Coexistência de momentum e reversão à médiaaplicação em portfólio composto por setores da economia norte-americana

Resumo

One of the central objectives in Behavioral Finance is to examine the effects of human behavior biases on asset pricing. The first sight dichotomy between the two major effects described by academia, momentum and mean reversal, draws attention of several researches and motivates the outgoing essay, proposing itself to explore these factors in portfolios composed by ETFs aimed to represent sectors of North-American economy. To this end, it was considered the time frame between 1999 and 2018 aiming the construction of momentum and mean reversal strategies, with varying formation periods, and then observe their returns. Wei (2011) points to coexistence of momentum and reversal, prevailing the factor accordingly to each asset volatility (momentum being associated with high volatility and reversal with low levels of volatility –considering companies with large market capitalization). Therefore, after defining which formation period is better for each criterion, strategies are mixed according to the detected market volatility regime, verifying that the combination between them beats the S&P-500, compared with indicators like return, drawdown, Shape Index and volatility. The dissertation compares returns’ histograms of the mixed strategy and the market index, pointing again to the conclusion of first’ superiority, presenting more desirable characteristics of mean, asymmetry and kurtosis. A regression was done controlling returns for CAPM, indicating high statistical significance for the mixed strategy alpha.

Ficha do documento

Tipo

Dissertação

Ano

2019

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/28090

Temas

EconomiaDados

Palavras-chave

MomentumReversão à médiaTeoria de carteirasMean reversalPortfolio theoryEconomiaTítulos (Finanças)Carteiras (Finanças) - AdministraçãoVolatilidade (Finanças)