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Economia Aplicada

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THOME NETO, César; LEAL, Ricardo Pereira Câmara  and  ALMEIDA, Vinício de Souza e. Um índice de mínima variância de ações brasileiras. Econ. Apl. [online]. 2011, vol.15, n.4, pp.535-557. ISSN 1413-8050.

This paper develops an index of global minimum variance portfolio (MVP) for the most liquid stocks in Brazil. The unconstrained MVP shows no significant difference in performance over the IBOVESPA. The imposition of a ten percent ceiling on the MVP weights for each asset made it possible to beat the IBOVESPA. However, this strategy is comparable to an equally weighed portfolio and is beaten by a number of actively managed stock funds in out of the sample tests. Nevertheless, these constraints facilitate the replication of the MVP by individual investors and by ETFs and support the power of naive diversification strategies.

Keywords : Minimum Variance Portfolio; Fund Performance; Portfolio Selection.

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