SciELO - Scientific Electronic Library Online

 
vol.19 issue46In search of a plan for ranking international accounting periodicals for Qualis CAPESAdherence to the Balanced Scorecard in public and private companies author indexsubject indexarticles search
Home Pagealphabetic serial listing  

Services on Demand

Journal

Article

Indicators

Related links

Share


Revista Contabilidade & Finanças

Print version ISSN 1519-7077On-line version ISSN 1808-057X

Abstract

COSTA, Thiago de Melo Teixeira da  and  PIACENTI, Carlos Alberto. Use of agricultural future contract in the mean investment profile of pension funds in Brazil. Rev. contab. finanç. [online]. 2008, vol.19, n.46, pp.59-72. ISSN 1519-7077.  https://doi.org/10.1590/S1519-70772008000100006.

Pension Funds have become increasingly representative internationally and nationally. These institutions present an efficient administration of their investment portfolios. At the same time, the negotiations with agricultural future contracts are increasingly consolidated in Brazil as an alternative for investors wanting to diversify their portfolios. This work aimed to evaluate the viability of using agricultural derivatives as a form of minimizing the risks of investment portfolios of Pension Funds in Brazil, within the legal limits those entities are submitted to, based on these institutions profile in relation to the allocation of their investments in the country. Thus, the performance of portfolios without and with 1% agricultural derivatives was assessed. The risk analyses were accomplished through the model Value-atrisk (VaR), using conditional variance models (Family GARCH) for the extraction of the daily series of volatilities. The returns were risk-weighted by the Adapted Sharpe Index (ASI). The results showed that, within the established parameters for each investment modality, the introduction of agricultural future contracts was beneficial for all the proposed profiles, reducing the risk more than proportionally to the return. The work becomes more significant as the financial figures involved are analyzed. Assuming, for instance, that the Pension Funds invest, overall, 1% of their assets, it is expected that over R$ 2 billion would be injected into the future market of agricultural commodities, a value representing approximately 10% of all invested resources in financial movements for 2004.

Keywords : Pension Funds; Agricultural derivatives; Value-at-Risk; Adapted Sharpe Index.

        · abstract in Portuguese     · text in Portuguese     · Portuguese ( pdf )

 

Creative Commons License All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License