IBOV VALE3 ITUB4 BBDC4 ABEV3 PETR4 PETR3 B3SA3 ITSA4 BBAS3

IBOV 1.00
VALE3 0.60 1.00
ITUB4 0.91 0.42 1.00
BBDC4 0.93 0.45 0.93 1.00
ABEV3 0.37 -0.07 0.40 0.40 1.00
PETR4 0.89 0.59 0.77 0.78 0.21 1.00
PETR3 0.86 0.60 0.73 0.72 0.18 0.97 1.00
B3SA3 0.83 0.43 0.77 0.82 0.38 0.79 0.75 1.00
ITSA4 0.91 0.37 0.97 0.92 0.50 0.74 0.69 0.77 1.00
BBAS3 0.92 0.46 0.90 0.87 0.34 0.86 0.82 0.77 0.89 1.00
UGPA3 0.58 0.12 0.57 0.60 0.45 0.47 0.47 0.58 0.55 0.57
LREN3 0.68 0.15 0.62 0.69 0.35 0.60 0.56 0.70 0.66 0.66
SUZB3 -0.18 -0.13 -0.20 -0.25 -0.04 -0.19 -0.15 -0.21 -0.18 -0.22
CIEL3 0.53 0.18 0.48 0.50 0.24 0.49 0.50 0.47 0.48 0.54
BRFS3 0.36 0.13 0.28 0.34 0.11 0.24 0.22 0.17 0.24 0.27
BBDC3 0.87 0.39 0.87 0.95 0.44 0.72 0.65 0.82 0.87 0.84
VIVT4 0.61 0.28 0.58 0.69 0.30 0.50 0.43 0.47 0.59 0.58
KROT3 0.50 0.33 0.38 0.46 0.17 0.45 0.41 0.46 0.40 0.41
FIBR3 -0.22 -0.15 -0.22 -0.29 -0.12 -0.24 -0.17 -0.30 -0.25 -0.21
GGBR4 0.65 0.62 0.59 0.52 0.14 0.70 0.62 0.53 0.54 0.65
BBSE3 0.79 0.36 0.72 0.76 0.28 0.74 0.71 0.69 0.72 0.79
RADL3 0.28 0.03 0.25 0.39 0.34 0.23 0.21 0.35 0.26 0.23
JBSS3 0.19 -0.04 0.18 0.21 0.12 0.02 0.01 0.04 0.23 0.16
EMBR3 -0.08 0.05 -0.07 -0.09 -0.02 -0.23 -0.22 -0.17 -0.06 -0.16
BRKM5 0.20 0.09 0.21 0.15 -0.11 0.22 0.28 0.14 0.12 0.25
WEGE3 0.24 -0.08 0.22 0.23 0.43 0.23 0.18 0.11 0.27 0.29
SANB11 0.69 0.49 0.65 0.65 0.11 0.67 0.65 0.55 0.65 0.61
PCAR4 0.64 0.50 0.55 0.64 0.13 0.61 0.55 0.44 0.51 0.57
RENT3 0.68 0.27 0.65 0.69 0.41 0.59 0.49 0.65 0.67 0.62
LAME4 0.54 0.04 0.50 0.58 0.33 0.36 0.32 0.42 0.55 0.49
EQTL3 0.56 0.21 0.46 0.48 0.15 0.45 0.41 0.52 0.52 0.49
CCRO3 0.61 0.18 0.57 0.62 0.35 0.53 0.50 0.57 0.56 0.60
HYPE3 0.43 -0.01 0.36 0.42 0.29 0.37 0.37 0.36 0.38 0.46
TIMP3 0.55 0.37 0.45 0.48 0.20 0.50 0.40 0.31 0.47 0.51
MGLU3 0.35 0.36 0.31 0.37 0.01 0.28 0.21 0.18 0.31 0.30
SBSP3 0.51 0.22 0.47 0.45 0.25 0.40 0.37 0.48 0.50 0.42
BRML3 0.63 0.25 0.61 0.69 0.30 0.49 0.46 0.67 0.63 0.59
FLRY3 0.39 0.21 0.32 0.37 0.26 0.37 0.28 0.37 0.30 0.37
ESTC3 0.44 0.26 0.32 0.41 0.22 0.31 0.28 0.38 0.37 0.30
UGPA3 LREN3 SUZB3 CIEL3 BRFS3 BBDC3 VIVT4 KROT3 FIBR3 GGBR4 BBSE3

