An analysis of the allocation of future contracts on commodities in diversified portfolios.Original Title Uma analise da alocacao de contratos futuros sobre commodities em portfolios diversificados.

摘要

This paper analyzes the impact of including commodity futures for arabica coffee, soybean, corn, crystal sugar, ethanol and fed cattle, negotiated at the Securities, Commodity and Futures Exchange, in the performance of a diversified portfolio, composed of stocks, bonds, gold and dollar. The study was conducted between August 1994 and December 2007. Different strategies with these derivatives were considered: buy and hold or sell and hold contracts of first settlement or that took six months to maturity. Using the Portfolio Theory, results in biannual analysis over the periods of 1994-1998 and 1999-2003 showed improvement in portfolio efficiency, but without statistical significance.