Adequação a fundos imobiliários da fórmula mágica para ações de Joel Greenblatt

• Autor(a) principal: Kruger, Gustavo Corazzari
• Data de Publicação: 2021
• Tipo de documento: Trabalho de conclusão de curso
• Idioma: por
• Título da fonte: Repositório Institucional da UNESP
• Texto Completo: http://hdl.handle.net/11449/214094
• topic: Mercado financeiro; Fórmula mágica para ações; Metodologias de stock picking; Fundos de investimentos imobiliários

The present work demonstrates an adaptation model of the “Magic Formula” for stock picking proposed by Joel Greenblatt in the book published in 2006 “The Little Book That Beats The Market” to the equivalent of Real Estate Investment Trusts (Fundos de Investimentos Imobiliários) in the brazilian financial market and the preliminary results of the application of this adapted formula. Based on two factors of the analyzed assets (return on invested capital - ROIC - and price to earnings ratio - P/E), the formula seeks to rank them to identify, in a simple way, assets with high efficiency and solid fundamentals, but that are being traded at attractive prices in the market. Similarly to the 16 years in which it was applied and studied by Greenblatt in the stock market of the USA (from 1988 to 2004), the methodology proved to be applicable and extremely promising to analyze Real Estate Investment Funds in the brazilian financial market. At the end of the analysis period (108 days, a period too short to infer definitive conclusions in a work involving the Financial Market), the portfolio assembled according to the magic formula showed profitability (including appreciation of the shares and earnings received) of 3.50%, while the portfolio formed by the other constituent assets of the study universe obtained a return of -0.19% and a portfolio composed of the 10 FIIs that held the largest participation in IFIX in October 2020 returned -0.37%. The data used in the study were obtained through information provided by BM&FBOVESPA, the results and reports released by the analyzed Funds and through the ClubeFii website database.