1.00
0.60 1.00
-0.18 -0.27 1.00
0.53 0.62 -0.43 1.00
0.34 0.25 -0.06 0.22 1.00
0.61 0.63 -0.23 0.49 0.26 1.00
0.51 0.53 -0.27 0.40 0.28 0.70 1.00
0.20 0.39 -0.30 0.26 0.29 0.38 0.24 1.00
0.01 -0.34 0.71 -0.34 0.12 -0.26 -0.20 -0.33 1.00
0.26 0.17 -0.14 0.28 0.12 0.55 0.38 0.25 -0.15 1.00
0.55 0.69 -0.24 0.59 0.27 0.74 0.52 0.55 -0.27 0.46 1.00
0.35 0.53 -0.35 0.31 0.15 0.36 0.36 0.31 -0.31 -0.06 0.28
0.16 0.16 0.09 0.01 0.26 0.18 0.18 -0.01 0.05 0.01 0.10
-0.18 -0.17 0.25 -0.37 -0.14 -0.07 -0.19 0.05 0.26 -0.12 -0.13
0.11 0.05 0.15 0.02 -0.07 0.15 0.01 0.16 0.27 0.07 0.11
0.09 0.30 -0.16 0.35 0.33 0.14 -0.02 0.24 -0.09 0.12 0.28
0.28 0.37 -0.05 0.32 0.14 0.60 0.40 0.29 -0.13 0.47 0.52
0.31 0.50 -0.20 0.32 0.23 0.57 0.50 0.40 -0.24 0.41 0.60
0.47 0.53 -0.12 0.42 0.09 0.67 0.51 0.39 -0.22 0.54 0.59
0.29 0.56 -0.01 0.24 0.34 0.52 0.41 0.37 -0.14 0.05 0.46
0.33 0.57 -0.03 0.47 0.21 0.47 0.25 0.36 -0.12 0.28 0.55
0.52 0.63 -0.25 0.51 0.26 0.59 0.45 0.43 -0.30 0.24 0.63
0.39 0.36 -0.05 0.32 0.12 0.43 0.34 0.28 -0.01 0.27 0.50
0.17 0.33 -0.14 0.28 0.20 0.49 0.55 0.38 -0.13 0.48 0.52
0.07 0.19 -0.06 0.01 0.16 0.26 0.29 0.23 -0.14 0.24 0.27
0.41 0.54 -0.24 0.45 0.03 0.40 0.22 0.33 -0.25 0.25 0.43
0.41 0.60 -0.27 0.33 0.07 0.67 0.40 0.43 -0.32 0.25 0.57
0.30 0.34 -0.05 0.17 0.08 0.36 0.23 0.46 -0.12 0.41 0.40
0.22 0.43 -0.13 0.21 0.19 0.36 0.19 0.63 -0.21 0.10 0.33
RADL3 JBSS3 EMBR3 BRKM5 WEGE3 SANB11 PCAR4 RENT3 LAME4 EQTL3 CCRO3

1.00
0.00 1.00
-0.06 0.09 1.00
-0.10 0.04 0.07 1.00
0.18 0.04 -0.04 -0.12 1.00
0.09 0.08 0.03 0.26 0.15 1.00
0.26 0.00 -0.02 0.10 0.24 0.37 1.00
0.18 0.19 -0.14 0.05 0.29 0.40 0.46 1.00
0.21 0.35 0.06 0.20 0.23 0.38 0.38 0.45 1.00
0.20 0.20 -0.10 0.00 0.14 0.41 0.22 0.40 0.46 1.00
0.30 -0.01 -0.30 0.15 0.30 0.31 0.50 0.43 0.44 0.43 1.00
0.24 0.00 -0.12 0.18 0.32 0.35 0.19 0.52 0.37 0.35 0.44
-0.04 0.05 0.00 0.04 0.20 0.36 0.41 0.49 0.32 0.40 0.35
-0.13 0.18 -0.04 -0.04 0.11 0.38 0.32 0.34 0.34 0.11 0.23
0.23 -0.08 0.04 0.07 0.18 0.37 0.33 0.35 0.32 0.59 0.44
0.42 0.05 0.03 0.08 0.24 0.36 0.50 0.55 0.43 0.38 0.65
0.26 0.16 -0.08 0.16 0.22 0.19 0.36 0.52 0.24 0.25 0.36
0.17 0.25 0.15 0.15 0.12 0.22 0.35 0.40 0.41 0.30 0.26
HYPE3 TIMP3 MGLU3 SBSP3 BRML3 FLRY3 ESTC3

