Análise da composição de portfolio em mercados futuros agropecuários: uma abordagem risco e retorno

Abstract

The objective ofthis work was to analyze the composition ofportfolios in future agricultural markets with an approach of the risk and retum to the commodities coffee, soybean and cattle feeder. Future markets consist of ahernatives which can be used by financial institutions to develop hedge mechanisms linked to the agricultural activities and make diversifíed portfolios in future agricultural contracts. Efficient portfolios are those that maximize the expected return for a given levei ofexpected risk, and minimize the expected risk for a given levei ofexpected return. The methodology used was based on the Capital Asset Price Model (CAPM) as proposed by Markovitz (1952). First, both the future contract return and its probability calculus for coffee, soybean and cattle feeder, were madewith one, two, threeand four months due, between 1994 and 1999. The degree of correlation of the expected returns between the pair ofassets: coffee/soybean, coffee/cattle feeder and soybean/cattle feeder was then analyzed. The results showed that it is possible to make up a portfolio with minimum risk and a return between the greatest and the smallest positive return ofthe future contracts being studied. Therefore, compositions ofportfolios with the commodities dealt in future markets reduce risks and provide greater returns, since periods of crop and intercrop, as weü as positions bought and/or sold, simultaneously, are taken into account.