Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?
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Data de Publicação: | 2020 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | BBR. Brazilian Business Review (English edition. Online) |
Texto Completo: | http://www.bbronline.com.br/index.php/bbr/article/view/616 |
Resumo: | This article proposes investment strategies targeted at unsophisticated investors and structured around persistence in returns, especially in the short and medium term (“momentum effect”). Sixty-four equally weighted portfolios were formed, through the variation of five different parameters: size, revision frequency, asset selection indicator, choice criterion, and formation period. The proposed portfolios’ performances were assessed from January 2009 to December 2018 and compared to the performance of BOVA11 (Exchange Traded Fund which aims to replicate Ibovespa, the main stock market index in Brazil). Transaction costs were considered. The results corroborate the hypothesis of the “momentum effect”. Winner portfolios also were indicated asgood alternatives as investment strategies, since they presented higher median returns and Sharpe ratios than the benchmark, as well as positive alphas. Additional tests showed that transaction costs can significantly impact the portfolios’ performances. The analysis presented in this paper shall be relevant to unsophisticated investors, introducing a competitive though easy-to-implement investment strategy. |
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Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors?Carteiras igualmente ponderadas e “efeito momentum”: uma combinação interessante para investidores não sofisticados?Momentum EffectEqually Weighted PortfoliosUnsophisticated InvestorStockEfeito momentoCarteiras igualmente ponderadasInvestidores não sofisticadosAçõesThis article proposes investment strategies targeted at unsophisticated investors and structured around persistence in returns, especially in the short and medium term (“momentum effect”). Sixty-four equally weighted portfolios were formed, through the variation of five different parameters: size, revision frequency, asset selection indicator, choice criterion, and formation period. The proposed portfolios’ performances were assessed from January 2009 to December 2018 and compared to the performance of BOVA11 (Exchange Traded Fund which aims to replicate Ibovespa, the main stock market index in Brazil). Transaction costs were considered. The results corroborate the hypothesis of the “momentum effect”. Winner portfolios also were indicated asgood alternatives as investment strategies, since they presented higher median returns and Sharpe ratios than the benchmark, as well as positive alphas. Additional tests showed that transaction costs can significantly impact the portfolios’ performances. The analysis presented in this paper shall be relevant to unsophisticated investors, introducing a competitive though easy-to-implement investment strategy.Este artigo propõe estratégias de investimento focadas em investidores sem sofisticação e estruturadas com base em persistência de retornos, especialmente em curto e médio prazos (“efeito momento”). Sessenta e quatro carteiras igualmente ponderadas foram formadas, por meio da variação de cinco diferentes parâmetros: tamanho, frequência de revisão, indicador para seleção dos ativos, critério para escolha e período de formação. Os desempenhos das carteiras propostas foram avaliados no período de janeiro de 2009 a dezembro de 2018 e comparados ao desempenho do BOVA11 (fundo de índice que tem como objetivo replicar o Ibovespa, principal índice do mercado acionário brasileiro). Os custos transacionais foram considerados. Os resultados corroboram a hipótese de efeito momento. As carteiras vencedoras se mostraram também boas alternativas em termos de estratégia de investimento, visto que apresentaram retorno mediano e Índice de Sharpe superiores aos do benchmark, além de alfas positivos. Testes adicionais apontaram que os custos transacionais podem impactar de forma significativa os desempenhos dos portfólios. A análise apresentada neste artigo é relevante para investidores não sofisticados, ao introduzir uma estratégia de investimento competitiva, porém de fácil implementação.FUCAPE Business Shool2020-09-02info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/61610.15728/bbr.2020.17.5.2Brazilian Business Review; Vol. 17 No. 5 (2020): September to October 2020; 506-522Brazilian Business Review; v. 17 n. 5 (2020): Setembro a Outubro de 2020; 506-5221808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/616/923http://www.bbronline.com.br/index.php/bbr/article/view/616/924Copyright (c) 2020 Brazilian Business Reviewhttp://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessCiviletti, FabioCampani, CarlosRoquete, Raphael2020-09-02T20:08:25Zoai:ojs.pkp.sfu.ca:article/616Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2020-09-02T20:08:25BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false |
