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A presente dissertação analisou de que forma a gestão da volatilidade melhora o desempenho dos fatores económicos para além do fator momentum. Teve como base os artigos de Barroso & Santa Clara (2015) e Moreira & Muir (2017), estendendo o período em análise até 2023. Para o efeito, adicionaram-se dois elementos de robustez, dois horizontes de estimação da volatilidade (21 e 180 dias) e uma análise cross-regional: EUA, Europa e Países Desenvolvidos. Foi desenvolvida uma metodologia inspirada nos artigos dos autores de referência, aplicando-a ao fator momentum e aos cinco fatores de Fama & French (2015). Os resultados do fator momentum reforçam a literatura financeira existente. Nos EUA, observou-se um aumento Sharpe Ratio ajustada, de 103% (21 dias) e 118% (180 dias). Na Europa e Países Desenvolvidos os resultados foram semelhantes, registando melhorias. Nos restantes fatores, o impacto foi inconsistente e heterogéneo. O fator profitability apresentou resultados positivos com aumentos da Sharpe Ratio nos EUA, de 16% (21 dias) e 29% (180 dias). Por sua vez, os fatores size e investment na maioria das análises, registaram deteriorações no desempenho ajustado, com perdas na Sharpe Ratio ajustada de 74%. Os fatores market e value apresentaram comportamentos mistos, com melhorias pontuais. Em síntese, os resultados corroboram a literatura financeira em relação aos efeitos positivos da gestão da volatilidade no fator momentum. Nos restantes fatores, o efeito é variável, dependendo do contexto de e da natureza de cada fator, não sendo possível concluir efeitos consistentes e positivos da gestão da volatilidade nestes fatores.
This dissertation analyzed how volatility management improves the performance of economic factors beyond the momentum factor. It was based on articles by Barroso & Santa Clara (2015) and Moreira & Muir (2017), extending the period under analysis to 2023. Additionally, two elements of robustness were added: two volatility estimation horizons (21 and 180 days) and a cross-regional analysis: US, Europe, and Developed Countries. A methodology inspired by the articles of the reference authors was developed and applied to the momentum factor and the five factors of Fama & French (2015). The results of the momentum factor reinforce the existing financial literature. In the US, there was an increase in the adjusted Sharpe Ratio of 103% (21 days) and 118% (180 days). In Europe and Developed Countries, the results were similar, showing improvements. For the remaining factors, the impact was inconsistent and heterogeneous. The profitability factor showed positive results with increases in the Sharpe Ratio in the US of 16% (21 days) and 29% (180 days). The factors, size and investment, in most analyses showed deterioration in adjusted performance, with losses in the adjusted Sharpe Ratio of 74%. The market and value factors showed mixed behavior, with occasional improvements. In summary, the results corroborate the financial literature regarding the positive effects of volatility management on the momentum factor. For the remaining factors, the effect is variable, depending on the context and nature of each factor, and it is not possible to conclude that volatility management has consistent and positive effects on these factors.
This dissertation analyzed how volatility management improves the performance of economic factors beyond the momentum factor. It was based on articles by Barroso & Santa Clara (2015) and Moreira & Muir (2017), extending the period under analysis to 2023. Additionally, two elements of robustness were added: two volatility estimation horizons (21 and 180 days) and a cross-regional analysis: US, Europe, and Developed Countries. A methodology inspired by the articles of the reference authors was developed and applied to the momentum factor and the five factors of Fama & French (2015). The results of the momentum factor reinforce the existing financial literature. In the US, there was an increase in the adjusted Sharpe Ratio of 103% (21 days) and 118% (180 days). In Europe and Developed Countries, the results were similar, showing improvements. For the remaining factors, the impact was inconsistent and heterogeneous. The profitability factor showed positive results with increases in the Sharpe Ratio in the US of 16% (21 days) and 29% (180 days). The factors, size and investment, in most analyses showed deterioration in adjusted performance, with losses in the adjusted Sharpe Ratio of 74%. The market and value factors showed mixed behavior, with occasional improvements. In summary, the results corroborate the financial literature regarding the positive effects of volatility management on the momentum factor. For the remaining factors, the effect is variable, depending on the context and nature of each factor, and it is not possible to conclude that volatility management has consistent and positive effects on these factors.
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Volatility Momentum Risk Economic factors Volatilidade Risco Fatores económicos
Contexto Educativo
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Licença CC
Sem licença CC