Avaliação de risco e retorno de uma carteira de ações da IBrX50 pela visão de Markowitz e Sharpe

Abstract

This study aims to evaluate the risk and return of a portfolio of shares originating from the 23 most liquid companies IBrX50 Index, using the SELIC rate as a free parameter of market risk, where it is necessary to use monthly data, passing the annual to monthly, and also the so-called systematic risk, defined as beta of the shares, also accompanied by the unsystematic risk, represented by the beta return surplus on assets. For this, the January monthly historical series from 2010 to March 2016 were collected and treated in the method described by the theory of Markowitz portfolios and then passed by reviewing the single index model proposed by Sharpe, through rate cut in choosing the most profitable stocks, which resulted in two separate portfolios, one that shows the result of cutting model, which stood at 1.085%, and one in which it was made a portfolio based on overly positive stock returns, which resulted in a return of 1.127%, and the proportion of the equity portfolio investment was 60% with Lojas Renner, 31% with Drogasil Raia and 9% with Ambev.