Alves won Serie A and the Coppa Italia in his one and only season with Juve, but the right-back went on to join PSG last summer, the Bianconeri having lost 4-1 to Real Madrid in the Champions League Final.
“That's what we're setting our sights on," he told FIFA's official website.
“It's our main objective. It's what Neymar was thinking when he left Barca and it's what I was thinking when I left Juve.
“That's what moves us. That's what excites us, gets our adrenaline pumping. The world belongs to the brave.
“If you're not brave, you're always in the shadows and that's not where we want to be. We had nothing in Brazil and we wanted to make something of our lives.
“You need more than big names to win a competition like the Champions League. You can have great players but if you don't have a team you're not going to make it.
“We're ready to compete, and the question of whether that preparation leads us to victory or elimination is going to depend on how we work as a team."