A teoria da fórmula mágica de Joel Greenblatt: uma aplicação no mercado de ações brasileiro

Abstract

This study examines the effectiveness of the investment methodology developed by Joel Greenblatt within the Brazilian stock market context. Spanning from 2011 to 2019, the research delves into the performance and volatility of portfolios crafted using the Earnings Yield (EY) and Return on Capital Employed (ROCE) indicators, comparing them to the benchmark of the Brazilian market, the Õndice Bovespa (IBOV). The overarching goal of this work was to assess and quantify whether Joel Greenblatt's methodology yields favorable outcomes in the Brazilian stock market. To achieve this, specific objectives were outlined, encompassing the theoretical analysis of Greenblatt and Sharpe's theories, the application of methods within the Brazilian market context, the evaluation of corporate results for portfolio construction, and the quantitative analysis of associated returns and risks. The hypothesis that adopting an investment methodology can result in improved long-term outcomes was rigorously tested through statistical analyses and performance comparisons. Data collection encompassed company reports, market indicators, and historical investment results. The findings revealed that the Magic Formula yielded an accumulated return of 207.54%, significantly outperforming the 70% of the IBOV, thus supporting the formulated hypothesis. This study underscores the significance of an objective, metrics-driven approach in stock selection, diminishing the impact of behavioral biases and furnishing investors with a more systematic tool for investment decision-making.