Análise exploratória da Magic Formula e suas variações para o mercado brasileiro de ações

Abstract

This paper presents an exploratory analysis of the methodology developed by Joel Greenblatt in his book The Little Book That Beats the Market, within the context of the Brazilian stock market. Aiming to consistently outperform the market, Greenblatt proposes a value investing approach based on fundamental indicators, selecting stocks with high ROIC and Earnings Yield. For this study, year-by-year portfolios were built from 2002 to 2023, varying the number of assets while maintaining fidelity to Greenblatt’s methodology. From the exploratory objective of validating this strategy for the Brazilian market, the portfolios’ results were analyzed from multiple perspectives, providing more robust evidence to support the conclusions. Thus, not only was the portfolios’ historical profitability examined — which proved to be higher than the Bovespa index — but risk-return metrics, statistical tests, and different VaR models were also employed, indicating that the portfolio presented lower risk compared to the market index. The findings show that all the analyzed portfolios consistently outperformed the index while bearing lower risk over the studied period. Notably, the portfolio with the highest number of assets (20) achieved the best results, corroborating Markowitz’s concept that broader diversification can mitigate unnecessary risks in a portfolio.