Backtesting do Efeito Valor em Portfólios no Mercado Acionário Brasileiro entre 2007 e 2022

Abstract

This paper aims to test the hypothesis that value factor indicators equal to or outperform a neutral portfolio composed of stocks listed on the Brazilian stock exchange, B3, between the years 2007 and 2022. To this end, a theoretical foundation was established using the following literature in the field of finance: Efficient Market Hypothesis (EMH), Capital Asset Pricing Model (CAPM), Harry Markowitz's Portfolio Theory, and Investment Factor Theory. Additionally, results from similar tests for the value factor in U.S. and Brazilian markets were investigated in articles written by other authors. The test involved using four indicators as proxies for value: price-to-book ratio (P/B), price-to-earnings ratio (P/E), price-to-EBITDA ratio (P/EBITDA), and price-to-free cash flow ratio (P/FCF). The annualized return and Sharpe ratio pairs were, respectively: 13.20%, 0.1472; 16.26%, 0.2788; 18.72%, 0.3451; 18.79%, 0.3444. The benchmarks used were a neutral portfolio composed of B3 stocks that satisfied the same liquidity filter as the indicator portfolios, the Ibovespa index, and the CDI rate, which had the following return and Sharpe pairs: 8.74% p.a., -0.0084; 3.54% p.a., -0.1833; and 8.95% p.a., 0, respectively. Thus, it was possible to conclude that the value factor ordered and filtered based on quintiles for portfolio selection improve the expected risk-adjusted returns of B3 companies' stocks. However, the study acknowledges limitations such as not incorporating transaction costs into the model, the possibility of diversification issues with the P/EBITDA and P/FCF indicators in larger samples, and the potential difficulty of applying the same methodology in a real trading environment with significantly larger financial amounts.