This diploma thesis was aimed at analysing the investment strategies on the American stock market. The main aim was to evaluate the market efficiency, to analyse various strategies and to select the most appropriate one according to the assessed form of the market efficiency. Firstly, the weak-form efficiency was validated by correlation and runs tests. Subsequently, the methods of technical and fundamental analysis were applied. The final part is focused on creating the investment portfolio, which is also considered the most suitable strategy.

Submitted by Rodrigo Fernandes Malaquias (rodrigofmalaquias@yahoo.com.br) on 2012-04-17T22:25:22Z No. of bitstreams: 1 Tese_Rodrigo_F_Malaquias.pdf: 576659 bytes, checksum: 8f69c77c88c361b0ff739ef8c6b56262 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2012-04-18T12:03:43Z (GMT) No. of bitstreams: 1 Tese_Rodrigo_F_Malaquias.pdf: 576659 bytes, checksum: 8f69c77c88c361b0ff739ef8c6b56262 (MD5) / Made available in DSpace on 2012-04-18T12:40:01Z (GMT). No. of bitstreams: 1 Tese_Rodrigo_F_Malaquias.pdf: 576659 bytes, checksum: 8f69c77c88c361b0ff739ef8c6b56262 (MD5) Previous issue date: 2012-03-20 / The aim of this study was to analyze the performance of Brazilian multimarket investment funds, using a measure that is more adequate to the characteristics of their returns distribution. Given that these class involve the Brazilian funds which most resemble the foreign hedge funds, traditional measures such Sharpe’s Ratio and Jensen’s Alpha may not be appropriate to analyze the ability of its managers to add extraordinary value. The measure used is related to the paper of Amin and Kat (2003), which compares the expected return of the fund with the returns generated by a strategy that, in the absence of arbitrage, has no cost to be implanted and yields a risk-free rate. With monthly data of 107 multimarket funds in the period from January 2005 to August 2011, the main results showed that the average net performance of the funds was lower than zero. On the other hand, the average gross performance (measured with returns before management fees and performance) was statistically greater than zero, indicating that managers can add extraordinary value, but these gains are eroded by management and performance fees. The work also showed that periods of crisis not only have a significantly (and negative) impact on the performance of the funds, but also on the relationship of this performance with its determinants. Thus, the results of this work may have important contributions to the development of the theory on investment fund performance in Brazil, both because it involves the use of a more adequate analysis tool and considers the crisis as a variable that moderates the relationship between performance and its determinants. / A proposta deste trabalho foi analisar a performance dos fundos multimercados brasileiros com uma medida mais adequada às características da distribuição de frequência de seus retornos. Tendo em vista que estes são os fundos brasileiros que mais se assemelham aos hedge funds estrangeiros, medidas tradicionais, como o Índice de Sharpe e o Alfa de Jensen, podem não ser adequadas para analisar a habilidade dos gestores em agregar valor extraordinário para os seus cotistas. A medida utilizada está relacionada com o trabalho de Amin e Kat (2003), que compara o retorno esperado do fundo com o retorno gerado por uma estratégia que, na ausência de arbitragem, possui custo zero para ser implantada e rende a taxa livre de risco. Com dados mensais de 107 fundos multimercados no período de Janeiro/2005 a Agosto/2011, os principais resultados mostraram que a performance líquida média dos fundos foi estatisticamente menor que zero. Já a performance média medida com base nos retornos brutos (antes das taxas de administração e de performance) foi estatisticamente superior a zero, indicando que os gestores podem até agregar valor extraordinário, mas esses ganhos são corroídos por taxas de administração e de performance. Destacam-se também resultados mostrando que períodos de crise impactaram significativamente não só a performance dos fundos, mas também a sua relação com seus determinantes. Desta forma, entende-se que os resultados podem introduzir importantes contribuições para a construção da teoria sobre a performance de fundos de investimentos brasileiros, tanto por envolver a utilização de uma ferramenta de análise mais adequada quanto por considerar a crise como uma variável moderadora da relação entre a performance e seus determinantes.

