IDEAS home Printed from https://ideas.repec.org/a/aft/journl/v822010mayaugp101-123.html
   My bibliography  Save this article

Can Dynamic Positions In Agricultural Futures Improve The Performance Of A Diversified Investment Portfolio?

Author

Listed:
  • Rodrigo Lanna Franco Silveira

    (Universidade Estadual de Campinas)

  • Geraldo Sant'Anna de Camargo Barros

    (Universidade de São Paulo (USP); Centro de Estudos Avançados em Economia Aplicada (Cepea).)

Abstract

This study evaluated and compared the impacts of adopting dynamic and static strategies in agricultural futures contracts, negotiated at BM&FBovespa, on the risk and return of a diversified portfolio, between 1994 and 2007. Using the Portfolio Theory, the presence of dynamic positions in commodity futures was verified in optimal portfolios for the period 2001-2007 and for three sample periods. However, the frontier moves were not statistically signi-ficant. The Guepardo and Sparta funds, characterized by dynamic manage-ment of the agricultural derivatives, also presented high participation on op-timal portfolios. Moreover, they allowed the portfolio to achieve return levels that the original portfolio would not be able to achieve. Nevertheless, once again, the frontier expansions were not statistically significant.

Suggested Citation

  • Rodrigo Lanna Franco Silveira & Geraldo Sant'Anna de Camargo Barros, 2010. "Can Dynamic Positions In Agricultural Futures Improve The Performance Of A Diversified Investment Portfolio?," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 8(2), pages 101-123, may-augus.
    • Handle: RePEc:aft:journl:v:8:2:2010:may:aug:p:101-123
    DOI: -
    as

    Download full text from publisher

    File URL: https://editorarevistas.mackenzie.br/index.php/rem/article/view/4723/3623
    Download Restriction: no
    File URL: https://libkey.io/-?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aft:journl:v:8:2:2010:may:aug:p:101-123. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Instituto Presbiteriano Mackenzie (IPM) (email available below). General contact details of provider: https://edirc.repec.org/data/fcmacbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.