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Valor-Coppead Indices, Equally Weighed and Minimum Variance Portfolios

Author

Listed:
  • Ricardo Pereira Câmara Leal

    (The Coppead Graduate School of Business at the Federal University of Rio de Janeiro (UFRJ))

  • Carlos Heitor Campani

Abstract

This article presents a literature review that justified the creation of the equally weighed and minimum variance Valor-Coppead stock indices and offers details about its calculation. There was no Brazilian stock index with these simple portfolio formation rules attainable by the non-sophisticated investor. An index that uses the minimum variance portfolio in the efficient frontier, with limits on the weights, offers an optimized portfolio less affected by errors in estimates. Equally weighed portfolios with up to 20 stocks displayed a performance superior to that of the majority of Brazilian stock funds and comparable to that of the minimum variance portfolio with constrained weights, but portfolios optimized with more complex methods, may outclass equally weighed portfolios. The previous three or four months Sharpe ratio stock selection criterion is relevant. The literature reviewed supported that the Valor-Coppead indices may become relevant benchmarks for non-sophisticated investors.

Suggested Citation

  • Ricardo Pereira Câmara Leal & Carlos Heitor Campani, 2016. "Valor-Coppead Indices, Equally Weighed and Minimum Variance Portfolios," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(1), pages 45-64.
    • Handle: RePEc:brf:journl:v:14:y:2016:i:1:p:45-64
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    Citations

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    Cited by:

    1. Mateus Portelinha & Carlos Heitor Campani & Raphael Roquete, 2021. "The impacts of cryptocurrencies in the performance of Brazilian stocks' portfolios," Economics Bulletin, AccessEcon, vol. 41(3), pages 1919-1931.
    2. Raphael Moses Roquete & Ricardo P. C. Leal & Carlos Heitor Campani, 2018. "Corporate governance and fundamental indexation in Brazil," Economics Bulletin, AccessEcon, vol. 38(3), pages 1494-1504.

    More about this item

    Keywords

    Índices Valor-Coppead; carteiras igualmente ponderadas; carteiras de variância mínima; seleção de ações; investimentos.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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