Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/15280 |
Resumo: | The main purpose of this work is to back-test the Magic Formula in the IBX- 100 index, in order to gather evidence of effectiveness of the respective methodology in the selection of the best stocks and portfolios that beat the IBX-100 in the long run. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between January 2000 and June 2015 combining different number of stocks per portfolio and different holding periods. Some portfolios did beat the market index, while some did not. Portfolios with a higher number of stocks and longer holding periods seem to perform better than portfolio with fewer stocks and shorter holding periods. The portfolio with 10 stocks, holding period of 1 year, showed the highest CAGR among all portfolios (17,77%), surpassing the IBX-100 CAGR of 13,17% in the same period, even risk-adjusting. Regardless the holding period and the number of stocks, all portfolios presented lower systematic risk than the IBX-100 index (all betas were significant and lower than 1). On the other hand, all alphas were low, rarely significant, suggesting that the active portfolio management that follows the Magic Formula criteria did not add substantial higher returns when compared to market returns. |
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Milane, Leonardo PelaeEscolas::EESPSantos, Evaristo dosMalvessi, OscarRochman, Ricardo Ratner2016-02-16T11:16:35Z2016-02-16T11:16:35Z2016-02-04MILANE, Leonardo Pelae. Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.http://hdl.handle.net/10438/15280The main purpose of this work is to back-test the Magic Formula in the IBX- 100 index, in order to gather evidence of effectiveness of the respective methodology in the selection of the best stocks and portfolios that beat the IBX-100 in the long run. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between January 2000 and June 2015 combining different number of stocks per portfolio and different holding periods. Some portfolios did beat the market index, while some did not. Portfolios with a higher number of stocks and longer holding periods seem to perform better than portfolio with fewer stocks and shorter holding periods. The portfolio with 10 stocks, holding period of 1 year, showed the highest CAGR among all portfolios (17,77%), surpassing the IBX-100 CAGR of 13,17% in the same period, even risk-adjusting. Regardless the holding period and the number of stocks, all portfolios presented lower systematic risk than the IBX-100 index (all betas were significant and lower than 1). On the other hand, all alphas were low, rarely significant, suggesting that the active portfolio management that follows the Magic Formula criteria did not add substantial higher returns when compared to market returns.O objetivo desse trabalho é realizar um procedimento de back-test da Magic Formula no IBX-100, a fim de reunir evidencias sobre a eficiência de tal metodologia no processo de seleção das melhores ações e formação de carteiras que superem o desempenho do IBX-100 no longo prazo. Desenvolvida por Joel Greenblatt, a Magic Formula é uma metodologia de formação de carteiras que consiste em escolher ações com altos ROICs e Earnings Yields, seguindo a filosofia de Value Investing. Diversas carteiras foram montadas no período de janeiro de 2000 a junho de 2015 utilizando diferentes combinações de número de ativos por carteira e períodos de permanência. Nem todas as carteiras apresentaram retornos superiores ao índice de mercado. Aparentemente, as carteiras com mais ações e períodos de permanência mais longos apresentam desempenho superior às carteiras menores e com rotatividade maior (períodos de permanência mais curtos). A carteira de 10 ações, com período de permanência de 1 ano, apresentou o maior CAGR dentre todas as outras (17,77%), superando o CAGR de 13,17% do IBX-100 no mesmo período. Esse resultado foi superior mesmo quando ajustado ao risco. Independentemente do período de permanência e número de ações, todas as carteiras apresentaram riscos sistemáticos menores do que o índice IBX-100 (todos os betas foram significativos e menores do que 1). Por outro lado, os alfas das carteiras foram muito baixos e, raramente, significativos, sugerindo que a gestão ativa de acordo com os critérios da Magic Formula não adiciona retornos substancialmente maiores do que o retorno relacionado à variações de mercado.porValue investingEarnings yieldEfficient market hypothesisMagic formulaHipótese do mercado eficienteEconomiaBolsa de Valores de São PauloMercado financeiroAções (Finanças)Teoria do mercado eficienteMercado de capitaisTeste de eficiência da magic formula de value investing para o mercado brasileiro de açõesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTese - Leonardo Milane - Magic Formula.pdfTese - Leonardo Milane - Magic 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|