Submitted by Rodolfo Zeidler (rodolfo.zeidler@gmail.com) on 2014-10-14T12:22:56Z No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-10-14T12:55:20Z (GMT) No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) / Made available in DSpace on 2014-10-14T13:09:41Z (GMT). No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) Previous issue date: 2014-10-13 / O objetivo deste trabalho é realizar procedimento de back-test da Magic Formula na Bovespa, reunindo evidências sobre violações da Hipótese do Mercado Eficiente no mercado brasileiro. Desenvolvida por Joel Greenblatt, a Magic Formula é uma metodologia de formação de carteiras que consiste em escolher ações com altos ROICs e Earnings Yields, seguindo a filosofia de Value Investing. Diversas carteiras foram montadas no período de dezembro de 2002 a maio de 2014 utilizando diferentes combinações de número de ativos por carteira e períodos de permanência. Todas as carteiras, independentemente do número de ativos ou período de permanência, apresentaram retornos superiores ao Ibovespa. As diferenças entre os CAGRs das carteiras e o do Ibovespa foram significativas, sendo que a carteira com pior desempenho apresentou CAGR de 27,7% contra 14,1% do Ibovespa. As carteiras também obtiveram resultados positivos após serem ajustadas pelo risco. A pior razão retorno-volatilidade foi de 1,2, comparado a 0,6 do Ibovespa. As carteiras com pior pontuação também apresentaram bons resultados na maioria dos cenários, contrariando as expectativas iniciais e os resultados observados em outros trabalhos. Adicionalmente foram realizadas simulações para diversos períodos de 5 anos com objetivo de analisar a robustez dos resultados. Todas as carteiras apresentaram CAGR maior que o do Ibovespa em todos os períodos simulados, independentemente do número de ativos incluídos ou dos períodos de permanência. Estes resultados indicam ser possível alcançar retornos acima do mercado no Brasil utilizando apenas dados públicos históricos. Esta é uma violação da forma fraca da Hipótese do Mercado Eficiente. / The main purpose of this work is to back-test the Magic Formula in the Bovespa Stock Exchange, gathering evidences of violations of the Efficient Market Hypothesis in the Brazilian market. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between December 2002 and May 2014 combining different number of assets per portfolio and different holding periods. All the portfolios, independently of their number of assets or holding periods, presented returns higher than Ibovespa. The differences between the CAGR from the portfolios and from the Ibovespa were significant, the worst performance portfolio presenting CAGR of 27,7%, as compared with 14,1% of Ibovespa. The portfolios also held positive results after being adjusted for risk. The worst return-volatility ratio was 1.2, as compared to 0.6 from Ibovespa. The portfolios containing the assets with the lowest scores also presented good results in the majority of the scenarios, contradicting the initial expectations and the results observed in other works. In addition, simulations were performed for various 5-year periods aiming to check if the results were robust. All the portfolios presented higher CAGR than Ibovespa in all the simulated periods, independently of the number of assets included in the portfolio or the holding period. These results indicate that it is possible to reach above-market returns using historical public data in Brazil. This is a violation of the Efficient Market Hypothesis in its weak form.

Submitted by Leonardo Milane (lemilane@santander.com.br) on 2016-02-15T21:54:56Z No. of bitstreams: 1 Tese - Leonardo Milane - Magic Formula.pdf: 348511 bytes, checksum: 91d8cd74adea7ad467c334e5d332aeb4 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-02-15T21:55:58Z (GMT) No. of bitstreams: 1 Tese - Leonardo Milane - Magic Formula.pdf: 348511 bytes, checksum: 91d8cd74adea7ad467c334e5d332aeb4 (MD5) / Made available in DSpace on 2016-02-16T11:16:35Z (GMT). No. of bitstreams: 1 Tese - Leonardo Milane - Magic Formula.pdf: 348511 bytes, checksum: 91d8cd74adea7ad467c334e5d332aeb4 (MD5) Previous issue date: 2016-02-04 / The main purpose of this work is to back-test the Magic Formula in the IBX- 100 index, in order to gather evidence of effectiveness of the respective methodology in the selection of the best stocks and portfolios that beat the IBX-100 in the long run. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between January 2000 and June 2015 combining different number of stocks per portfolio and different holding periods. Some portfolios did beat the market index, while some did not. Portfolios with a higher number of stocks and longer holding periods seem to perform better than portfolio with fewer stocks and shorter holding periods. The portfolio with 10 stocks, holding period of 1 year, showed the highest CAGR among all portfolios (17,77%), surpassing the IBX-100 CAGR of 13,17% in the same period, even risk-adjusting. Regardless the holding period and the number of stocks, all portfolios presented lower systematic risk than the IBX-100 index (all betas were significant and lower than 1). On the other hand, all alphas were low, rarely significant, suggesting that the active portfolio management that follows the Magic Formula criteria did not add substantial higher returns when compared to market returns. / O objetivo desse trabalho é realizar um procedimento de back-test da Magic Formula no IBX-100, a fim de reunir evidencias sobre a eficiência de tal metodologia no processo de seleção das melhores ações e formação de carteiras que superem o desempenho do IBX-100 no longo prazo. Desenvolvida por Joel Greenblatt, a Magic Formula é uma metodologia de formação de carteiras que consiste em escolher ações com altos ROICs e Earnings Yields, seguindo a filosofia de Value Investing. Diversas carteiras foram montadas no período de janeiro de 2000 a junho de 2015 utilizando diferentes combinações de número de ativos por carteira e períodos de permanência. Nem todas as carteiras apresentaram retornos superiores ao índice de mercado. Aparentemente, as carteiras com mais ações e períodos de permanência mais longos apresentam desempenho superior às carteiras menores e com rotatividade maior (períodos de permanência mais curtos). A carteira de 10 ações, com período de permanência de 1 ano, apresentou o maior CAGR dentre todas as outras (17,77%), superando o CAGR de 13,17% do IBX-100 no mesmo período. Esse resultado foi superior mesmo quando ajustado ao risco. Independentemente do período de permanência e número de ações, todas as carteiras apresentaram riscos sistemáticos menores do que o índice IBX-100 (todos os betas foram significativos e menores do que 1). Por outro lado, os alfas das carteiras foram muito baixos e, raramente, significativos, sugerindo que a gestão ativa de acordo com os critérios da Magic Formula não adiciona retornos substancialmente maiores do que o retorno relacionado à variações de mercado.

