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Article Dans Une Revue Emerging Markets Review Année : 2022

Factor investing in Brazil: Diversifying across factor tilts and allocation strategies

Résumé

We employ a methodology to construct multi-beta multi-strategy (MBMS) indices for the Brazilian equity market that can diversify the exposure to multiple rewarded risk factors and unrewarded strategy-specific risks. We do so by considering as many as six risk factors, and five allocation strategies. Empirical results show that the MBMS indices so obtained outperform the cap-weighted benchmark index in both absolute and risk-adjusted terms. We also show that the same indices have a higher probability of outperforming the market than the individual multi-strategy factor indices, and that such outperformance is persistent over time.
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Dates et versions

hal-03968011 , version 1 (01-02-2023)

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Alexandre Alles Rodrigues, Fabrizio Casalin. Factor investing in Brazil: Diversifying across factor tilts and allocation strategies. Emerging Markets Review, 2022, 52, pp.100906. ⟨10.1016/j.ememar.2022.100906⟩. ⟨hal-03968011⟩
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