Estratégia Long-Short, Neutra ao Mercado, e Index Tracking Baseadas em Portfólios Cointegrados

The traditional models to optimize portfolios based on mean-varianceanalysis aim to determine the portfolio weights that minimize the variancefor a certain return level. The covariance matrices used to optimize aredifficult to estimate and ad hoc methods often need to be applied to limitor smooth the mean-variance efficient allocations recommended by the model.Although the method is efficient, the tracking error isn’t certainlystationary, so the portfolio can get distant from the benchmark, requiringfrequent re-balancements. This work uses cointegration methodology to devisetwo quantitative strategies: index tracking and long-short market neutral.We aim to design optimal portfolios acquiring the asset prices’co-movements. The results show that the devise of index tracking portfoliosusing cointegration generates goods results, replicating the benchmark’sreturn and volatility. The long-short strategy generated stable returnsunder several market circumstances, presenting low volatility.