Análise do desempenho dos índices setoriais da B3 e sua relação com a taxa básica de juros no Brasil

Abstract

This study aimed to analyze the performance of B3 sectoral indices in relation to variations in the basic interest rate in Brazil, covering the period from the beginning of the index series until July 31, 2023. In cases where the series started before the year 2000, quotations from January 3, 2000, were considered. To achieve this goal, a descriptive research with a quantitative approach was adopted. The study included the analysis of charts representing the returns of the indices in relation to the performance of the Selic rate, the conduction of regression analyses of the indices in relation to interest rates and inflation. Additionally, the correlation between the indices and Selic was examined, tests were applied to check for possible differences in means, cumulative returns were analyzed, and an analysis of average returns in periods of high and low interest rates was conducted to interpret the results and highlight the impact of Selic on sectoral index returns. The study's results indicated that, in general, B3 sectoral indices showed higher average returns in low-interest rate periods. Based on the two-year Selic rate average, the INDX, IMAT, AGFS, and SMLL indices had the best average performances in low-interest scenarios, while the INDX, UTIL, IFNC, and IEEX indices stood out with the best average performances in high-interest moments. When considering the five-year average, the INDX, UTIL, IMAT, and AGFS indices demonstrated the best average results in low-interest rate periods, whereas the INDX, IFNC, IEEX, and UTIL indices performed better on average in high-interest rate situations. Regression analyses showed that the performance of the indices was not significantly influenced by inflation and interest rates, represented by IPCA and Selic, respectively. The analyzed correlations suggest that, in general, index returns and interest rates maintained an inverse relationship, meaning that increases in interest rates resulted in index devaluation. Overall, the indices did not exhibit statistically significant differences between their returns and interest rates. Finally, most indices had cumulative returns higher than Selic and the Ibovespa during the analyzed period.