1.00
0.38 1.00
0.06 0.32 1.00
0.31 0.23 0.09 1.00
0.53 0.29 0.11 0.53 1.00
0.23 0.28 0.37 0.18 0.28 1.00
0.05 0.19 0.22 0.38 0.38 0.31 1.00
data IBOV VALE3 ITUB4 BBDC4 ABEV3 PETR4
Jul-13 1.6% 6.6% 1.3% -3.8% 4.1% 0.7%
Aug-13 3.7% 11.0% 0.5% 0.1% -2.7% 3.1%
Sep-13 4.7% 0.1% 8.5% 9.7% 2.0% 9.3%
Oct-13 3.7% 6.5% 10.0% 6.3% -1.5% 11.3%
Nov-13 -3.3% 0.3% -4.7% -3.9% 5.2% -6.4%
Dec-13 -1.9% -0.4% -4.2% -4.9% -1.4% -10.7%
Jan-14 -7.5% -7.4% -3.4% -10.0% -5.7% -13.9%
Feb-14 -1.1% -0.2% 5.0% 5.3% 4.9% -7.6%
Mar-14 7.0% -4.8% 8.6% 14.3% 0.4% 16.1%
Apr-14 2.4% -3.8% 8.6% 6.5% -3.1% 11.7%
May-14 -0.7% -3.4% -5.1% -5.9% -2.7% 0.7%
Jun-14 3.8% 3.0% 0.8% 3.4% -0.6% 3.6%
Jul-14 5.0% 11.3% 9.8% 8.1% 0.4% 10.5%
Aug-14 9.8% -10.5% 16.1% 18.1% 4.0% 22.3%
Sep-14 -11.7% -7.8% -16.0% -14.6% -1.6% -22.5%
Oct-14 0.9% -3.4% 8.6% 7.2% 3.7% -15.5%
Nov-14 0.2% -6.8% 5.1% 6.1% 2.7% -16.2%
Dec-14 -8.6% -6.0% -10.3% -9.7% -3.0% -21.7%
Jan-15 -6.2% -15.1% -4.9% -3.7% 9.3% -18.4%
Feb-15 10.0% 14.2% 13.7% 12.0% 4.0% 17.0%
Mar-15 -0.8% -15.6% -3.2% -5.3% 1.1% 1.7%
Apr-15 9.9% 30.4% 9.2% 8.5% 2.7% 34.1%
May-15 -6.2% -11.5% -10.9% -12.2% -2.9% -5.5%
Jun-15 0.6% -8.8% -0.3% 1.8% 4.4% 3.1%
Jul-15 -4.2% -2.3% -3.3% -4.2% 1.9% -17.4%
Aug-15 -8.3% 0.3% -10.6% -15.4% -1.9% -12.5%
Sep-15 -3.4% -7.5% -0.1% -7.0% 2.5% -21.2%
Oct-15 1.8% 5.0% -0.1% -1.9% -1.7% 6.5%
Nov-15 -1.6% -22.8% 5.0% 0.7% -2.4% -0.5%
Dec-15 -3.9% -1.1% -4.5% -4.3% -3.4% -12.6%
Jan-16 -6.8% -25.4% -5.2% -5.8% 4.5% -27.8%
Feb-16 5.9% 21.5% 4.6% 17.7% -4.8% 6.2%
Mar-16 17.0% 28.3% 22.9% 27.0% 6.7% 62.5%
Apr-16 7.7% 30.0% 5.4% 5.3% 3.0% 22.5%
May-16 -10.1% -27.8% -11.6% -11.9% -1.4% -21.4%
Jun-16 6.3% 14.4% 4.4% 11.4% -0.3% 17.2%
Jul-16 11.2% 13.7% 11.6% 12.7% -0.6% 26.0%
Aug-16 1.0% -8.4% 7.3% 2.5% 2.1% 8.3%
Sep-16 0.8% 5.1% -0.9% 2.2% 3.3% 5.6%
Oct-16 11.2% 24.0% 19.0% 15.2% -5.0% 30.4%
Nov-16 -4.6% 27.1% -7.7% -11.0% -8.1% -9.6%
Dec-16 -2.7% -7.9% -3.0% -1.4% -3.1% -7.1%
Jan-17 7.4% 25.3% 10.1% 12.8% 5.3% 1.0%
Feb-17 3.1% 1.7% 9.6% 2.3% 3.7% 1.1%
Mar-17 -2.5% -9.0% -5.3% -3.1% 2.2% -4.5%
Apr-17 0.6% -4.7% 3.6% 3.2% 0.1% -3.6%
May-17 -4.1% -1.1% -9.4% -9.3% 2.5% -7.2%
Jun-17 0.3% 6.7% 3.4% 2.4% -1.3% -4.6%
 Jul-17 4.8% 7.9% 1.6% 8.0% 4.6% 7.4%
Aug-17 7.5% 12.1% 9.3% 11.3% 3.7% 2.7%
Sep-17 4.9% -9.2% 7.5% 4.4% 5.9% 12.1%
Oct-17 0.0% 0.7% -3.0% -1.0% -0.7% 9.6%
Nov-17 -3.1% 9.5% -1.8% -5.8% -1.6% -8.3%
Dec-17 6.2% 15.8% 3.6% 6.3% 5.1% 4.7%
Jan-18 11.1% 3.0% 22.8% 20.5% 3.1% 22.4%
Feb-18 0.5% 8.7% 0.7% -4.8% 0.5% 8.9%
Mar-18 0.0% -5.2% 1.9% 1.9% 9.4% -0.2%
Apr-18 0.9% 15.3% -0.6% -3.7% -3.1% 7.3%
May-18 -10.9% 4.0% -15.7% -15.6% -15.6% -17.2%
Jun-18 -7.0% -4.6% -8.3% -10.1% -3.7% -18.8%