dc.title.por.fl_str_mv |
Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações |
title |
Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações |
spellingShingle |
Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações Milane, Leonardo Pelae Value investing Earnings yield Efficient market hypothesis Magic formula Hipótese do mercado eficiente Economia Bolsa de Valores de São Paulo Mercado financeiro Ações (Finanças) Teoria do mercado eficiente Mercado de capitais |
title_short |
Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações |
title_full |
Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações |
title_fullStr |
Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações |
title_full_unstemmed |
Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações |
title_sort |
Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações |
author |
Milane, Leonardo Pelae |
author_facet |
Milane, Leonardo Pelae |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Santos, Evaristo dos Malvessi, Oscar |
dc.contributor.author.fl_str_mv |
Milane, Leonardo Pelae |
dc.contributor.advisor1.fl_str_mv |
Rochman, Ricardo Ratner |
contributor_str_mv |
Rochman, Ricardo Ratner |
dc.subject.eng.fl_str_mv |
Value investing Earnings yield Efficient market hypothesis Magic formula |
topic |
Value investing Earnings yield Efficient market hypothesis Magic formula Hipótese do mercado eficiente Economia Bolsa de Valores de São Paulo Mercado financeiro Ações (Finanças) Teoria do mercado eficiente Mercado de capitais |
dc.subject.por.fl_str_mv |
Hipótese do mercado eficiente |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Bolsa de Valores de São Paulo Mercado financeiro Ações (Finanças) Teoria do mercado eficiente Mercado de capitais |
description |
The main purpose of this work is to back-test the Magic Formula in the IBX- 100 index, in order to gather evidence of effectiveness of the respective methodology in the selection of the best stocks and portfolios that beat the IBX-100 in the long run. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between January 2000 and June 2015 combining different number of stocks per portfolio and different holding periods. Some portfolios did beat the market index, while some did not. Portfolios with a higher number of stocks and longer holding periods seem to perform better than portfolio with fewer stocks and shorter holding periods. The portfolio with 10 stocks, holding period of 1 year, showed the highest CAGR among all portfolios (17,77%), surpassing the IBX-100 CAGR of 13,17% in the same period, even risk-adjusting. Regardless the holding period and the number of stocks, all portfolios presented lower systematic risk than the IBX-100 index (all betas were significant and lower than 1). On the other hand, all alphas were low, rarely significant, suggesting that the active portfolio management that follows the Magic Formula criteria did not add substantial higher returns when compared to market returns. |
publishDate |
2016 |
dc.date.accessioned.fl_str_mv |
2016-02-16T11:16:35Z |
dc.date.available.fl_str_mv |
2016-02-16T11:16:35Z |
dc.date.issued.fl_str_mv |
2016-02-04 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
MILANE, Leonardo Pelae. Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/15280 |
identifier_str_mv |
MILANE, Leonardo Pelae. Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016. |
url |
http://hdl.handle.net/10438/15280 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/77029767-3a3b-4cde-93b9-9c300696ca35/download https://repositorio.fgv.br/bitstreams/4835f098-ce09-42fa-acdc-1b4bfe2f08d1/download https://repositorio.fgv.br/bitstreams/cc1304b1-5cbc-4194-918a-483a4894560f/download https://repositorio.fgv.br/bitstreams/84049715-d9ab-4fa7-9082-28be44cbd4bb/download |
bitstream.checksum.fl_str_mv |
91d8cd74adea7ad467c334e5d332aeb4 dfb340242cced38a6cca06c627998fa1 a09fdcb5ba711bbaf99dc2871d126f46 e630bf77564096e11e2d7e397bc8d514 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023739911307264 |