Seleção aleatória de ações para carteiras igualmente ponderadas e o investidor individual

Abstract

This article analyzes randomly formed equally weighted portfolios (1/n) and focuses on the unsophisticated investor. The number of shares included in the 1/n portfolios varied between 5 and 15 with rebalancing from one to 60 times in the 60-month period between January 2007 and December 2011. The sample consisted of the 50 stocks in the Índice Brasil 50 (IBrX-50) in January 2007. Five hundred 1/n portfolio simulations were obtained with various sizes and rebalancing intervals. The basic case was a portfolio with 10 stocks and quarterly rebalancing. The performance of the randomly formed 1/n portfolios was compared to 221 actively managed stock funds, each of the 50 stocks and the IBrX-50 that proxies for indexed stock funds. Comparisons consider transaction costs. Investors will have a significant probability of achieving greater returns and return-to-risk ratios with a randomly formed 1/n portfolio drawn at random than with a stock fund or one of the 50 stocks also randomly drawn. Randomly formed 1/n portfolios also outperform the IBrX-50. The distribution of return-to-risk ratios of the randomly formed 1/n portfolios is also significantly above that of the stock funds. There are more and larger extreme values among stock funds managed by independent asset managers than among the 1/n portfolios. Robustness tests with variations in size and rebalancing intervals do not contradict the base case results. Equally weighted portfolios are an attractive alternative to small and unsophisticated investors especially in relation to the products offered by the large retail banks.