Dynamic strategies to optimize asset allocation: empirical evidence in the Brazilian market

Hedmilton Mourão Cardoso, Claudio Henrique da Silveira Barbedo and José Valentim Machado Vicente
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Hedmilton Mourão Cardoso: IBMEC-RJ
Claudio Henrique da Silveira Barbedo: IBMEC-RJ
José Valentim Machado Vicente: IBMEC-RJ

Brazilian Business Review, 2012, vol. 9, issue 2, 109-133

Abstract: Short-term return bear influence on common investors and fund managers. However, the correct forecast of short-term market movements is not a trivial task. The purpose of this essay is to verify, according to Herold et al. (2007), if the dynamic allocation amongst main Brazilian asset classes can generate long-term gains and limit losses in shorter periods. The test results involving Ibovespa as the only risk asset confirmed this purpose. Tests involving fixed-income assets, variable-income assets and inflation-linked assets proved that the return is limited by this strategy. Static allocation and protection strategies were concurrently tested for short-term situations.

Keywords: Total Return; dynamic allocation; asset class; risk management. (search for similar items in EconPapers)
Date: 2012
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