Backtesting do efeito de volatilidade em portfólios no mercado acionário brasileiro entre 2000 e 2020

Abstract

This study investigates low volatility investment strategies in the Brazilian stock market, analyzing data from 2000 to 2020 to provide insights into their performance against neutral strategies and the Ibovespa index. It was found that these strategies often yield higher risk-adjusted returns, though they are susceptible to risks from market extremes, emphasizing the need for diversified investment approaches. Contributing to financial literature, this work assists investors and managers in strategy selection and prompts further research into low volatility strategies in different markets, the impact of macroeconomic variables, and the enhancement of investment models through advanced machine learning techniques.