IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03968011.html

Factor investing in Brazil: Diversifying across factor tilts and allocation strategies

Author

Listed:
  • Alexandre Alles Rodrigues

    (IESEG School of Management Lille)

  • Fabrizio Casalin

    (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - ULCO - Université du Littoral Côte d'Opale - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

Abstract

We employ a methodology to construct multi-beta multi-strategy (MBMS) indices for the Brazilian equity market that can diversify the exposure to multiple rewarded risk factors and unrewarded strategy-specific risks. We do so by considering as many as six risk factors, and five allocation strategies. Empirical results show that the MBMS indices so obtained outperform the cap-weighted benchmark index in both absolute and risk-adjusted terms. We also show that the same indices have a higher probability of outperforming the market than the individual multi-strategy factor indices, and that such outperformance is persistent over time.

Suggested Citation

  • Alexandre Alles Rodrigues & Fabrizio Casalin, 2022. "Factor investing in Brazil: Diversifying across factor tilts and allocation strategies," Post-Print hal-03968011, HAL.
    • Handle: RePEc:hal:journl:hal-03968011
    DOI: 10.1016/j.ememar.2022.100906
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Rafaela Dezidério dos Santos Rocha & Márcio Laurini, 2023. "Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market," IJFS, MDPI, vol. 11(4), pages 1-31, December.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03968011. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.