Composição de carteiras por mínima variância: comparação com benchmarks de mercado
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2016-08
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Portfolio optimization strategies are advocated as being able to allow the composition of stocks portfolios that provide returns above market benchmarks. This study aims to determine whether, in fact, portfolios based on the minimum variance strategy, optimized by the Modern Portfolio Theory, are able to achieve earnings above market benchmarks in Brazil. Time series of 36 securities traded on the BM&FBOVESPA have been analyzed in a long period of time (1999-2012), with sample windows of 12, 36, 60 and 120 monthly observations. The results indicated that the minimum variance portfolio performance is superior to market benchmarks (CDI and IBOVESPA) in terms of return and risk-adjusted return, especially in medium and long-term investment horizons.