Seleção de ativos e critérios de alocação de recursos para gestão passiva de carteiras referenciadas ao IBOVESPA utilizando data envelopment analysis - DEA

Abstract

The goal of this work is to continue the studies involving the suitability of the Data Envelopment Analysis (DEA) methodology, to be used for the selection of assets in the Brazilian variable income market, proposed by Pigatto (2005), following a proposal by Powers and McMullen (2000). Seeking greater suitability and applicability to the reality of the Brazilian stock market, the following specific goals were defined: to build passive investment portfolios indexed to the Bovespa Index and to identify efficient criteria used for the allocation of funds towards selected assets. In regard to inputs, this study used fundamental indexes Price/Profit and Price/Equity Value per Share, a technical index called 9- Day Relative Strength Index and a technical index designated Modulus of Beta Minus 1 (|Beta 1|). As for outputs, Accumulated Profitability from One to Two Years Adjusted by Revenues was applied. For this study, an option was made to use stock belonging to each one of the theoretical Ibovespa portfolios during four-month periods immediately prior to the simulations. Upon application of the DEA methodology, groups of assets deemed efficient were selected and used as a basis for three hypothetical fund allocations, of which one presented an equal distribution and two followed the proportion verified in the theoretical Ibovespa portfolios that gave rise to the samples. The portfolios were built based on a fourmonth period and had their results compared with the fluctuations of the Bovespa Index and the Selic Index, accumulated during such four-month period. The results demonstrate that the input-oriented DEA methodology, using the BCC model, is efficient for the selection of assets in the Brazilian variable income market and the fund allocation criteria which is proportional to the theoretical Ibovespa portfolio appeared to be the most adequate for the building of stock portfolios in such market.