摘要：The purpose of this research was to verify if portfolios selected by fundamentalist variables have a good market performance when evaluated through the Sharpe Index from 1994. As analysis method, we collected data from the following stock exchanges: Argentina; Brazil; Chile; and Mexico. The portfolios were formed through the securities hierarchy using their grades obtained in a weighted factors decision matrix, which the variables was: Tobin’s Q; Beta; Leverage; Price/Earning; Price Sales Ratio. On the results we verified that the portfolios selected through the fundamentalist variables showed a good performance in 28.72% of the cases, when compared to the market proxies. For future studies, we suggest using generalized linear model instead the multiple regressions to figure out the factor weights, to use others fundamentalist variables or even to verify if portfolios formed by fundamentalist variables have a better market performance than portfolios selected by Markowitz model.
其他摘要：The purpose of this research was to verify if portfolios selected by fundamentalist variables have a good market performance when evaluated through the Sharpe Index from 1994. As analysis method, we collected data from the following stock exchanges: Argentina; Brazil; Chile; and Mexico. The portfolios were formed through the securities hierarchy using their grades obtained in a weighted factors decision matrix, which the variables was: Tobin’s Q; Beta; Leverage; Price/Earning; Price Sales Ratio. On the results we verified that the portfolios selected through the fundamentalist variables showed a good performance in 28.72% of the cases, when compared to the market proxies. For future studies, we suggest using generalized linear model instead the multiple regressions to figure out the factor weights, to use others fundamentalist variables or even to verify if portfolios formed by fundamentalist variables have a better market performance than portfolios selected by Markowitz model.
