Valor-Coppead Indices, Equally Weighed and Minimum Variance Portfolios
Ricardo Pereira Câmara Leal () and
Carlos Heitor Campani ()
Additional contact information
Ricardo Pereira Câmara Leal: The Coppead Graduate School of Business at the Federal University of Rio de Janeiro (UFRJ)
Brazilian Review of Finance, 2016, vol. 14, issue 1, 45-64
This article presents a literature review that justified the creation of the equally weighed and minimum variance Valor-Coppead stock indices and offers details about its calculation. There was no Brazilian stock index with these simple portfolio formation rules attainable by the non-sophisticated investor. An index that uses the minimum variance portfolio in the efficient frontier, with limits on the weights, offers an optimized portfolio less affected by errors in estimates. Equally weighed portfolios with up to 20 stocks displayed a performance superior to that of the majority of Brazilian stock funds and comparable to that of the minimum variance portfolio with constrained weights, but portfolios optimized with more complex methods, may outclass equally weighed portfolios. The previous three or four months Sharpe ratio stock selection criterion is relevant. The literature reviewed supported that the Valor-Coppead indices may become relevant benchmarks for non-sophisticated investors.
Keywords: Índices Valor-Coppead; carteiras igualmente ponderadas; carteiras de variância mínima; seleção de ações; investimentos. (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:14:y:2016:i:1:p:45-64
Access Statistics for this article
Brazilian Review of Finance is currently edited by Marcio Laurini
More articles in Brazilian Review of Finance from Brazilian Society of Finance
Bibliographic data for series maintained by Marcio Laurini ().