Formação de carteiras de ativos com base no coeficiente de assimetria – uma aplicação com as ações do IBRX-100.

Abstract

Investment in assets in the financial market is certainly not a choice that guarantees great returns in the short term. However, many people are putting aside their guaranteed savings to invest in riskier stocks. The major dilemma among investors is in choosing which method to use to make the prediction that portfolio choose to get the best results. This study aims to analyze the performance of portfolios formed with IBrX-100 assets through the use of the asymmetry coefficient as a selection criterion. Daily prices of assets were collected in the period from 31/05/2010 to 29/05/2015 and with the help of Microsoft Excel 2013 Solver tool, have formed a portfolio of 5 assets with negative asymmetry and a portfolio of 5 assets with asymmetry positive. Then built up a histogram for detailed analysis. Finally, samples were collected from the IBrX-100 active the first 10 months of 2015, and applied the Kruskal Wallis test to compare the two portfolios to the market. The results show that the two portfolios analyzed showed no significant differences, with medians similar and consistent returns. To comparatively analyze the two portfolios with the market, it was concluded that the results were not different.