Retorno médio 0.9% 2.0% 1.8% 1.4% 0.6% 1.2%

Variância 0.4% 1.7% 0.7% 0.9% 0.2% 2.6%
Desvio-Padrão 6.2% 13.1% 8.6% 9.5% 4.3% 16.2%
CV 711.78% 649.31% 486.49% 670.35% 720.40% 1309.61%
COVAR 0.4% 0.5% 0.5% 0.5% 0.1% 0.9%
CORREL 1.00 0.60 0.91 0.93 0.37 0.89
Beta 1.00 1.28 1.27 1.42 0.25 2.35
Risk free 0.5% 0.5% 0.5% 0.5% 0.5% 0.5%
Prêmio risco mercado 0.4% 0.4% 0.4% 0.4% 0.4% 0.4%
Ret. Exig. CAPM 0.869% 0.973% 0.969% 1.024% 0.594% 1.366%
Índice de Sharpe 0.0596824016 0.1158542949 0.147452035 0.0963650905 0.0213248377 0.0455782363
PETR3 B3SA3 ITSA4 BBAS3 UGPA3 LREN3 SUZB3 CIEL3
3.8% -0.5% 1.0% 2.4% 1.9% -5.6% -5.7% 0.4%
3.8% -3.7% 0.7% 5.3% -3.0% -5.0% 20.8% 3.9%
6.2% 5.9% 7.8% 13.6% 5.3% 10.9% -6.9% 4.6%
15.2% 2.0% 7.2% 15.1% 9.2% 6.2% 3.8% 13.4%
-6.2% -5.7% -3.6% -13.3% -2.8% -7.4% -6.4% -0.4%
-12.7% -6.2% -3.2% -3.9% -3.6% -2.2% 8.7% -3.1%
-13.9% -13.3% -5.4% -14.4% -4.7% -9.1% 3.0% -2.1%
-5.7% 5.0% 3.4% -0.3% -0.8% 4.1% -6.7% -1.2%
15.2% 11.7% 9.1% 11.9% 5.3% 11.6% -5.6% 16.0%
8.2% 1.3% 5.9% 2.7% 1.9% 3.5% -13.2% 9.3%
0.7% -2.8% -4.1% -2.4% -3.8% 3.2% 12.8% 1.3%
3.2% 6.3% 1.9% 10.5% -2.3% 4.8% 4.0% 13.7%
10.8% 4.5% 9.2% 11.5% -0.7% -3.2% 4.9% -8.8%
23.1% 12.5% 15.9% 26.6% 11.9% 11.9% 1.3% 1.1%
-22.1% -17.1% -14.8% -26.9% -10.2% -7.0% 10.4% -3.0%
-15.1% -2.6% 6.7% 9.6% 4.3% 4.4% 6.3% 1.7%
-17.1% -2.3% 6.0% 7.2% 1.9% 3.3% 4.0% 8.0%
-21.1% -6.5% -9.9% -18.7% -6.5% 0.0% 3.4% -5.2%
-16.2% -7.6% -2.7% -13.1% 3.0% -7.8% -3.4% -4.0%
17.9% 10.3% 13.7% 15.2% 12.4% 19.3% 10.9% 11.8%
1.1% 11.2% -0.9% -1.9% 10.1% 8.2% 22.6% 3.3%
48.7% 12.1% 6.3% 16.2% 7.0% 16.9% 2.1% 10.2%
-7.0% -8.6% -8.6% -13.0% -1.0% 1.9% 11.5% -4.6%
5.9% 4.4% 1.2% 8.1% -4.3% 5.8% -0.8% 9.6%
-17.5% -10.9% -5.7% -9.2% 7.0% -3.6% 1.5% -0.2%
-8.3% 4.7% -12.4% -18.5% -8.6% -9.5% 4.7% -12.3%
-19.6% 2.8% -1.7% -13.3% 5.2% -6.4% 9.7% -3.7%
9.8% 2.9% 0.8% 5.1% 0.3% 0.5% -14.2% -0.1%
0.3% 1.2% 0.7% 3.0% -6.4% -5.4% 15.5% -4.1%
-8.9% -2.2% -3.4% -8.1% -3.6% -2.0% -1.6% -4.3%
-19.1% -5.8% 0.0% -6.0% -1.8% 3.7% -14.7% 0.8%
6.1% 13.3% 1.9% -2.2% 7.2% 1.5% 3.4% -8.4%
44.6% 32.4% 20.1% 47.5% 11.0% 15.9% -23.3% 13.7%
24.8% 11.7% 6.0% 11.8% 3.8% 0.8% 6.0% 15.0%
-23.3% -6.8% -9.3% -24.9% -5.8% 0.6% 11.7% -5.2%
13.1% 13.1% 6.5% 5.2% 4.2% 13.7% -22.7% 6.6%
21.7% 6.1% 10.1% 22.5% 4.1% 15.1% -12.4% 8.5%
5.2% -5.5% 3.8% 11.0% 1.6% -6.0% 2.8% -8.6%
2.7% -6.1% -2.9% -1.2% -4.5% -4.3% 2.6% -2.4%
23.1% 11.8% 13.2% 28.5% 1.8% 10.3% 7.5% -0.3%
-0.9% -11.2% -8.8% -2.3% -4.5% -16.7% 14.1% -8.3%
-8.3% 0.7% -0.2% -1.1% -0.9% 3.4% 10.5% -6.2%
-4.4% 12.1% 12.1% 10.8% -3.3% 3.1% -5.6% -4.6%
-1.4% 2.9% 10.7% 6.4% -1.1% 7.0% 0.4% 3.0%
-5.1% 1.4% -5.2% 2.3% 11.0% 9.1% -1.4% 4.4%
-5.2% -1.5% 4.1% -2.7% -1.7% 6.8% 1.1% 2.2%
-5.2% -2.7% -9.5% -13.1% 6.3% -1.9% 17.5% -5.4%
-3.1% 7.2% 1.0% -5.2% 3.6% 4.1% -7.1% 8.4%
 4.5% 3.7% 2.5% 7.1% -4.5% 7.0% -1.7% 6.1%
1.2% 8.2% 11.2% 7.7% 0.4% 4.4% 24.8% -14.1%
13.2% 8.3% 8.3% 13.9% 2.5% 18.1% 4.6% -0.4%
10.2% -0.2% -5.0% -1.3% 3.7% -4.4% 11.0% 1.8%
-8.4% -2.4% -1.0% -12.5% -10.1% -1.6% -13.0% 2.3%
6.0% -0.8% 6.0% 6.6% 6.8% 4.8% 6.7% 3.2%
26.0% 14.5% 22.5% 24.7% 8.7% 6.7% 10.5% 14.3%
8.7% -1.8% 4.9% 5.3% -7.6% -8.8% 5.3% -10.0%
0.9% 4.2% 5.2% -1.1% -4.7% -0.3% 53.4% -13.0%
5.4% -4.8% -1.3% -10.6% -14.8% -4.7% 23.7% -7.2%
-9.8% -14.0% -17.5% -16.7% -17.3% -9.0% 5.0% -11.7%
-19.6% -8.5% -11.8% -13.3% -2.6% -0.8% 4.3% -2.5%

