Risco e retorno de carteiras formadas por ações blue chips e small caps no Brasil: análise comparativa das carteiras individuais e combinadas

Abstract

With the growth in the number of investors in the Brazilian stock market, this study aims to analyze the risk and return of portfolios composed of blue-chip and small-cap stocks, comparing the performance of individual portfolios and the combined portfolio. To achieve this, historical daily market data over a 15-year period, from January 2008 to January 2023, were analyzed. Additionally, the CAPM model was estimated to assess the risk-return relationship of the portfolios. The results indicate that the blue-chip portfolio had the highest return (2.50%) among the analyzed portfolios but also recorded the highest risk (2.35%). On the other hand, the combined portfolio achieved a return of 2.41% with the lowest risk (2.16%), suggesting a more balanced risk-return relationship. The small-cap portfolio, despite having a relatively high return (2.36%), exhibited a slightly higher risk than the combined portfolio (2.18%). Therefore, based on these results, it is observed that the blue-chip portfolio had the best performance in terms of return, while the combined portfolio presented the best risk-return relationship. However, the negative Sharpe ratio indicates that, during the analyzed period, none of the portfolios offered a satisfactory risk-return ratio compared to the risk-free rate. In other words, the investor would have obtained a higher return by investing in risk-free assets, such as government bonds.