Estudo comparativo entre duas estratégias de investimentos aplicadas no mercado de capitais

Abstract

The number of new investors in Brazil has been growing year over year and, because of that, the demand for new contents related to investments also increases. Small investors need to be aware that, when get into variable income market, it is essential that their decision-making is guided by an assest selection strategy, otherwise they will not perform well. This paper aims to study and analyze the investment strategies of Joel Greenblatt and Décio Bazin, applied on the Brazilian stock exchange, B3, in order to understand the portfolio’s behavior over time. To this end, the indicators of every company listed on the stock exchange were collected, and, subsequently, the assest selection filters for each of strategies were applied to assemble a portfolio. The backtest carried out from January 2023 to October 2023 for both portfolios, showed a grater profitability for Greenblatt’s strategy compared to Bazin’s, while both performed better than Ibovespa. Ultimately, the standard deviation and Shape Index of the portfolios were analyzed to understand the behavior and risk-return of each strategy.