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According to the article “Effects of Financial Globalization on Developing Countries: Some Empirical Evidence”, published by the International Monetary Fund on March 17, 2003, the financial globalization, defined as na increase in the capital and investment flows between countries, contributed to the development of the fixed income international market. Financial resources to the payment of debts and investments in several productive sectors conducted Governments to use externals funding. In this context, investors interested to obtain better returns, buy securities, diversify their portfolios and they can reach gains under the coupons they received and/or capital gain. The Markowitz’s job in 1952, entitled “Portfolio Selection”, about the relation between risk and return was the great contribution to the Modern Finance Theory. The contribution laid down on the distinction between the variability of an asset return and the impact in the portfolio risk. Markowitz’ articles showed how to reach a portfolio which provides the best relation between risk and return. This present study aim to investigate whether the Markowitz’s article is applicable between January 2004 and December 2005. For this purpose, all fixed income securities issued by the American, Brazilian, Argentinean, Mexican and Venezuelan, in US Dollars, issuance date up to December 2003 and maturity date higher than December 2005 were extracted from Euroclear Bank (“Clearing House”). Quotations and additional data were obtained from Bloomberg Financial Markets. Tests were conducted to assess the portfolios and, on average, when you add securities from emerging countries at Latin America, the portfolio has a better return at the same level of risk. Distribution tests on historical returns showed normality. Some questions could not be answered, in special on the influence of raising Fed Fund rates on portfolio returns and the influence of legislations in different jurisdictions, being subject for future articles.

A aplicabilidade da moderna teoria de portfólios em títulos de renda fixa internacionais