Magic formula: investir apenas em small caps gera maiores retornos?

Abstract

The magic formula is an investment methodology inspired by value investing, created by Joel Greenblatt and stands out for being a simple, easy-to-understand methodology that, if applied correctly, will be able to guarantee above-average long-term results for investors. The objective of this research was to carry out a comparative study of the performance of conventional portfolios and portfolios made up of only small caps, based on the methodology developed by Greenblatt, between the years 2011 and 2022, in order to conclude whether the investor who invested in only small caps, based on the magic formula methodology, obtained superior returns when compared to the IBOV and the conventional magic formula portfolios during the proposed period. The research was descriptive, with a quantitative approach, with secondary data collected from the Economatica platform, and the research procedure was ex-post facto. Based on the data analysis, it was inferred that despite showing higher returns than the IBOV during the analyzed period, composing a sample consisting of only small caps for the composition of portfolios, based on the magic formula methodology, did not prove to be effective, in terms of financial return, when compared with the conventional methodology originally described by Greenblatt.