Um índice de mínima variância de ações brasileiras

Abstract

This paper develops an index of global minimum variance portfolio (MVP) for the most liquid stocks in Brazil using the methodology created by Markowitz (1952). Kahneman and Tversky (1991) argue that losses and disadvantages have greater impact on people's preferences than gains and advantages. This was one motivation for studying the wider use of the MVP. Moreover, this index should be easily replicated and compared to the major stock indexes in Brazil, serving as investment option for individuals and financial institutions through an exchange-traded fund or as alternative benchmark for stock mutual funds. We used the prices of stocks that were part of the Bovespa index from January 1998 to December 2008. Several portfolios were created with different constraints on the maximum stock weight. Robustness tests were conducted to evaluate the consistency of the MVP indexes relative to changes in the calculation methodology and the impact of extreme values. The performance of the MVP index was compared to the Bovespa index and to successful mutual funds. The unconstrained MVP shows no significant difference in performance over the Ibovespa and the mutual funds. However, the imposition of ten percent ceiling on the MVP weights for each asset made it possible to beat the Bovespa index and the funds in out of the sample tests. These constraints facilitate the replication of the MVP by individual investors.