1.4% 1.5% 1.6% 1.7% 0.3% 2.0% 3.7% 0.6%

2.3% 0.8% 0.7% 1.9% 0.4% 0.6% 1.5% 0.6%
15.2% 8.7% 8.2% 13.8% 6.4% 7.8% 12.2% 7.6%
1053.89% 593.92% 501.26% 796.05% 2407.56% 389.26% 328.41% 1378.42%
0.8% 0.4% 0.5% 0.8% 0.2% 0.3% -0.1% 0.2%
0.86 0.83 0.91 0.92 0.58 0.68 -0.18 0.53
2.11 1.17 1.21 2.05 0.60 0.85 -0.35 0.65
0.5% 0.5% 0.5% 0.5% 0.5% 0.5% 0.5% 0.5%
0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4%
1.278% 0.933% 0.946% 1.258% 0.721% 0.815% 0.370% 0.741%
0.0619444984 0.110943675 0.1388653504 0.0893559079 -0.0363917682 0.1924790789 0.2634683024 0.0066731377
BRFS3 BBDC3 VIVT4 KROT3 FIBR3 GGBR4 BBSE3 RADL3
1.2% 1.0% -4.1% 5.2% 2.6% 15.7% 4.8% -10.9%
13.6% 2.3% -3.8% -1.3% 8.6% 18.1% 6.7% -12.5%
-2.2% 9.2% 6.2% -1.5% -7.7% -3.2% 13.4% 8.7%
-2.6% 4.2% 0.8% 5.0% 14.1% 6.4% 12.2% -10.6%
-2.8% -4.4% -6.8% 19.9% -4.3% 2.5% 3.8% 3.2%
-3.6% -5.9% -0.2% -0.7% -0.5% 1.9% -3.5% -12.3%
-11.4% -10.1% 3.9% -6.1% -2.2% -6.5% -7.3% -1.7%
-0.7% 2.3% -6.3% 18.5% -8.3% -15.8% 5.2% 13.8%
5.5% 15.4% 14.2% 14.4% 1.7% 1.0% 7.8% 18.9%
11.5% 2.0% -2.2% -4.3% -12.0% -7.9% 4.1% -3.2%
-4.5% -6.6% -4.5% 19.6% -4.7% 0.2% 9.1% 0.0%
10.8% 1.5% 0.6% 9.0% 1.3% -2.9% 13.8% -3.7%
4.7% 9.8% 1.3% 0.5% 3.9% 3.2% 2.0% 4.0%
7.9% 13.2% 5.6% 11.0% 4.5% -2.5% 9.9% 14.9%
-2.8% -12.5% 1.7% -8.2% 15.3% -9.1% -9.9% -3.6%
10.7% 4.3% 5.1% 14.8% 11.8% -5.9% 2.7% 7.4%
3.0% 4.7% 4.3% 1.5% 2.7% -1.2% 1.5% 8.5%
-4.5% -8.5% -10.0% -13.6% 5.4% -12.1% -4.2% 4.2%
2.3% -2.3% 7.3% -20.6% -0.6% -4.9% -8.6% 2.0%
0.1% 12.0% 11.6% -15.5% 14.1% 11.6% 13.2% 10.6%
-1.8% -3.1% -6.5% -1.0% 22.6% 0.6% 1.2% 0.9%
1.7% -0.2% 1.1% 6.9% -6.5% -1.1% 7.5% 19.4%
0.1% -12.7% -9.2% 4.4% 4.2% -13.2% -5.4% 4.2%
1.9% 7.5% -2.9% 4.0% -3.0% -13.6% 2.2% 12.8%
10.3% -1.1% 3.6% -19.3% 7.4% -21.2% -5.4% 8.6%
-3.3% -8.9% -10.2% -9.0% 12.5% -10.1% -8.4% -8.8%
1.5% -6.1% -8.9% -11.2% 5.0% 4.2% -13.6% -1.2%
-14.9% -0.7% 9.2% 27.9% -2.2% -0.7% 7.2% 2.3%
-8.4% 2.5% -7.3% -5.8% 8.7% 13.2% -2.4% -0.9%
0.7% -11.2% -3.0% 3.0% -3.2% -23.8% -6.3% -10.2%
-11.8% -4.4% -2.3% -10.8% -15.1% -22.6% -4.9% 16.9%
6.6% 18.9% 9.9% 17.3% -0.1% -1.9% 7.9% 10.9%
0.1% 29.4% 18.8% 15.6% -31.0% 84.7% 23.1% 13.8%
-4.1% 2.8% -4.2% 11.5% 1.9% 19.8% 1.0% 5.4%
-7.2% -12.7% -0.8% -12.6% 9.9% -28.7% -9.1% 4.9%
-1.2% 11.0% 5.0% 22.7% -35.5% 5.7% 3.1% 9.6%
21.8% 8.2% 12.1% 6.2% -8.1% 31.6% 7.2% 5.0%
-0.8% -0.3% -1.1% -3.7% 11.2% 17.5% -0.6% -10.0%
2.7% -2.5% -3.6% 7.2% 4.5% -2.4% 2.5% 11.3%
-3.5% 14.3% -0.8% 7.5% 11.0% 24.4% 7.6% 6.9%
-3.3% -8.1% -2.2% -8.7% 21.4% 23.1% -12.0% -9.0%
-6.6% 1.0% -2.4% -7.8% 2.8% -20.3% 0.0% -4.9%
-7.9% 10.4% 6.8% 1.4% -7.9% 13.0% -1.4% 7.0%
-8.6% 1.6% -1.6% 1.2% -9.5% 6.1% 5.6% -9.3%
-4.9% -1.7% 2.1% -2.3% 8.6% -15.9% 2.0% -1.0%
3.1% 1.6% 4.1% 12.6% 1.8% -10.0% 2.4% 15.0%
8.9% -8.5% -1.0% -2.2% 29.3% -2.7% -2.6% 6.7%
-9.5% 2.1% -4.1% 2.6% -8.9% 7.8% -1.5% -2.4%
 -5.8% 10.0% 4.2% 1.4% -2.2% 3.7% -4.2% -1.6%
15.2% 7.0% 4.6% 20.0% 26.3% 11.4% 4.1% 0.5%
7.4% 3.6% 3.3% 11.6% 2.5% -6.8% 3.3% 8.4%
-3.1% -1.8% 0.4% -10.3% 22.1% -0.8% -3.1% 4.3%
-13.0% -7.3% -6.0% 1.3% -13.7% 1.5% -3.1% 12.5%
-4.9% 8.2% 4.3% 1.5% 5.9% 11.7% 6.0% 4.5%
-3.4% 22.7% 10.8% -11.7% 14.7% 16.3% 9.2% -8.0%
-15.4% -6.3% -5.9% -4.6% 12.4% 15.4% -3.4% -7.9%
-23.7% 4.5% -0.5% -11.7% 5.4% -6.6% 0.6% -3.6%
8.6% -8.7% 0.2% 3.0% 5.8% 7.4% -6.1% -8.0%
-13.6% -18.2% -7.4% -22.1% 3.6% -10.7% -5.2% -9.5%
-16.0% -6.5% 0.5% -13.8% 2.5% -6.0% -6.1% 6.9%

