Value investing no mercado brasileiro: aplicação da fórmula de valor intrínseco de Benjamin Graham na seleção de carteiras no mercado brasileiro

Abstract

This dissertation investigates the performance of four stock portfolios constructed in the Brazilian equity market between April 2015 and November 2025 based on fundamental criteria inspired by Benjamin Graham, combined with a minimum margin of safety requirement of 33% relative to estimated intrinsic value. Three portfolios follow fixed compositions evaluated over different time windows, while the fourth adopts an annual reconstitution strategy. Portfolio performance is compared with that of the market portfolio computed and made available by NEFIN using descriptive statistics, cumulative and annualized returns, the modified Sharpe ratio, and monthly asset pricing regressions estimated with the CAPM and multifactor models built with the market, size, value, momentum, and illiquidity factors provided by NEFIN, with heteroskedasticity-robust inference. The results show that all four portfolios outperformed their corresponding market benchmarks in terms of cumulative returns and risk-adjusted performance, with the annual reconstitution portfolio delivering the strongest overall result in the sample. In the econometric analysis, the clearest evidence of abnormal returns is concentrated in this strategy, whose alphas remained positive and statistically significant across all estimated specifications, even after controlling for risk factors. For the fixed-composition portfolios, although cumulative performance also exceeded that of the market, the evidence of alpha statistically different from zero was less conclusive. Taken together, the findings suggest that the periodic reapplication of the selection criteria adds value and that the strategy examined cannot be fully explained by the traditional risk factors of the Brazilian equity market. As a technical product, the dissertation includes, in the appendix, a report on the Graham Value Screener, a web application developed to operationalize stock screening based on Graham’s criteria, intrinsic value, and margin of safety.