Carteiras igualmente ponderadas com poucas ações e o pequeno investidor

Abstract

This article analyzes equally weighted stock portfolios (1/N) focusing on unsophisticated investors with small portfolios. The number of shares included in the 1/N portfolios ranged from 6 to 16 and rebalancing executed only three times a year. The period of analysis included daily and monthly returns between 1998 and 2011. The performance of 1/N portfolios was compared to stock mutual funds, a global minimum variance portfolio with a 10% limit on the positive weights (MVP 10%) and the Ibovespa index. The comparisons employed nonparametric tests, measures of risk-adjusted return and consider transaction costs. The results indicate that the performance of the selected funds is, at best, equivalent to the 1/N portfolios, albeit with a lower standard deviation. There was no significantly difference in the median returns of the 1/N portfolios relative to the Ibovespa and MVP 10%. The stock selection criterion according to the ranking by the previous period Sharpe ratio is relevant, but rebalancing may be carried out less than three times a year. The 1/N portfolios are an attractive alternative to stock funds for investors with small portfolios of stocks even though their transaction costs may exceed 400 basis points per year.