Avaliação de carteiras criadas pelos modelos de Fama-French e Fronteira Eficiente de Markowitz no mercado acionário brasileiro entre 2011 e 2021

Abstract

In this work we compare stock portfolio choice models providing information on the best return given their risk level considering all stocks listed on the São Paulo Stock Exchange (BOVESPA). The stock portfolios were built based on two models used in the literature: 1) in the explanation of asset returns elaborated by Fama and French (1993), which seeks to explain the market return through three major factors and 2) in the construction of a portfolio based on the concept called Efficient Frontier, presented by Markowitz (1959) - it is presented that the risk of a portfolio is not simply given by the average of individual assets, but by the diversification of the investment portfolio as a whole. Subsequently, derived from the work of Markowitz, the CAPM model appears (developed by Sharpe (1964), Lintner (1965) and Mossin (1966)), which defines the appropriate theoretical rate of return for a given asset according to the investment portfolio previously mounted and the Sharpe ratio for portfolio selection. The study comprised the shares listed on BOVESPA in the period 2011-2021. The premiums of the risk factors and the returns of the shares and portfolios were calculated, and the behavior of the two models was tested through risk measures and comparison with the performance of the Ibovespa index over the same period. What was observed was that, for the period 2011-2021, the selection of a portfolio based on the Markowitz assumptions brought better returns compared to the Fama-French model.