Diversificação com alternativosanálise da inclusão de criptomoedas em um portfólio de ações do mercado brasileiro

Resumo

The inclusion of cryptocurrencies in investment portfolios, especially Bitcoin, has been an increasingly popular subject in the media and it has aroused interest not only among individual investors but also in large corporations and financial institutions. Considering this popularization and change of discourse on the part of such entities, nowadays there is already talk about the role of these assets in diversifying and hedging portfolios. A large literature on this topic has been developed in recent years, mainly for the American market. However, studies are scarce for emerging economies, especially for the Brazilian market. Given the above, the objective of this work was to fill this gap, by verifying the effect of including a cryptocurrency index to a portfolio of Brazilian stocks. For this purpose, models from the GARCH family were used to obtain volatilities (more specifically the univariate models EGARCH and TGARCH). The ADCC-GARCH multivariate model was used to obtain the covariances (all these models are capable of capturing asymmetries effects). Two portfolios were obtained: The global minimum variance and the optimal risky, initially composed of the ETFs BOVA11 and SMAL11. Then, a representative index of the cryptocurrencies was created and introduced to these portfolios. Once they were defined, the VaR (Value at Risk) and the percentage contribution of each position to the total VaR were calculated. Intuitively, given the extreme volatility of cryptocurrencies, the idea of hedging might be controversial. In fact, this study concludes that the addition of cryptocurrencies to these stocks’ portfolios does not reduce risk on average, it indicates that a focus on correlations is insufficient for high levels of volatility. Such addition proved to be more beneficial for increasing the profitability of the portfolios than for risk diversification.

Ficha do documento

Tipo

Dissertação

Ano

2023

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/33795

Temas

Economia

Palavras-chave

CriptomoedasDiversificaçãoRentabilidadeRiscosMercado financeiroInvestimentosBitcoinRisco (Economia)Volatilidade (Finanças)