Uma análise a estratégias predefinidas na gestão ativa de carteiras

Bruno Pires, Dinis Daniel dos Santos, António Mendes


Objetivo: A gestão ativa de carteiras de investimento é um tema particularmente sensível, existe uma corrente de pensamento que defende que gerir ativamente uma carteira não produz resultados estatisticamente superiores. Assim, uma vez que a busca pela melhor performance relativa é constante questionamo-nos: Será que existem, de facto, ferramentas que ajudem à melhoria na performance de gestão de carteiras? O presente trabalho tem como objetivo encontrar prova empírica que regras pré-definidas melhoram o processo de decisão de investimento nos mercados financeiros.

Metodologia: Foram utilizados dados provenientes de um conjunto de carteiras de investimento de origem na SADIF – Investment Analytics e publicadas regularmente na Thomson Reuters para os cálculos efetuados.

Resultados: Verifica-se que a utilização de rebalanceamento trimestral bem como o uso de “trailing stops” e “stop losses” fixos, como ferramentas de suporte para ajudar na decisão de venda anterior ao ciclo de vida completo da carteira, são uma ferramenta poderosa para a obtenção de resultados mais eficientes.

Originalidade: Primeiro, utilização de uma base de dados completamente nova nunca testada anteriormente. Segundo, contribui diretamente para a literatura sobre gestão ativa de carteiras, pois demonstra que, num conjunto de carteiras de base científica, é possível melhorar resultados com recurso a rebalanceamento regular. Terceiro, especificamente ao uso de “stop-losses” e de “trailing-stop”, é fundamentada a ideia de que estas ferramentas são uteis se utilizadas corretamente.


Palavras-Chave: Gestão de carteiras; Rebalanceamento; Trailing-stop; Stop-loss; Buy and hold; Trading.




Title: "An analysis of predefined strategies in active portfolio management"


Purpose: Active management of investment portfolios is a particularly sensitive issue. There is a current thinking that actively managing a portfolio does not produce statistically superior results. Thus, since the search for the best relative performance is constant, we ask ourselves: Are there really tools that help improve portfolio management performance? This paper aims to find empirical evidence that predefined rules improve the decision making process of investing in financial markets.

Methodology: Data from a set of source investment portfolios in SADIF - Investment Analytics and regularly published in Thomson Reuters were used for the calculations.

Results: The use of quarterly rebalancing as well as the use of fixed trailing stops and stop losses as support tools to assist in the decision to sell prior to the full life cycle of the portfolio is a powerful tool. for more efficient results.

Originality: First, use of a completely new database never tested before. Second, it contributes directly to the literature on active portfolio management, as it demonstrates that, in a scientifically based set of portfolios, it is possible to improve results through regular rebalancing. Third, specifically the use of stop-losses and trailing-stop, the idea that these tools are useful if used correctly is well founded.


Keywords: Portfolio management, Rebalancing, Trailing-stop, Stop-loss, Buy and hold, Trading.


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