Análise de desempenho de uma carteira de ações da Bovespa com a estratégia igualmente ponderada 1/n para o período de 2013 a 2017

Abstract

he stock market of the stock exchange has become an investment alternative with a great growth in Brazil in recent years. This attractiveness is due to the possibility of obtaining more expressive gains than those offered by more conservative financial investments. Also, with the possibility of higher return, one should take into account the risk scenarios of devaluation of the amount invested. The investment in shares of companies is considered an option with possibility of greater profitability, but of greater risk. To reduce the risk of possible losses, diversification of stocks is recommended, avoiding concentration. The search for stock selection to build a portfolio of investment in risky assets remains one of the major central problems in financial economics, both from an academic standpoint as well as for investors. The first model for stock portfolio selection was that of Markowitz which soon became a good alternative, but due to its complexity it needed a lot of data processing capacity and consumed a lot of resources. Thus, with the passage of time, other models were developed, among them the equally weighted 1 / N stock selection model. The objective of this study was to elaborate a stock selection strategy to compose theoretical portfolios using the 1 / N method and to verify if it is able to present a profitability superior to the Bovespa Index in the period from 2013 to 2017, it was built portfolios that ranged from 10 to 19 stocks per period. The research used as a criterion for selection of shares to compose the theoretical portfolios Sharpe's Index and the regularity of the shares in the four-month period and the quarterly rebalancing. It should be noted that the algorithms required for data extraction, portfolio formation and performance analysis were developed in "R" programming language. Regarding the results, the portfolios with the criteria adopted by this research presented a performance superior to the Bovespa Index and the valuation of savings, but below the CDI profitability. The portfolio with the best performance was the one containing 18 shares. In 2017 the model proposed by this research presented its best performance being efficient in a scenario of economic stability.