Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds

Detalhes bibliográficos
Autor(a) principal: Caldeira, Joao
Data de Publicação: 2014
Outros Autores: Moura, Guilherme, Portela, André, Tessari, Cristina
Tipo de documento: Artigo
Idioma: por
Título da fonte: RAM. Revista de Administração Mackenzie
Texto Completo: https://editorarevistas.mackenzie.br/index.php/RAM/article/view/4831
Resumo: The modern portfolio theory is based on the idea that diversification of a portfolio results in a better relationship between risk and return. Recently, managers have tried to extend the diversification of their portfolios by investing in fund of funds that, in turn, already contains diversified portfolios. With that comes growing interest from academic and market participants in the selection of portfolios formed by investment funds. In this paper, the applicability and performance out of sample of quantitative portfolio optimization strategies to build portfolios of funds will be analyzed. The performance of these portfolios of investment funds will be compared with the performance of the naive equally weighted portfolio, the Ibovespa index and the fixed income index, IRF-M. To obtain optimal portfolios, restricted to short selling, we determine an optimization problem of portfolios composed of 388 Brazilian hedge (multimarket) funds over five years traded in the Brazilian market. For modeling of the covariance matrix of returns of 388 funds is used a heteroscedastic factorial parsimonious model. Considering different frequencies for the portfolio re-balancing frequency (daily, weekly and monthly), the measures of performance out of the sample show that the optimal portfolios exhibit superior results in terms of volatility, risk-adjusted performance, turnover and transaction costs over time. In particular, the results based on robust statistical tests indicate that the Sharpe ratio (SR) of the mean-variance portfolios and that of the minimum-variance portfolios were statistically different (higher) compared to the SR of the benchmark index in all portfolio re-balancing frequencies used in the paper. Regarding the standard deviation, statistical tests employed in the paper showed that the volatility of the minimum-variance portfolios is statistically different (lower) than the volatility of the benchmark index. Similar results were found when comparing the performance of the optimal portfolios with respect to the Ibovespa index and the equally- weighted portfolio.
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spelling Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of FundsOptimización de Cartera Através de Modelos Factoriales Heterocedásticos: Aplicación para Fondos de Fondos MultimercadosSeleção de Carteiras com Modelos Fatoriais Heterocedásticos: Aplicação para Fundos de Fundos MultimercadosMultivariate GARCH. Dynamic Conditional Correlation (DCC). Performance Evaluation. Fund of Funds. Portfolio Optimization.GARCH Multivariado. Correlación Condicional Dinámica (DCC). Evaluación del Desempeño. Fondo de Fondos. Optimización de Carteras.GARCH multivariadocorrelação condicional dinâmica – DCCanálise de desempenhofundo de fundosotimização de carteiras.The modern portfolio theory is based on the idea that diversification of a portfolio results in a better relationship between risk and return. Recently, managers have tried to extend the diversification of their portfolios by investing in fund of funds that, in turn, already contains diversified portfolios. With that comes growing interest from academic and market participants in the selection of portfolios formed by investment funds. In this paper, the applicability and performance out of sample of quantitative portfolio optimization strategies to build portfolios of funds will be analyzed. The performance of these portfolios of investment funds will be compared with the performance of the naive equally weighted portfolio, the Ibovespa index and the fixed income index, IRF-M. To obtain optimal portfolios, restricted to short selling, we determine an optimization problem of portfolios composed of 388 Brazilian hedge (multimarket) funds over five years traded in the Brazilian market. For modeling of the covariance matrix of returns of 388 funds is used a heteroscedastic factorial parsimonious model. Considering different frequencies for the portfolio re-balancing frequency (daily, weekly and monthly), the measures of performance out of the sample show that the optimal portfolios exhibit superior results in terms of volatility, risk-adjusted performance, turnover and transaction costs over time. In particular, the results based on robust statistical tests indicate that the Sharpe ratio (SR) of the mean-variance portfolios and that of the minimum-variance portfolios were statistically different (higher) compared to the SR of the benchmark index in all portfolio re-balancing frequencies used in the paper. Regarding the standard deviation, statistical tests employed in the paper showed that the volatility of the minimum-variance portfolios is statistically different (lower) than the volatility of the benchmark index. Similar results were found when comparing the performance of the optimal portfolios with respect to the Ibovespa index and the equally- weighted portfolio.La teoría moderna de la cartera se basa en la idea de que la