Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100

Detalhes bibliográficos
Autor(a) principal: Duarte Junior, Antonio Marcos
Data de Publicação: 1996
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/12165
Resumo: Indexing is a passive investment strategy in which the investor weights bis portfolio to match the performance of a broad-based indexo Since severaI studies showed that indexed portfolios have consistently outperformed active management strategies over the last decades, an increasing number of investors has become interested in indexing portfolios IateIy. Brazilian financiaI institutions do not offer indexed portfolios to their clients at this point in time. In this work we propose the use of indexed portfolios to track the performance oftwo ofthe most important Brazilian stock indexes: the mOVESPA and the FGVIOO. We test the tracking performance of our modeI by a historical simulation. We applied several statistical tests to the data to verify how many stocks should be used to controI the portfolio tracking error within user specified bounds.
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spelling Duarte Junior, Antonio MarcosEscolas::EPGEFGV2014-10-21T11:15:51Z2014-10-21T11:15:51Z1996-04-11http://hdl.handle.net/10438/12165Indexing is a passive investment strategy in which the investor weights bis portfolio to match the performance of a broad-based indexo Since severaI studies showed that indexed portfolios have consistently outperformed active management strategies over the last decades, an increasing number of investors has become interested in indexing portfolios IateIy. Brazilian financiaI institutions do not offer indexed portfolios to their clients at this point in time. In this work we propose the use of indexed portfolios to track the performance oftwo ofthe most important Brazilian stock indexes: the mOVESPA and the FGVIOO. We test the tracking performance of our modeI by a historical simulation. We applied several statistical tests to the data to verify how many stocks should be used to controI the portfolio tracking error within user specified bounds.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessIndexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaIndexação (Economia)reponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000087756.pdf000087756.pdfapplication/pdf664469https://repositorio.fgv.br/bitstreams/b1ef1c06-d984-4d7e-8bfd-5175f5bb90fa/download9bcb9f379dcac0156878381dded3c03dMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/aa277a54-30a6-40e5-8ea1-87a25031fd28/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT000087756.pdf.txt000087756.pdf.txtExtracted 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dc.title.eng.fl_str_mv Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100
title Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100
spellingShingle Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100
Duarte Junior, Antonio Marcos
Economia
Indexação (Economia)
title_short Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100
title_full Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100
title_fullStr Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100
title_full_unstemmed Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100
title_sort Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100
author Duarte Junior, Antonio Marcos
author_facet Duarte Junior, Antonio Marcos
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Duarte Junior, Antonio Marcos
dc.subject.area.por.fl_str_mv Economia
topic Economia
Indexação (Economia)
dc.subject.bibliodata.por.fl_str_mv Indexação (Economia)
description Indexing is a passive investment strategy in which the investor weights bis portfolio to match the performance of a broad-based indexo Since severaI studies showed that indexed portfolios have consistently outperformed active management strategies over the last decades, an increasing number of investors has become interested in indexing portfolios IateIy. Brazilian financiaI institutions do not offer indexed portfolios to their clients at this point in time. In this work we propose the use of indexed portfolios to track the performance oftwo ofthe most important Brazilian stock indexes: the mOVESPA and the FGVIOO. We test the tracking performance of our modeI by a historical simulation. We applied several statistical tests to the data to verify how many stocks should be used to controI the portfolio tracking error within user specified bounds.
publishDate 1996
dc.date.issued.fl_str_mv 1996-04-11
dc.date.accessioned.fl_str_mv 2014-10-21T11:15:51Z
dc.date.available.fl_str_mv 2014-10-21T11:15:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12165
url http://hdl.handle.net/10438/12165
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Seminários de pesquisa econômica da EPGE
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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