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

• Autor(a) principal: Cardoso, Hedmilton Mourão
• Data de Publicação: 2012
• Outros Autores: Barbedo, Claudio Henrique da Silveira, Vicente, José Valentim Machado
• 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/272
• topic: Total Return; dynamic allocation; asset class; risk management; Retorno total; alocação dinâmica; classe de ativos; gestão de risco

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.