CAN DYNAMIC POSITIONS IN AGRICULTURAL FUTURES IMPROVE THE PERFORMANCE OF A DIVERSIFIED INVESTMENT PORTFOLIO?

Rodrigo Lanna Franco Silveira () and Geraldo Sant'Anna de Camargo Barros ()
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Rodrigo Lanna Franco Silveira: Universidade Estadual de Campinas
Geraldo Sant'Anna de Camargo Barros: Universidade de São Paulo (USP); Centro de Estudos Avançados em Economia Aplicada (Cepea).

Revista de Economia Mackenzie (REM), 2010, vol. 8, issue 2, 101-123

Abstract: This study evaluated and compared the impacts of adopting dynamic and static strategies in agricultural futures contracts, negotiated at BM&FBovespa, on the risk and return of a diversified portfolio, between 1994 and 2007. Using the Portfolio Theory, the presence of dynamic positions in commodity futures was verified in optimal portfolios for the period 2001-2007 and for three sample periods. However, the frontier moves were not statistically signi-ficant. The Guepardo and Sparta funds, characterized by dynamic manage-ment of the agricultural derivatives, also presented high participation on op-timal portfolios. Moreover, they allowed the portfolio to achieve return levels that the original portfolio would not be able to achieve. Nevertheless, once again, the frontier expansions were not statistically significant.

Keywords: Risk; Diversification; Portfolio. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:8:2:2010:may:aug:p:101-123

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