Carteiras igualmente ponderadas: literatura recente no Brasil e exterior e os índices valor-coppead

Abstract

This article presents a selective literature review focusing on a practical application in Brazil that led to the implementation of the equally weighed and minimum variance ValorCOPPEAD stock indices. There is no index in the Brazilian stock market that reflects simple portfolio formation rules attainable by the non-sophisticated investor. An equally weighed index with few stocks portraits the performance of a portfolio that this investor can easily build. An index that uses the minimum variance portfolio in the efficient frontier, with limits on the weights, contrasts with the former because it offers an optimized portfolio standard that is less affected by the error in estimates problem. These indices may also inspire new financial products. Equally weighed portfolios with up to 20 stocks presented a performance superior to that of the majority of Brazilian stock funds and comparable to that of the minimum variance portfolio with constrained weights. The previous period Sharpe ratio stock selection criterion is relevant. Portfolios optimized with more complex methods, however, may outclass equally weighed portfolios. The literature reviewed, thus, supports the assumption that equally weighed and minimum variance portfolios with 20 or less stocks and constrained weights may become relevant benchmarks, particularly for nonsophisticated investors, and led to the development of the Valor-COPPEAD indices.