Analyzing the Performance of Diversified Commodity Derivatives Portfolios in Brazil

Abstract

This paper seeks to investigate how we invest in commodity derivatives by comparing the performance of portfolios constructed using the mean-variance model, hierarchical risk parity, and the naive strategy with the stock market and the risk-free rate. For this purpose, daily closing future prices of ethanol, corn, cattle, gold, coffee, and soybeans traded in Brazil from 2015 to 2023 are considered, in addition to the rate of interbank deposit certificates (CDI or DI) and the performance of the theoretical portfolio. of shares in the Ibovespa index. The constructed portfolios are analyzed using the Sharpe Ratio, CVaR, Beta, and Maximum Drawdown metrics and the comparison of their returns. The results indicate that the portfolio constructed using the mean-variance model presented the lowest risk ratios and generated the highest return, followed by the hierarchical risk parity, the naive strategy, and the Ibovespa index. These findings are useful for scientific literature that investigates finance by bringing empirical evidence of Brazilian commodities to portfolio managers, investors, and other agents in the supply chain.