"TAP não sobrevive se se mantiver pública", garante Pinto Luz

[Supermann]

The purpose of this paper is to present simple quantitative methods that improve risk-adjusted returns for
investing in US equity sector and global asset class portfolios. A relative strength model is tested on the
French-Fama US equity sector data back to the 1920s that results in increased absolute returns with equity-like
risk. The relative strength portfolios outperform the buy and hold benchmark in approximately 70% of all years
and returns are persistent across time. The addition of a trendfollowing parameter to dynamically hedge the
portfolio decreases both volatility and drawdown. The relative strength model is then tested across a portfolio
of global asset classes with supporting results.