diversificación de una cartera da lugar a una mejor relación entre riesgo y rendimiento. Recientemente, los gestores han tratado de ampliar la diversificación de sus carteras mediante la inversión en cuotas de fondos de inversión diferentes que, a su vez, contienen carteras diversificadas. Con esto viene el creciente interés académico y de los participantes del mercado en la selección de las carteras formadas por fondos de inversión. En este trabajo, la aplicabilidad y el rendimiento fuera de la muestra de estrategias cuantitativas de optimización de carteras de fondos de inversión serán analizados. El desempeño de estas carteras de fondos de inversión será comparado con el desempeño de la cartera ingenua igualmente ponderada, con el índice Ibovespa e con el índice de ingreso fijo, IRF-M. Para obtener carteras óptimas, restringido a venta corta, formulase un problema de optimización de carteras compuestas de 388 fondos de inversión brasileños multimercado a lo largo de cinco años. Para la modelización de la matriz de covarianzas de los rendimientos de los 388 fondos emplease un modelo factorial heterocedástico parsimonioso. Tomando en cuenta distintas frecuencias de rebalanceo de las carteras optimizadas, las medidas de rendimiento fuera de la muestra indican que las estrategias de optimización cuantitativas proporcionan resultados superiores en términos de volatilidad, rendimiento ajustado al riesgo, turnover y costes de transacción a lo largo del tiempo. En particular, los resultados indican que el ratio de Sharpe (S) de la cartera media-varianza y de la cartera de mínima varianza fueron estadísticamente diferentes (superior) en comparación con el reequilibrio de referencia se utilizan todas las frecuencias. Con respecto a la desviación estándar, las pruebas estadísticas muestran que la volatilidad de las carteras de varianza mínima es estadísticamente diferente (menor) que la volatilidad del índice de referencia. Se encontraron resultados similares cuando se compara el rendimiento de las carteras optimizadas con respecto al índice Bovespa y la cartera igualmente ponderada.A teoria moderna do portfólio é baseada na noção de que a diversificação de uma carteira de investimento gera portfólios com uma melhor relação entre risco e retorno. Ultimamente, gestores vem tentando ampliar a diversificação de suas carteiras através do investimento em cotas de diferentes fundos de investimento que, por sua vez, já contem portfólios diversificados. Com isso, vem crescendo o interesse acadêmico e de participantes do mercado na seleção de carteiras formadas por fundos de investimento. Neste trabalho, a aplicabilidade e o desempenho fora da amostra de estratégias quantitativas de otimização para a construção de carteiras de fundos será analisada. O desempenho destas carteiras de fundos otimizadas será comparada ao desempenho do portfólio ingênuo igualmente ponderado e da carteira teórica do índice Ibovespa. Para a obtenção de portfólios ótimos, restritos para venda a descoberto, formula-se um problema de otimização de portfólios compostos por 388 fundos de investimento multimercado brasileiros ao longo de cinco anos. Para a modelagem da matriz de covariância dos retornos destes 388 fundos é empregado um modelo fatorial heterocedástico parcimonioso. Tomando como base diferentes frequências de rebalanceamento dos pesos, as medidas de desempenho fora da amostra indicam que as estratégias quantitativas de otimização proporcionam resultados superiores em termos de volatilidade, desempenho ajustado ao risco, turnover e custos de transação ao longo do tempo.Editora Mackenzie2014-02-06info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionEconometriaapplication/pdfapplication/mswordhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/4831Revista de Administração Mackenzie; Vol. 15 No. 2 (2014)Revista de Administração Mackenzie; Vol. 15 Núm. 2 (2014)Revista de Administração Mackenzie (Mackenzie Management Review); v. 15 n. 2 (2014)1678-69711518-6776reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEporhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/4831/4728https://editorarevistas.mackenzie.br/index.php/RAM/article/view/4831/8819Copyright (c) 2015 Revista de Administração Mackenzieinfo:eu-repo/semantics/openAccessCaldeira, JoaoMoura, GuilhermePortela, AndréTessari, Cristina2014-05-15T16:59:59Zoai:ojs.editorarevistas.mackenzie.br:article/4831Revistahttps://editorarevistas.mackenzie.br/index.php/RAM/PUBhttps://editorarevistas.mackenzie.br/index.php/RAM/oairevista.adm@mackenzie.br1678-69711518-6776opendoar:2024-04-19T17:00:53.435240RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)false
dc.title.none.fl_str_mv Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds
Optimización de Cartera Através de Modelos Factoriales Heterocedásticos: Aplicación para Fondos de Fondos Multimercados
Seleção de Carteiras com Modelos Fatoriais Heterocedásticos: Aplicação para Fundos de Fundos Multimercados
title Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds
spellingShingle Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds
Caldeira, Joao
Multivariate GARCH. Dynamic Conditional Correlation (DCC). Performance Evaluation. Fund of Funds. Portfolio Optimization.
GARCH Multivariado. Correlación Condicional Dinámica (DCC). Evaluación del Desempeño. Fondo de Fondos. Optimización de Carteras.
