranteed minimum returns and profit-sharing clauses, operated by Brazilian insurance companies. We showed that this kind of product contains a series of embedded options shorted by these companies which represent additional risks in its balance sheet. These option-like clauses are not necessarily hedged. To try to hedge against this risk one must consider the management of assets in accordance to liabilities characteristics. We also discussed five common criteria for asset allocation in insurance companies, considering the peculiarities of the so called 'planos tradicionais' and their embedded options. We then tested different asset allocation portfolios, based on the above mentioned criteria, through the recent past, to evaluate the impact of its results in the insurance company’s capacity to maintain the expected revenue generation in this kind of business. The results indicate that the strongest the correlation of the assets performance with the liabilities profile, the most efficient will be the hedging of the risks represented by the embedded options, and less volatile is the revenue generation of this line of business.