Análise de carteiras de investimentos compostas por ETFs através do risco e retorno

Abstract

The capital market in Brazil can be considered underdeveloped compared to the world's major financial centers, but it has a variety of assets that can be analyzed to compose an investment portfolio. Exchange Traded Funds (ETFs) are market index-based funds that track profitability and allows for low cost allocation of capital. The objective of this research is to map the ETFs listed in B3 S.A. - Brazil, Bolsa, Balcão, to understand their composition, characteristics and returns in the last five years, thus composing an investment portfolio suggestion through risk analysis and return on assets. An exploratory research methodology was used with quantitative and qualitative data, using monthly variation samples and the measure of standard deviation, mean and calculation of Sharpe ratio. For comparison, three investor characteristics were composed through market profile analysis, and based on this information we propose a portfolio that offers the best risk-return ratio for each investor profile. The results evidenced the high volatility by measuring the standard deviation, but with an appreciation above the reference index according to the Sharpe ratio.