Estratégias de momentum no mercado de juros brasileiro
Autores
Fernandes, João Paulo
Orientador
Co-orientadores
Citações na Scopus
Tipo de documento
Dissertação
Data
2023
Resumo
Visando contribuir com os estudos da área das finanças, nesse trabalho analisamos a influência do fator momentum no mercado de juros brasileiro. Para tanto, foram analisadas estratégias de time-series momentum e cross-sectional momentum. Como metodologia, utilizamos os contratos futuros de DI negociados no mercado brasileiro entre janeiro de 2010 e julho de 2022 a fim de construir um modelo de investimento com potencial de aplicação real no mercado brasileiro. Descobriu-se que os modelos de time-series momentum apresentaram retornos estatisticamente significativos para todas das estratégias avaliadas enquanto cross-sectional momentum foram estatisticamente insignificantes. A inclusão do mecanismo de volatility targeting resultou em retornos estatisticamente significantes em todas as estratégias de time-series e cross-sectional momentum. A inclusão da volatilidade como fator de ponderação do portfólio aumentou o Sharpe de todas as estratégias.
In order to contribute to the studies in the field of finance, in this work we analyzed the influence of the momentum factor in the Brazilian interest rate market. To do so, we examined time-series momentum and cross-sectional momentum strategies. As a methodology, we used the futures contracts of DI traded in the Brazilian market between January 2010 and July 2022 in order to build an investment model with potential real-world application in the Brazilian market. It was found that the time-series momentum models exhibited statistically significant returns for all evaluated strategies, while cross-sectional momentum models were statistically insignificant. The inclusion of the volatility targeting mechanism resulted in statistically significant returns for all time-series and cross-sectional momentum strategies. The inclusion of volatility as a portfolio weighting factor increased the Sharpe ratio for all strategies.
In order to contribute to the studies in the field of finance, in this work we analyzed the influence of the momentum factor in the Brazilian interest rate market. To do so, we examined time-series momentum and cross-sectional momentum strategies. As a methodology, we used the futures contracts of DI traded in the Brazilian market between January 2010 and July 2022 in order to build an investment model with potential real-world application in the Brazilian market. It was found that the time-series momentum models exhibited statistically significant returns for all evaluated strategies, while cross-sectional momentum models were statistically insignificant. The inclusion of the volatility targeting mechanism resulted in statistically significant returns for all time-series and cross-sectional momentum strategies. The inclusion of volatility as a portfolio weighting factor increased the Sharpe ratio for all strategies.
Palavras-chave
Momentum; curva de juros; fatores; Momentum; interest rate; factors
Titulo de periódico
URL da fonte
Título de Livro
URL na Scopus
Sinopse
Objetivos de aprendizagem
Idioma
Português
Notas
Membros da banca
Área do Conhecimento CNPQ
CIENCIAS SOCIAIS APLICADAS::ECONOMIA