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Análise da formação de carteiras de investimentos: uma aplicação no mercado acionário brasileiro


  • Knebel Baggio, Daniel
  • Kelm, Martinho Luis
  • Ferruz Agudo, Luis
  • Marco Sanjuán, Isabel


O objetivo deste estudo é verificar a capacidade dos modelos financeiros teóricos de gestão de carteiras, em subsidiar a obtenção de retornos anormais no mercado acionário brasileiro. Entre os modelos que se podem citar: o modelo de Gestão de Carteiras de Markowitz (1952), o modelo CAPM de Sharpe (1964), Lintner (1965) e Black (1972). Os resultados comprovam que os dois modelos testados conseguiram gerar rentabilidades anormais, se comparadas com o IBOVESPA no mesmo período e com uma variância inferior. O Índice de Sharpe (1966) apontou a carteira de Markowitz como a que obteve a melhor performance. Our objective is to assess the ability of theoretical models of financial portfolio management, in support to obtain abnormal returns in the Brazilian equity market. Among the models that may be cited: the model of portfolio management of Markowitz (1952), the CAPM of Sharpe (1964), Lintner (1965) and Black (1972). The results show that the two models tested successfully generate abnormal returns compared to the IBOVESPA in the same period and a lower variance. The index of Sharpe (1966) identified the portfolio of Markowitz as that achieved the best performance.

Suggested Citation

  • Knebel Baggio, Daniel & Kelm, Martinho Luis & Ferruz Agudo, Luis & Marco Sanjuán, Isabel, 2009. "Análise da formação de carteiras de investimentos: uma aplicação no mercado acionário brasileiro," Gestión Joven "Revista de la Agrupación Joven Iberoamericana de Contabilidad y Administración de Empresas". Young Management "Journal of the Young Iberomerican Group of Accounting and Business Adminis, Asociación Española de Contabilidad y Administración de Empresas (AECA). Spanish Accounting and Business Administration Association., issue 3, June.
  • Handle: RePEc:ges:articl:2008-10:33-47

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    References listed on IDEAS

    1. Reinganum, Marc R., 1981. "A New Empirical Perspective on the CAPM," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(04), pages 439-462, November.
    2. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    3. Varga, G., 1999. "Índice de Sharpe e outros Indicadores de Performance Aplicados a Fundos de Ações Brasileiros," Finance Lab Working Papers flwp_12, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    4. Studart, Rogerio, 2000. "Financial opening and deregulation in Brazil in the 1990s Moving towards a new pattern of development financing?," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 25-44.
    5. Fonseca, Nelson & Bressan, Aureliano & Iquiapaza, Robert & Guerra, João, 2007. "Análise do Desempenho Recente de Fundos de Investimento no Brasil
      [Recent Performance Analysis of Mutual Funds in Brazil]
      ," MPRA Paper 2994, University Library of Munich, Germany.
    6. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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