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

Author

Listed:
  • Hedmilton Mourão Cardoso

    (IBMEC-RJ)

  • Claudio Henrique da Silveira Barbedo

    (IBMEC-RJ)

  • José Valentim Machado Vicente

    (IBMEC-RJ)

Abstract

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.

Suggested Citation

  • Hedmilton Mourão Cardoso & Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente, 2012. "Dynamic strategies to optimize asset allocation: empirical evidence in the Brazilian market," Brazilian Business Review, Fucape Business School, vol. 9(2), pages 109-133, April.
    • Handle: RePEc:bbz:fcpbbr:v:9:y:2012:i:2:p:109-133
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    References listed on IDEAS

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