-1.2% 1.1% 0.6% 1.2% 2.7% 1.5% 1.3% 2.3%

0.7% 0.9% 0.4% 1.3% 1.4% 2.8% 0.5% 0.7%
8.5% 9.2% 6.2% 11.5% 11.7% 16.7% 7.2% 8.6%
-725.20% 818.13% 1101.51% 982.60% 430.80% 1131.37% 571.02% 368.76%
0.2% 0.5% 0.2% 0.4% -0.2% 0.7% 0.3% 0.1%
0.36 0.87 0.61 0.50 -0.22 0.65 0.79 0.28
0.49 1.30 0.62 0.93 -0.42 1.77 0.91 0.39
0.5% 0.5% 0.5% 0.5% 0.5% 0.5% 0.5% 0.5%
0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4%
0.679% 0.979% 0.728% 0.843% 0.343% 1.153% 0.836% 0.644%
-0.1970096309 0.0680467874 0.0106875898 0.0581382564 0.1894619609 0.0584660755 0.1053815923 0.2131019508
 JBSS3 EMBR3 BRKM5 WEGE3 SANB11 PCAR4 RENT3 LAME4
-1.5% -5.4% 6.7% 0.1% 0.4% 1.6% 3.1% 1.7%
15.5% 0.9% -0.2% 0.0% 0.2% -3.3% -4.2% -5.0%
5.3% -8.8% 1.1% -3.3% 10.4% 3.4% 5.9% 7.9%
3.9% -8.2% 12.0% 7.8% 2.7% 10.1% 10.8% 1.8%
4.3% 10.9% 4.6% 8.2% -2.9% -2.3% -4.3% -4.1%
4.4% 4.6% 1.0% -0.8% -6.2% -3.4% -1.5% -1.1%
-3.6% -2.6% -11.5% -12.1% -7.6% -11.0% -8.1% -6.5%
-11.2% 13.9% -13.1% 12.7% 1.7% 5.9% 2.2% -1.6%
3.5% -3.1% 10.2% 3.9% 10.3% 0.9% 6.5% 16.2%
-0.8% -4.4% -11.2% 10.4% 18.5% 6.4% 0.5% 1.0%
-1.6% 5.8% -3.8% -3.3% 1.1% -3.4% 7.2% -1.6%
1.3% -0.7% -3.8% 9.0% 1.1% 1.2% 2.6% 6.1%
9.9% 6.7% -0.4% -3.3% 0.8% 6.3% -0.7% 2.5%
21.2% 1.2% 8.7% 2.9% 1.4% 4.2% 10.3% 9.6%
-9.6% 11.0% 6.2% 2.3% 2.8% -6.2% -10.9% -12.1%
20.8% -0.7% 11.9% 2.3% -15.7% -2.8% 0.9% 5.3%
8.6% -1.5% 6.2% 3.9% 10.9% 4.6% -2.0% 15.7%
-6.7% 3.9% -9.1% 1.0% -9.1% -9.1% 2.0% 1.9%
2.1% -2.9% -28.9% 4.6% -6.2% -9.7% -2.0% -9.7%
9.4% 4.9% 2.8% -3.4% 13.5% 9.0% 0.3% 7.3%
13.4% -1.2% -14.1% 3.9% -0.1% -1.4% 3.7% -1.1%
9.4% -4.2% 20.6% 0.9% 15.6% 7.4% -3.0% 1.9%
1.5% 1.5% 2.9% 7.2% -2.5% -15.9% -8.5% -3.5%
4.9% -0.7% 5.0% 11.0% 6.7% -14.4% -3.9% 7.2%
-5.8% 1.0% -7.9% -0.9% -5.4% 2.5% -8.1% -0.6%
-8.2% -3.7% 12.2% -10.9% -9.8% -15.3% -20.2% -5.5%
18.7% 11.0% 18.5% -7.5% -7.4% -20.8% 9.1% -0.3%
-15.2% 10.9% 30.7% -6.8% 9.7% 0.9% 7.0% 3.1%
-12.8% 7.5% 20.4% 5.6% 7.0% -3.1% 2.2% 3.2%
-0.6% -0.6% 5.3% -1.3% 8.4% -14.6% -6.6% 12.5%
-12.6% -4.7% -13.1% 3.4% -14.4% -8.7% -11.1% -3.7%
5.6% 5.0% 6.3% -14.2% 14.6% 8.8% 4.8% 6.7%
-3.9% -20.9% -8.2% 6.6% 13.4% 19.9% 29.3% 0.4%
-17.4% -13.8% 10.9% 8.4% 9.5% 1.6% 11.7% -3.5%
15.8% -8.6% -14.5% -5.2% -6.4% -20.1% 0.8% -4.1%
0.0% -6.7% -9.3% -4.1% 4.6% 15.5% 3.8% 4.6%
9.0% -15.3% -2.6% 11.1% 12.9% 5.1% 17.4% 19.4%
14.7% -3.4% 30.0% 8.5% 11.3% 2.6% 0.0% 0.4%
-5.4% -2.1% 4.1% 7.2% -3.0% 5.4% -1.6% 5.0%
-17.9% 22.4% 18.3% -0.3% 19.5% 14.9% 0.3% 2.6%
0.5% -3.4% -2.7% -11.5% 7.1% -10.5% -12.5% -20.9%
16.8% -3.4% 24.5% 0.1% 4.9% 0.3% -0.6% 3.8%
4.4% 12.5% -5.0% 2.6% 10.6% 5.8% 7.7% -1.4%
-1.7% -0.4% -0.6% 6.7% 9.7% -0.8% 4.6% -2.0%
-12.7% -2.8% -1.8% 3.3% -19.5% 4.6% 8.6% -0.2%
0.6% -11.1% 7.5% 1.7% -0.8% 19.4% 13.5% 2.9%
-21.2% 4.2% -3.0% 7.3% -6.8% -3.9% -3.5% -13.3%
-19.1% -5.3% 3.2% -6.8% -1.7% -5.6% 3.8% -4.1%
 17.9% 4.2% 9.1% 7.7% 2.0% 11.3% 15.4% 11.9%
12.6% 13.7% 2.1% 8.0% 10.5% -0.7% 14.7% 13.4%
-2.0% 0.0% 11.3% 4.6% -1.4% 4.2% -2.8% 8.3%
-11.3% -12.4% 23.4% -0.3% 4.0% 1.6% 0.3% -8.7%
4.9% -0.1% -13.3% 7.5% 1.0% -8.1% 3.8% -15.6%
24.0% 28.4% -2.9% 5.6% 10.3% 13.2% 10.5% 15.0%
2.4% 0.1% 15.3% -1.7% 16.9% -4.6% 16.9% -0.4%
-1.4% 8.7% -6.0% -1.2% 2.6% -9.0% 0.6% -0.1%
-5.7% -0.9% 3.4% -2.9% 8.5% -2.8% 11.0% 11.6%
-6.4% 3.1% -4.9% 2.2% -4.1% 18.9% -2.9% 5.9%
2.6% 1.6% 3.7% -3.4% -11.4% 1.4% -11.3% -10.9%
4.1% 8.0% 11.8% -5.4% -13.3% -2.0% -3.8% -6.2%