This thesis is dedicated to the stock markets issue. Its main aim was to assess the effectiveness of the stock market and choose an appropriate investment strategy. To this purpose, the 5 industries of U.S. stock market were chosen, which served as a data base for all applied methods. The thesis presents the results of correlation and runs tests verifying the weak form of market efficiency, the results of fundamental analysis and of active strategies simulation as well. The final part is focused on creating of investment portfolio, which was chosen as the most appropriate investment strategy of the refenrence data set.

The purpose of this thesis is: (i) to produce an in-depth data analysis and computer-based simulations of the market environment to investigate whether financial stability is affected by the presence of High-Frequency investors; (ii) to verify how High-Frequency Trading and financial stability interact with each other under non-linear conditions; (iii) whether non-illicit behaviours can still lead to potentially destabilising effects; (iv) to provide quantitative support to the theses, either from the audit trail data or resulting from simulations. Simulations are provided to test whether High-Frequency Trading: (a) has an impact on market volatility, (b) leads to market splitting into two tiers; (c) takes the lion's share of arbitrage opportunities. Audit trail data is analysed to verify some hypotheses on the dynamics of the Flash Crash. The simulation on the impact of High-Frequency Trading on market volatility confirms that when markets are under stress, High-Frequency Trading may cause volatility to significantly increase. However, as the number of ultra-fast participants increases, this phenomenon tends to disappear and volatility realigns to its standard values. The market tiering simulation suggests that High-Frequency traders have some tendency to deal with each other, and that causes Low-Frequency traders also to deal with other slow traders, albeit at a lesser extent. This is also a kind of market instability. High-Frequency Trading potentially allows a few fast traders to grab all the arbitrage-led profits, so falsifying the Efficient Market Hypothesis. This phenomenon may disappear as more High-Frequency traders enter the competition, leading to declining profits. Yet, the whole matter seems a dispute for abnormal gains only between few sub-second traders. All simulations have been carefully designed to provide robust results: the behaviours simulated have been drawn from existing literature and the simplifying assumptions have been kept to a minimum. This maximises the reliability of the results and minimizes the potential of bias. Finally, from the data analysis, the impact of High-Frequency Trading on the Flash Crash seems significant; other sudden crashes occurred since, and more can be expected over the next future. Overall, it can be concluded that High-Frequency Trading shows some controversial aspects impacting on financial stability. The results are at a certain extent confirmed by the audit trail data analysis, although only indirectly, since the details allowing the match between High-Frequency traders and their behaviour are confidential and not publicly available Nevertheless, the findings about HFT-induced volatility, market segmentation and sub-optimal market efficiency, albeit not definitive, suggest that careful monitoring by regulators and policy-makers might be required.

Investors and fund managers have, since the start of financial markets, always been on the lookout for new ways of beating the market. However, researchers of the Efficient Market Hypothesis have shown that markets are usually highly efficient, implying that there are few possibilities of earning returns that are higher than the market returns, on a risk adjusted basis. Prevailing theories, such as the Capital Asset Pricing Model, has shown that increased return must stem from taking on higher risk. Though, this model’s explanatory power has been challenged by numerous researchers who propose different factors, other than market risk, which could hold explanatory power when it comes to returns in the stock market. This area of research is called factor investing, and has shown that factors such as momentum, size, and value, all can lead to outperforming the market.This study examines how a model based on two common factors, quality and value, would have performed on the Swedish stock market. The study is based on five portfolios chosen by the quality and value factors, each one held for 5 years, examined over a 25-year time span and uses the capital asset pricing model as a tool to measure whether or not the selected factors outperform the market. The study has taken a quantitative approach to examining the research question, using a positivistic and objectivistic view.The results of the study show evidence that the quality and value factors can lead to significant outperformance relative to the market index. Both total returns and risk adjusted returns were higher than the market index for some of the portfolios created using the quality and value factors. Furthermore, statistical evidence was found of that CAPM not fully explains all returns, and thus, that the returns are in part explained by the quality and value factors. The findings led to the conclusion that the quality and value factors does, in fact, hold explanatory power beyond that of CAPM. Purchasing quality companies at a reasonable price is shown to be a sound investment strategy, and that a portfolio created using the quality and value factors has good chances of outperforming the market index.

