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Sector-based credit risk and stock returns
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| 3.41 MB | Adobe PDF |
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Resumo(s)
This report combines two investment strategies from portfolios with a low correlation
coefficient: the Credit Risk and the Consumer strategies. The Equal-weighted, Tangency, and
Minimum Variance Portfolios were created and resulted in a well-balanced approach that can
outperform the individual strategies. In the out-of-sample analysis, the Minimum Variance Portfolio
not only exhibited lower volatility but also demonstrated superior risk-adjusted returns, a result
contrary to the initial expectations set by the Tangency Portfolio. Furthermore, the Equal Weighted
despite presenting higher returns exhibited the lowest risk-adjusted performance. Thus, these results
allow investors to select the appropriate approach according to their preferences.
Descrição
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Finance Quantitative investment Financial markets Stock market Credit risk Sector-based