Estratégia momentum com ações no Brasilanálise prática e gestão de risco

Resumo

This study investigates the viability of the momentum strategy, which relies on the thesis of return persistence, in the Brazilian stock market. Although the effectiveness of such strategy has been proven in various international markets, this approach faces theoretical difficulties in justifying its success in the context of efficient markets hypothesis, and there has not yet been a consensus in Brazilian literature regarding its local applicability. Data from the Brazilian stock market from 2004 to 2023 were analyzed, covering various economic and political crises. Back tests of portfolios with different parameters were conducted, along with the implementation of a risk management process to mitigate possible abrupt losses. Overall, the results confirm the effectiveness of the momentum strategy in Brazil, emphasizing the importance of an effective risk management process to optimize results and minimize extreme losses. Additional tests suggest that simplifications, such as replacing losing stocks with BOVA11, can be profitable and more accessible for less sophisticated investors.

Ficha do documento

Tipo

Dissertação

Ano

2024

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/35520

Temas

Economia

Palavras-chave

AçõesInvestimentoQuantitativoMomentumStocksInvestmentQuantitativeEconomiaAções (Finanças) - PreçosMercado financeiro - BrasilInvestimentos - AnáliseAdministração de risco