nÃo hà / Este estudo investiga a hipÃtese de eficiÃncia de mercado, a qual designa que estratÃgias de previsibilidade baseadas no comportamento passado das sÃries de retornos de aÃÃes nÃo implicam a obtenÃÃo de lucros econÃmicos. SÃo analisados dados de 25 mercados, estendendo-se de janeiro de 1990 a janeiro de 2010. A metodologia principal consiste na aplicaÃÃo de cinco testes de raiz unitÃria para painel, entre os quais se destaca o de Pesaran, Smith e Yamagata (2009), o qual assume que existe um determinado nÃmero de variÃveis que sÃo simultaneamente afetadas por um dado conjunto de fatores comuns nÃo observados. Os resultados modificam-se conforme altera-se o poder dos testes. O principal teste aplicado, particularmente, rejeita a hipÃtese em questÃo, sinalizando a possibilidade de exploraÃÃo de certas ineficiÃncias para a obtenÃÃo de lucros adicionais. / This paper investigates the efficient market hypothesis, which indicates a situation where investors are not able to develop a familiarity with past patterns of returns in order to obtain extra profits. It is used a sample containing 25 markets over the period January 1990 to January 2010. Econometric Methodology consists in exploiting five unit root tests, between which Pesaran, Smith e Yamagata (2009) is in relief, which assumes that there exists a number of variables that are simultaneously affected by a given set of unobserved common factors. Main results reject the efficient market hypothesis, indicating possibilities of exploiting inefficiency for obtaining extra profits.

Partindo dos conceitos estabelecidos pela Hipótese dos Mercados Eficientes (HME), a qual questiona a validade da Análise Gráfica, e considerando as críticas feitas à HME pelos defensores das assim chamadas Finanças Comportamentais, e outros, este estudo procurou detectar a existência de uma relação entre os sinais gráficos observados no dia-a-dia do mercado de ações brasileiro e as tendências que lhes sucedem, durante um período de 8 anos, para um número de papéis. Os resultados obtidos neste trabalho evidenciam a existência de tal relação, sugerindo a validade da utilização da Análise Gráfica como instrumento para a previsão de preços no mercado de ações brasileiro, no período considerado. / Based on the principles established by the Efficient Market Hypothesis (EMH), which argues that the Technical Analysis is of no value in order to predict future prices of securities, and considering the criticism to the EMH by the advocates of the so called Behavioral Finance, and others, this work tried to detect the existence of a relationship between the graphic signals observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study offer evidence of the existence of such relationship, suggesting the validity of the Technical Analysis as an instrument to predict security prices in the Brazilian stock market within that period.

Esse estudo visa testar a eficiência informacional dos mercados acionários brasileiro e mexicano, através do desenvolvimento de um estudo de eventos. Para viabilização do estudo, o mercado brasileiro será representado pela BOVESPA - Bolsa de Valores de São Paulo e o mercado mexicano pela BMV - Bolsa Mexicana de Valores. Especificamente, esses mercados serão representados pelas ações de empresas que participaram da composição das carteiras teóricas dos Índices IBOVESPA e IpyC (Índice de Precios y Cotizaciones) durante todo o período compreendido entre Janeiro de 2001 e Janeiro de 2006. Foram analisadas as reações dos retornos das ações nesses mercados nos dias próximos às datas das divulgações de resultados trimestrais pelas empresas em busca de evidências de ineficiências. Os resultados encontrados mostraram indícios de eficiência informacional quando as empresas foram consideradas individualmente e indícios de ineficiência informacional quando considerada carteira toda. / This study aims to test the informational efficiency of the Brazilian and Mexican stock markets, through the development of an event study. For this purpose, BOVESPA, the Sao Paulo Stock Exchange will represent the Brazilian stock market while the Mexican Stock Exchange (BMV) will represent the Mexican stock market. Specifically, these markets will be represented by the company stocks that participated of the composition of their stock market indexes, IBOVESPA (BOVESPA Index) and IPyC (Mexican Stock Exchange Index), during the period of January 2001 through January 2006. Stock prices were analyzed for the days around the quarterly results release dates, searching for inefficiency evidence in these markets. The results show signs of information-efficiency when considering each company and information inefficiency when considering the market portfolio.