1.3% 0.7% 3.0% 1.5% 2.4% 0.1% 2.0% 1.1%

1.2% 0.7% 1.4% 0.4% 0.8% 0.9% 0.7% 0.6%
10.7% 8.6% 11.7% 6.2% 9.0% 9.3% 8.5% 8.0%
826.86% 1172.22% 390.24% 413.52% 381.72% 10872.12% 425.77% 695.21%
0.1% 0.0% 0.1% 0.1% 0.4% 0.4% 0.4% 0.3%
0.19 -0.08 0.20 0.24 0.69 0.64 0.68 0.54
0.32 -0.11 0.39 0.24 1.00 0.96 0.94 0.70
0.5% 0.5% 0.5% 0.5% 0.5% 0.5% 0.5% 0.5%
0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4%
0.619% 0.460% 0.643% 0.588% 0.871% 0.855% 0.847% 0.760%
0.0743799138 0.0268293527 0.213628133 0.1610021609 0.2064412787 -0.0447134586 0.1760453123 0.0812652091
EQTL3 CCRO3 HYPE3 TIMP3 MGLU3 SBSP3 BRML3 FLRY3
0.8% 1.1% 13.6% 4.8% -5.0% 1.3% 1.2% 6.6%
7.6% -3.1% -1.6% 10.6% 12.3% -16.3% -10.5% -3.5%
4.7% 3.9% 10.1% 9.6% 31.5% 10.5% 11.0% -0.5%
10.5% 7.4% 9.3% 11.1% 25.8% 9.7% 8.0% -5.4%
3.4% -0.7% -2.6% 1.1% -11.6% 2.6% -11.8% 13.5%
-3.5% -3.9% -7.3% 6.8% -10.1% 8.6% -11.0% -5.3%
-3.9% -12.5% -13.6% 2.5% 5.3% -15.9% -10.9% 0.3%
-10.9% 3.5% -4.7% -9.3% -10.6% -3.4% 18.2% 8.4%
3.1% 8.3% 12.9% 3.4% -8.0% -1.9% 9.0% -3.6%
0.0% 0.5% 0.1% 2.1% 19.5% 3.9% -2.0% -19.1%
12.0% 0.7% 10.2% 3.4% 6.7% 3.1% -1.9% 14.4%
10.3% 2.4% 6.3% 6.3% 12.9% 8.1% 1.6% -1.9%
0.6% -0.9% -6.0% -7.0% -2.6% -14.7% 4.3% -11.2%
4.0% 13.6% 7.6% 4.4% 0.6% 6.5% 18.7% 7.2%
-5.7% -13.6% -9.7% 2.7% -15.8% -7.5% -16.9% -11.5%
1.9% 10.0% -1.5% 4.5% 8.8% -2.0% 2.9% 16.1%
10.4% -4.3% 0.2% -7.5% -3.0% -0.9% -7.3% 1.1%
0.4% -12.7% -4.0% -5.5% -3.6% -11.5% -10.1% 2.1%
-9.7% -0.8% 9.5% 0.5% -11.1% -21.8% -7.3% -14.9%
10.8% 9.1% 4.8% 0.7% -10.3% 27.4% 11.0% -0.3%
12.8% -2.2% 3.1% -10.7% -15.5% 4.5% 0.2% 15.9%
4.0% 2.2% 0.9% -9.3% -0.4% 2.5% -3.2% 2.3%
5.5% -7.0% 9.5% -0.7% -15.6% 4.2% -4.7% 5.7%
4.1% -3.4% 4.0% 8.7% -16.5% -11.1% -4.2% 6.1%
-0.5% 2.1% -10.5% -8.3% 2.0% 5.9% -11.7% -1.9%
1.0% -2.2% -18.7% -6.3% -29.2% -10.0% -12.8% -7.2%
-4.2% -18.2% -7.2% -14.7% -29.4% 0.7% -6.6% -2.1%
1.6% 3.7% 14.5% 12.5% -18.1% 5.7% 7.1% 0.9%
2.1% 5.7% 28.0% -9.5% -25.2% 13.0% 14.5% -1.1%
-1.5% -1.7% -3.1% -10.3% 99.9% 0.1% -13.4% -1.3%
5.6% 1.8% 2.9% -7.1% -19.8% 12.6% 6.9% -8.7%
5.9% -1.2% 12.8% 9.1% 39.2% 6.1% 13.4% 11.6%
7.0% 13.4% 11.6% 15.1% 48.5% 6.1% 9.6% 32.2%
5.6% 15.3% 8.0% -1.9% 9.5% 11.1% 14.8% 16.6%
7.2% -5.7% -5.4% -6.8% 8.5% -3.1% -11.3% 3.9%
6.7% 10.2% -18.1% -3.9% 10.8% 13.6% 11.3% 6.0%
14.1% 11.5% 18.7% 21.5% 19.5% 5.9% 9.4% 13.5%
-8.9% -8.9% -4.9% 0.0% 31.5% -4.6% -12.2% 23.3%
-0.5% -0.7% 6.8% -4.9% 26.4% 2.7% -0.3% 0.3%
13.2% 2.4% -4.0% 12.2% 20.9% 11.6% 3.9% 10.2%
-7.8% -13.0% -3.0% -6.3% 12.5% -11.1% -15.5% -7.6%
4.2% 8.5% 0.6% -5.7% 2.1% -3.9% 10.6% -3.5%
6.8% -2.8% 7.0% 14.3% 20.6% 8.9% 22.8% 6.5%
2.4% 16.6% -1.0% 9.1% 62.6% 4.9% 1.7% 14.1%
-1.2% -0.2% 7.1% 3.5% -14.9% -0.9% -2.9% -1.3%
-1.2% -0.8% 3.8% 2.2% 26.4% -6.8% -3.0% 24.2%
-7.1% -6.3% -1.9% -3.3% 12.7% -0.9% -1.5% 8.1%
1.5% 1.9% -1.3% -1.3% 2.0% 9.2% -0.3% -5.6%
 4.7% 1.1% 0.7% 8.7% 43.3% 6.0% 10.5% 12.1%
7.8% 2.2% 5.4% 6.0% 54.8% -4.2% 3.0% 6.2%
0.2% 1.4% 9.1% 2.4% 4.5% 3.5% 3.5% -7.0%
-0.4% 5.2% 6.2% 5.0% -14.1% -10.5% -9.9% -2.0%
4.8% -13.0% -3.9% -2.1% -10.9% 9.7% -4.7% -9.2%
2.7% 2.0% 9.6% 11.0% 42.0% 5.0% 5.3% 12.9%
6.8% -3.0% 3.6% 3.1% 5.4% 6.0% 0.9% 1.8%
2.3% -19.0% -5.0% 4.4% 7.7% 3.5% -7.2% -9.6%
-0.1% -1.6% 4.8% 2.1% 7.8% -7.0% -2.3% 2.4%
1.1% -2.7% -12.4% 11.1% 9.0% 3.4% -6.3% -3.8%
-14.6% -13.9% -10.5% -15.4% 1.6% -25.6% -5.7% -5.9%
-6.6% -1.7% -2.1% -1.7% 18.1% -10.9% -5.8% 7.6%

