Comparação de rentabilidade seguindo teoria moderna do portfólio e magic formula: uma avaliação considerando os impactos iniciais da pandemia de covid-19

Abstract

As the year 2020 was marked by the worldwide pandemic of the new Coronavirus; the disruption of several economic activities caused an intense fear about a new major economic crisis worldwide; this simple fear was able to cause significant impacts in all stock trading markets around the planet. To demonstrate in values, only in the first quarter of 2020, the Brazilian stock market, represented by the Ibovespa index, accumulated a decrease of nearly 27%. Times of turbulence like this bring reflections on what would be the best strategy for the elaboration of a winner stock portfolio. Therefore, the goal of the work was to compare the performance of two portfolios, one elaborated according to the theory of greater academic appeal, which is the Modern Theory of the Portfolio of the Nobel Prize in economics, Markowitz, and the second one, originated by a market player, which is the Magic Formula methodology developed by the American stock manager Joel Greenblatt. In the methodology, a review was made about the functioning of the two models and the necessary adaptations for their application in the Brazilian market. Finally, all the essential data were raised so that the performance of the models in the year 2019 was compared, that is, precrisis and then the performance in the year 2020 until the month of September, to understand the specific result at the time of turbulence. The following results were obtained: the Brazilian stock market is still small compared to other countries, so a very restrictive methodology such as Magic Formula means few options are left for the portfolio. Due to the crisis, companies that perform essential services, mostly utilities, are not considered for Magic Formula, which undermines their performance during the year 2020. The fact that it is quarterly adjusted means that the portfolio prepared following the Magic Formula does not take advantage of the benefit of long-term investment, but this also decreases to a certain level its volatility.