Indexation of Fixed-Income Portfolios to the IMA-B

Detalhes bibliográficos
Autor(a) principal: Carvalhais, Emilio Ricardo
Data de Publicação: 2015
Outros Autores: Duarte Júnior, Antonio Marcos
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/129
Resumo: This study considers the problem of indexing fixed-income portfolios to the ANBIMA Market Index – Series B (IMA-B), composed of Brazilian National Treasury Notes – Series B (NTN-Bs). We propose a mathematical model that minimizes the deviations of the returns of the chosen portfolio in relation to the returns of the index’s theoretical portfolio. The resulting model is a mathematical programming problem with convex objective function, linear constraints and free and non-negative integer variables. Five numerical examples with real data are presented to illustrate the model’s practical use. The results obtained from the fits are analyzed together with data for funds indexed to the IMA-B existing in the Brazilian financial market. The proposed method resulted in fits with optimal control of the tracking errors of the indexed portfolio.
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spelling Indexation of Fixed-Income Portfolios to the IMA-BIndexação de Carteiras de Renda Fixa ao IMA-BIMA-BPassive managementIndexationNTN-BFixed incomeIMA-BGestão passivaIndexaçãoNTN-BRenda fixaThis study considers the problem of indexing fixed-income portfolios to the ANBIMA Market Index – Series B (IMA-B), composed of Brazilian National Treasury Notes – Series B (NTN-Bs). We propose a mathematical model that minimizes the deviations of the returns of the chosen portfolio in relation to the returns of the index’s theoretical portfolio. The resulting model is a mathematical programming problem with convex objective function, linear constraints and free and non-negative integer variables. Five numerical examples with real data are presented to illustrate the model’s practical use. The results obtained from the fits are analyzed together with data for funds indexed to the IMA-B existing in the Brazilian financial market. The proposed method resulted in fits with optimal control of the tracking errors of the indexed portfolio.Este estudo considera o problema da indexação de carteiras de renda fixa ao Índice de Mercado ANBIMA – Série B (IMA-B) utilizando Notas do Tesouro Nacional – Série B (NTN-B). Propõe-se um modelo matemático que minimiza os desvios dos retornos da carteira escolhida em relação aos retornos da carteira teórica do índice. O modelo resultante é um problema de programação matemática com função objetivo convexa, restrições lineares e variáveis inteiras, livres e não negativas. Cinco exemplos numéricos com dados reais são apresentados para ilustrar a utilização prática do modelo. Os resultados obtidos para os ajustes são analisados em conjunto com os dados de fundos indexados ao IMA-B existentes no mercado financeiro brasileiro. A metodologia proposta resultou em ajustes com ótimo controle dos erros de acompanhamento da carteira indexada.  FUCAPE Business Shool2015-05-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/12910.15728/bbr.2015.12.3.6Brazilian Business Review; Vol. 12 No. 3 (2015): May to June 2015; 116-142Brazilian Business Review; v. 12 n. 3 (2015): Maio a Junho de 2015; 116-1421808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/129/195http://www.bbronline.com.br/index.php/bbr/article/view/129/196Carvalhais, Emilio RicardoDuarte Júnior, Antonio Marcosinfo:eu-repo/semantics/openAccess2018-10-31T19:07:43Zoai:ojs.pkp.sfu.ca:article/129Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-10-31T19:07:43BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Indexation of Fixed-Income Portfolios to the IMA-B
Indexação de Carteiras de Renda Fixa ao IMA-B
title Indexation of Fixed-Income Portfolios to the IMA-B
spellingShingle Indexation of Fixed-Income Portfolios to the IMA-B
Carvalhais, Emilio Ricardo
IMA-B
Passive management
Indexation
NTN-B
Fixed income
IMA-B
Gestão passiva
Indexação
NTN-B
Renda fixa
title_short Indexation of Fixed-Income Portfolios to the IMA-B
title_full Indexation of Fixed-Income Portfolios to the IMA-B
title_fullStr Indexation of Fixed-Income Portfolios to the IMA-B
title_full_unstemmed Indexation of Fixed-Income Portfolios to the IMA-B
title_sort Indexation of Fixed-Income Portfolios to the IMA-B
author Carvalhais, Emilio Ricardo
author_facet Carvalhais, Emilio Ricardo
Duarte Júnior, Antonio Marcos
author_role author
author2 Duarte Júnior, Antonio Marcos
author2_role author
dc.contributor.author.fl_str_mv Carvalhais, Emilio Ricardo
Duarte Júnior, Antonio Marcos
dc.subject.por.fl_str_mv IMA-B
Passive management
Indexation
NTN-B
Fixed income
IMA-B
Gestão passiva
Indexação
NTN-B
Renda fixa
topic IMA-B
Passive management
Indexation
NTN-B
Fixed income
IMA-B
Gestão passiva
Indexação
NTN-B
Renda fixa
description This study considers the problem of indexing fixed-income portfolios to the ANBIMA Market Index – Series B (IMA-B), composed of Brazilian National Treasury Notes – Series B (NTN-Bs). We propose a mathematical model that minimizes the deviations of the returns of the chosen portfolio in relation to the returns of the index’s theoretical portfolio. The resulting model is a mathematical programming problem with convex objective function, linear constraints and free and non-negative integer variables. Five numerical examples with real data are presented to illustrate the model’s practical use. The results obtained from the fits are analyzed together with data for funds indexed to the IMA-B existing in the Brazilian financial market. The proposed method resulted in fits with optimal control of the tracking errors of the indexed portfolio.
publishDate 2015
dc.date.none.fl_str_mv 2015-05-01
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/129
10.15728/bbr.2015.12.3.6
url http://www.bbronline.com.br/index.php/bbr/article/view/129
identifier_str_mv 10.15728/bbr.2015.12.3.6
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/129/195
http://www.bbronline.com.br/index.php/bbr/article/view/129/196
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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. 12 No. 3 (2015): May to June 2015; 116-142
Brazilian Business Review; v. 12 n. 3 (2015): Maio a Junho de 2015; 116-142
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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