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Previous issue date: 2018-02-23 / Brazilian pension funds have allocated 90% of their investments in fixed income and equity. The insertion of alternative investments, such as commodities, can improve the risk / return relationship since it carries zero correlation in comparison with the others. To verify if this new category can be considered as investment in a portfolio with the best risk / return ratio, the Sharpe Ratio was used to compare optimal portfolios that used commodities with others that did not use it. As a robustness test, we applied Ledoit and Wolf (2008), which compares two Sharpe Ratios in non-normal time series. The period considered is 2009 to 2017, we also observed periods of three years. The results showed that fixed income maintains high returns with low volatility and the portfolios resorts it, equities was not relevant for any period analyzed and investments in commodities were considered in the period of high interest of the economy. The Sharpe Ratio of that period was statistically higher than the traditional portfolio. / Os fundos de pens??o brasileiros t??m alocado 90% dos seus recursos em investimentos na classe de ativos de renda fixa e renda vari??vel. A inser????o de investimentos alternativos, como commodities, pode melhorar a rela????o risco/retorno dado que carrega correla????o nula em compara????o com as demais. Para verificar se essa nova categoria pode ser considerada como investimento em uma carteira com a melhor rela????o risco/retorno, fez-se o uso do ??ndice de Sharpe para comparar carteiras ??timas que utilizaram commodities com outras que n??o se utilizaram disso. Como teste de robustez usou-se de Ledoit e Wolf (2008) que compara dois ??ndices de Sharpe em s??ries temporais n??o normais. Al??m de investigar o per??odo de 2009 a 2017, foram observados tamb??m os tri??nios compreendidos nessa ??poca. Os resultados demonstraram que a renda fixa mant??m altos retornos com baixa volatilidade e as carteiras utilizaram bastaste dessa, o segmento de mercado renda vari??vel n??o foi relevante para nenhum per??odo analisado e os investimentos em commodities foram considerados no per??odo de alta de juros da economia. O ??ndice de Sharpe desse per??odo foi estatisticamente maior que a carteira tradicional.
Identifer | oai:union.ndltd.org:IBICT/oai:132.0.0.61:jspui/773 |
Date | 23 February 2018 |
Creators | SCOMMEGNA, Fabrizio Aguiar de Souza |
Contributors | SAMPAIO, Joelson Oliveira, BERGMANN, Daniel Reed, SILVA, Vinicius Augusto Brunassi |
Publisher | FECAP, Mestrado em Administra????o, FECAP, Brasil, Funda????o Escola de Com??rcio ??lvares Penteado |
Source Sets | IBICT Brazilian ETDs |
Language | Portuguese |
Detected Language | English |
Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
Format | application/pdf |
Source | reponame:Biblioteca Digital de Teses e Dissertações do FECAP, instname:Fundação Aramando Álvares Penteado, instacron:FAAP |
Rights | http://creativecommons.org/licenses/by-nc-nd/4.0/, info:eu-repo/semantics/openAccess |
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