Avaliação da quantidade mínima de ativos para um portfólio diversificado aplicado ao mercado brasileiro

Abstract

The work starts from the analysis of the ideal number of assets in an investment portfolio, having examined different time windows of 4, 10, and 15 years in relation to the present years and compared it with a study conducted between 1993 and 1997. The analysis was carried out to identify the impact of diversification on the portfolio's total risk, considering the fluctuations in the Brazilian stock market. The compared study found that during the 1990s, most of the risk from stock price fluctuations (63.2%) was linked to asset-specific risk, the non-systematic type, while the remaining (27.8%) referred to systematic and inherent investment risk. However, recent scenario analyses showed that the risk attributed to the investment has reversed, with the largest portion (55%) being part of systematic risk and 45% being mitigated through the process of random diversification. It was found that holding between 15 and 20 assets is sufficient to significantly reduce non-systematic risk, making the reduction in standard deviation with the addition of new assets almost negligible beyond this point. Lastly, it was observed that the investment duration also influences the mitigation of the portfolio’s total risk, with a reduction of up to 8.9% between 4 and 15 years of application.