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Revista de Economia e Sociologia Rural

Print version ISSN 0103-2003

Abstract

SILVEIRA, Rodrigo Lanna Franco da  and  BARROS, Geraldo Sant'Ana de Camargo. Uma análise da alocação de contratos futuros sobre commodities em portfólios diversificados. Rev. Econ. Sociol. Rural [online]. 2010, vol.48, n.1, pp.195-222. ISSN 0103-2003.  http://dx.doi.org/10.1590/S0103-20032010000100009.

This paper analyzed the impact of including commodity futures (arabica coffee, soybean, corn, crystal sugar, ethanol and fed cattle), negotiated at Securities, Commodity and Futures Exchange (BM&FBovespa), in the performance of a diversified portfolio, composed by stocks, bonds, gold and dollar, between August of 1994 and December of 2007, when were studied the complete time break and subdivisions of two and three periods, adding a biannual analysis. Different strategies with these derivatives were considered: buy and hold or sell and hold contracts of first settlement or that took six months to maturity. Using the Portfolio Theory, results in biannual analysis and over the time periods 1994-1998 and 1999-2003 showed improvement in portfolio efficiency, but without statistical significance, according methodology used by Gibbons, Ross e Shanken (1989).

Keywords : Commodity futures contracts; Portfolio; Risk; Diversification.

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