POSIÇÕES DINÂMICAS EM FUTUROS AGROPECUÁRIOS AUMENTAM O DESEMPENHO DE UMA CARTEIRA DE INVESTIMENTOS DIVERSIFICADA?

This study evaluated and compared the impacts of adopting dynamic and static strategies in agricultural futures contracts, negotiated at BM&FBovespa, on the risk and return of a diversified portfolio, between 1994 and 2007. Using the Portfolio Theory , the presence of dynamic positions in commodity futures was verified in optimal portfolios for the period 2001-2007 and for three sample periods. However, the frontier moves were not statistically significant. The Guepardo and Sparta funds, characterized by dynamic management of the agricultural derivatives, also presented high participation on optimal portfolios. Moreover, they allowed the portfolio to achieve return levels that the original portfolio would not be able to achieve. Nevertheless, once again, the frontier expansions were not statistically significant. [ABSTRACT FROM AUTHOR]