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O Impacto da COVID-19 no Índice PSI: análise da fronteira eficiente e da reta do mercado de capitais
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Abstract(s)
O problema da seleção de carteiras de ativos é uma questão fundamental para todos os investidores que procuram alternativas que ofereçam as melhores soluções em termos do binómio retorno-risco. Em períodos de maior instabilidade financeira, as escolhas dos ativos podem resultar em perdas ou ganhos significativos para os investidores. Este trabalho explora o impacto da pandemia COVID-19 na construção de carteiras eficientes, utilizando a fronteira eficiente e a reta do mercado de capitais, como instrumentos para a seleção das carteiras.
A metodologia adotada baseia-se na análise da eficiência e otimização da relação entre o retorno e o risco associado às carteiras de investimento, utilizando o método de otimização da teoria da média-variância, desenvolvido por Markowitz.
Em termos empíricos, são calculadas a fronteira eficiente e a reta do mercado de capitais utilizando dados das ações pertencentes ao índice PSI, considerando dois períodos distintos: 2017-2019 e 2020-2022, este último incluindo o período da pandemia COVID-19. Além disso, é considerada uma análise alternativa excluindo o ano de 2020 do segundo período.
Os resultados revelam que as oportunidades de investimento se tornaram menos eficientes, em termos de média e variância, à medida que passamos do primeiro para o segundo período. A pandemia COVID-19 teve um impacto significativo na construção de carteiras, sendo o ano de 2020 o principal responsável pelos resultados negativos alcançados no segundo período de análise.
The portfolio selection problem is a fundamental issue for all investors seeking alternatives that offer the best solutions in terms of the risk-return trade-off. During periods of financial instability, asset allocations may lead to significant losses or gains for investors. This work explores the impact of the COVID-19 pandemic on the construction of efficient portfolios, using the efficient frontier and capital market line as tools for portfolio selection. The methodology adopted is based on the analysis of efficiency and optimization of the risk-return trade-off associated with investment portfolios, using the mean-variance optimization method developed by Markowitz. Empirically, the efficient frontier and capital market line are calculated using data from stocks belonging to the PSI index, considering two different periods: 2017-2019 and 2020-2022, with the latter including the COVID-19 pandemic period. Additionally, an alternative analysis excluding the year 2020 from the second period is also considered. The results show that investment opportunities became less efficient, in terms of mean and variance, as we moved from the first to the second period. The COVID-19 pandemic had a significant impact on portfolio construction, with the year 2020 being the main driver of the negative outcomes observed in the second analysis period.
The portfolio selection problem is a fundamental issue for all investors seeking alternatives that offer the best solutions in terms of the risk-return trade-off. During periods of financial instability, asset allocations may lead to significant losses or gains for investors. This work explores the impact of the COVID-19 pandemic on the construction of efficient portfolios, using the efficient frontier and capital market line as tools for portfolio selection. The methodology adopted is based on the analysis of efficiency and optimization of the risk-return trade-off associated with investment portfolios, using the mean-variance optimization method developed by Markowitz. Empirically, the efficient frontier and capital market line are calculated using data from stocks belonging to the PSI index, considering two different periods: 2017-2019 and 2020-2022, with the latter including the COVID-19 pandemic period. Additionally, an alternative analysis excluding the year 2020 from the second period is also considered. The results show that investment opportunities became less efficient, in terms of mean and variance, as we moved from the first to the second period. The COVID-19 pandemic had a significant impact on portfolio construction, with the year 2020 being the main driver of the negative outcomes observed in the second analysis period.
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Keywords
Teoria de markowitz Teoria da média-variância Fronteira eficiente Reta do mercado de capitais Covid-19 PSI