GARCH multivariado
correlação condicional dinâmica – DCC
análise de desempenho
fundo de fundos
otimização de carteiras.
title_short Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds
title_full Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds
title_fullStr Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds
title_full_unstemmed Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds
title_sort Portfolio Selection Based on Factorial Heteroskedastic Models: Application to Fund of Funds
author Caldeira, Joao
author_facet Caldeira, Joao
Moura, Guilherme
Portela, André
Tessari, Cristina
author_role author
author2 Moura, Guilherme
Portela, André
Tessari, Cristina
author2_role author
author
author
dc.contributor.author.fl_str_mv Caldeira, Joao
Moura, Guilherme
Portela, André
Tessari, Cristina
dc.subject.por.fl_str_mv Multivariate GARCH. Dynamic Conditional Correlation (DCC). Performance Evaluation. Fund of Funds. Portfolio Optimization.
GARCH Multivariado. Correlación Condicional Dinámica (DCC). Evaluación del Desempeño. Fondo de Fondos. Optimización de Carteras.
GARCH multivariado
correlação condicional dinâmica – DCC
análise de desempenho
fundo de fundos
otimização de carteiras.
topic Multivariate GARCH. Dynamic Conditional Correlation (DCC). Performance Evaluation. Fund of Funds. Portfolio Optimization.
GARCH Multivariado. Correlación Condicional Dinámica (DCC). Evaluación del Desempeño. Fondo de Fondos. Optimización de Carteras.
GARCH multivariado
correlação condicional dinâmica – DCC
análise de desempenho
fundo de fundos
otimização de carteiras.
description The modern portfolio theory is based on the idea that diversification of a portfolio results in a better relationship between risk and return. Recently, managers have tried to extend the diversification of their portfolios by investing in fund of funds that, in turn, already contains diversified portfolios. With that comes growing interest from academic and market participants in the selection of portfolios formed by investment funds. In this paper, the applicability and performance out of sample of quantitative portfolio optimization strategies to build portfolios of funds will be analyzed. The performance of these portfolios of investment funds will be compared with the performance of the naive equally weighted portfolio, the Ibovespa index and the fixed income index, IRF-M. To obtain optimal portfolios, restricted to short selling, we determine an optimization problem of portfolios composed of 388 Brazilian hedge (multimarket) funds over five years traded in the Brazilian market. For modeling of the covariance matrix of returns of 388 funds is used a heteroscedastic factorial parsimonious model. Considering different frequencies for the portfolio re-balancing frequency (daily, weekly and monthly), the measures of performance out of the sample show that the optimal portfolios exhibit superior results in terms of volatility, risk-adjusted performance, turnover and transaction costs over time. In particular, the results based on robust statistical tests indicate that the Sharpe ratio (SR) of the mean-variance portfolios and that of the minimum-variance portfolios were statistically different (higher) compared to the SR of the benchmark index in all portfolio re-balancing frequencies used in the paper. Regarding the standard deviation, statistical tests employed in the paper showed that the volatility of the minimum-variance portfolios is statistically different (lower) than the volatility of the benchmark index. Similar results were found when comparing the performance of the optimal portfolios with respect to the Ibovespa index and the equally- weighted portfolio.
publishDate 2014
dc.date.none.fl_str_mv 2014-02-06
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Econometria
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://editorarevistas.mackenzie.br/index.php/RAM/article/view/4831
url https://editorarevistas.mackenzie.br/index.php/RAM/article/view/4831
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://editorarevistas.mackenzie.br/index.php/RAM/article/view/4831/4728
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/4831/8819
dc.rights.driver.fl_str_mv Copyright (c) 2015 Revista de Administração Mackenzie
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2015 Revista de Administração Mackenzie
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/msword
dc.publisher.none.fl_str_mv Editora Mackenzie
publisher.none.fl_str_mv Editora Mackenzie
dc.source.none.fl_str_mv Revista de Administração Mackenzie; Vol. 15 No. 2 (2014)
Revista de Administração Mackenzie; Vol. 15 Núm. 2 (2014)
Revista de Administração Mackenzie (Mackenzie Management Review); v. 15 n. 2 (2014)
1678-6971
1518-6776
reponame:RAM. Revista de Administração Mackenzie
instname:Universidade Presbiteriana Mackenzie (MACKENZIE)
instacron:MACKENZIE
instname_str Universidade Presbiteriana Mackenzie (MACKENZIE)
instacron_str MACKENZIE
institution MACKENZIE
reponame_str RAM. Revista de Administração Mackenzie
collection RAM. Revista de Administração Mackenzie
repository.name.fl_str_mv RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)
repository.mail.fl_str_mv revista.adm@mackenzie.br
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