dc.title.none.fl_str_mv |
Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors? Carteiras igualmente ponderadas e “efeito momentum”: uma combinação interessante para investidores não sofisticados? |
title |
Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors? |
spellingShingle |
Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors? Civiletti, Fabio Momentum Effect Equally Weighted Portfolios Unsophisticated Investor Stock Efeito momento Carteiras igualmente ponderadas Investidores não sofisticados Ações |
title_short |
Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors? |
title_full |
Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors? |
title_fullStr |
Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors? |
title_full_unstemmed |
Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors? |
title_sort |
Equally weighted portfolios and “momentum effect”: an interesting combination for unsophisticated investors? |
author |
Civiletti, Fabio |
author_facet |
Civiletti, Fabio Campani, Carlos Roquete, Raphael |
author_role |
author |
author2 |
Campani, Carlos Roquete, Raphael |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Civiletti, Fabio Campani, Carlos Roquete, Raphael |
dc.subject.por.fl_str_mv |
Momentum Effect Equally Weighted Portfolios Unsophisticated Investor Stock Efeito momento Carteiras igualmente ponderadas Investidores não sofisticados Ações |
topic |
Momentum Effect Equally Weighted Portfolios Unsophisticated Investor Stock Efeito momento Carteiras igualmente ponderadas Investidores não sofisticados Ações |
description |
This article proposes investment strategies targeted at unsophisticated investors and structured around persistence in returns, especially in the short and medium term (“momentum effect”). Sixty-four equally weighted portfolios were formed, through the variation of five different parameters: size, revision frequency, asset selection indicator, choice criterion, and formation period. The proposed portfolios’ performances were assessed from January 2009 to December 2018 and compared to the performance of BOVA11 (Exchange Traded Fund which aims to replicate Ibovespa, the main stock market index in Brazil). Transaction costs were considered. The results corroborate the hypothesis of the “momentum effect”. Winner portfolios also were indicated asgood alternatives as investment strategies, since they presented higher median returns and Sharpe ratios than the benchmark, as well as positive alphas. Additional tests showed that transaction costs can significantly impact the portfolios’ performances. The analysis presented in this paper shall be relevant to unsophisticated investors, introducing a competitive though easy-to-implement investment strategy. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-09-02 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artigo revisado pelos pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/616 10.15728/bbr.2020.17.5.2 |
url |
http://www.bbronline.com.br/index.php/bbr/article/view/616 |
identifier_str_mv |
10.15728/bbr.2020.17.5.2 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/616/923 http://www.bbronline.com.br/index.php/bbr/article/view/616/924 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2020 Brazilian Business Review http://creativecommons.org/licenses/by/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2020 Brazilian Business Review http://creativecommons.org/licenses/by/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FUCAPE Business Shool |
publisher.none.fl_str_mv |
FUCAPE Business Shool |
dc.source.none.fl_str_mv |
Brazilian Business Review; Vol. 17 No. 5 (2020): September to October 2020; 506-522 Brazilian Business Review; v. 17 n. 5 (2020): Setembro a Outubro de 2020; 506-522 1808-2386 1807-734X reponame:BBR. Brazilian Business Review (English edition. Online) instname:Fucape Business School (FBS) instacron:FBS |
instname_str |
Fucape Business School (FBS) |
instacron_str |
FBS |
institution |
FBS |
reponame_str |
BBR. Brazilian Business Review (English edition. Online) |
collection |
BBR. Brazilian Business Review (English edition. Online) |
repository.name.fl_str_mv |
BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS) |
repository.mail.fl_str_mv |
|| bbronline@bbronline.com.br |
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1754732239601532928 |