Uma análise da alocação de contratos futuros sobre commodities em portfólios diversificados
No hay miniatura disponible
Fecha
Título de la revista
ISSN de la revista
Título del volumen
Editor
Resumen
Descripción
This paper analyzed the impact of including commodity futures (arabica coffee,
soybean, corn, crystal sugar, ethanol and fed cattle), negotiated at Securities, Commodity
and Futures Exchange (BM&FBovespa), in the performance of a diversified portfolio,
composed by stocks, bonds, gold and dollar, between August of 1994 and December of 2007,
when were studied the complete time break and subdivisions of two and three periods, adding
a biannual analysis. Different strategies with these derivatives were considered: buy and
hold or sell and hold contracts of first settlement or that took six months to maturity. Using he Portfolio Theory, results in biannual analysis and over the time periods 1994-1998 and
1999-2003 showed improvement in portfolio efficiency, but without statistical significance,
according methodology used by Gibbons, Ross e Shanken (1989).