Estratégias de Imunização de Carteiras de Renda Fixa no Brasil

This paper aims to statistically compare the performance of two hedgingstrategies for Brazilian fixed income portfolios, with discrete rebalancing.The first hedging strategy matches duration, and hence it considers onlysmall parallel changes in the yield curve. The alternative methodologyponders level, curvature and convexity shifts through a factor model. Wefirst estimate the yield curve using the polynomial model of Nelson &Siegel (1987) and Diebold & Li (2006) and then immunize the fixed incomeportfolio using Litterman & Scheinkman’s (1991) hedging procedure. Thealternative strategy for portfolio immunization outperforms durationmatching in the empirical exercise we contemplate. Additionally, we showthat rebalancing the hedging portfolio every month is more efficient than atother frequencies.