Seleção de Carteiras e IPOS de empresas na Pandemia: um estudo com Análise Envoltória de Dados

Abstract

This study aimed to evaluate the feasibility of using Data Envelopment Analysis (DEA) in the construction of investment portfolios for the Brazilian stock market. Brazil has undergone significant changes in its economic situation, including the drop in interest rates, which has driven the migration of investors from fixed income to variable income. In the midst of this change, interest was aroused in analyzing whether it is possible to assemble an efficient portfolio by exclusively selecting companies that did IPOs between January 2020 and June 2022, exactly during the COVID-19 Crisis. The study used the DEA model to measure the efficiency of companies in different sectors, identifying those that stood out as the most efficient in their use of resources and generation of results. The civil construction sector was one of those that obtained more companies with high efficiency, even during a high-impact economic crisis. The results indicated that the judicious approach to asset selection through the DEA model can lead to outperforming the market and building more resilient and profitable investment portfolios. The DEA(4Q) portfolio demonstrated a superior performance in terms of profitability compared to other portfolios and in relation to the benchmark used, in addition to showing a lower drop than the market, emphasizing the importance of minimizing losses.