2.2% -0.2% 1.7% 1.3% 7.9% 0.7% 0.0% 2.6%

0.4% 0.6% 0.8% 0.6% 5.7% 0.9% 0.9% 1.0%
6.2% 7.9% 8.9% 7.9% 23.8% 9.5% 9.5% 9.9%
276.88% -3305.70% 534.87% 619.17% 302.33% 1367.95% 762891.03% 375.07%
0.2% 0.3% 0.2% 0.3% 0.5% 0.3% 0.4% 0.2%
0.56 0.61 0.43 0.55 0.35 0.51 0.63 0.39
0.56 0.77 0.61 0.71 1.35 0.78 0.97 0.63
0.5% 0.5% 0.5% 0.5% 0.5% 0.5% 0.5% 0.5%
0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4%
0.705% 0.786% 0.726% 0.762% 0.999% 0.789% 0.858% 0.731%
0.2800109049 -0.0937494298 0.1304733105 0.0984497111 0.3097353719 0.020652215 -0.0525947212 0.2162442734
ESTC3
10.1%
-0.3%
-1.9%
0.5%
15.7%
2.0%
-8.3%
18.1%
3.4%
4.5%
13.5%
8.8%
-3.8%
5.6%
-14.4%
12.8%
-2.8%
-14.6%
-29.9%
15.6%
-3.9%
-0.1%
0.5%
-1.6%
-21.1%
-12.2%
13.1%
9.6%
-13.3%
4.0%
-16.1%
9.0%
-7.4%
3.7%
-8.5%
56.2%
4.1%
-6.1%
7.4%
3.9%
-4.0%
-2.8%
0.6%
-5.7%
5.9%
14.3%
-2.5%
-15.9%
 39.5%
26.5%
20.1%
-5.4%
4.5%
7.1%
6.8%
-3.3%
3.2%
-7.9%
-21.2%
-3.1%

1.9%
1.9%
13.9%
739.31%
0.4%
0.44
0.99
0.5%
0.4%
0.867%
0.0992134104
 50% 50%
data Ret. Port.
Jul-13 0.0%
Aug-13 0.0%
Sep-13 0.0%
Oct-13 0.0%
Nov-13 0.0%
Dec-13 0.0%
Jan-14 0.0%
Feb-14 0.0%
Mar-14 0.0%
Apr-14 0.0%
May-14 0.0%
Jun-14 0.0%
Jul-14 0.0%
Aug-14 0.0%
Sep-14 0.0%
Oct-14 0.0% 𝑅𝑖𝑠𝑐𝑜 𝑑𝑜 𝑃𝑜𝑟𝑡𝑓ó𝑙𝑖𝑜=𝜎_𝑘𝑝=√
Nov-14 0.0%
Dec-14 0.0%
Jan-15 0.0%
Feb-15 0.0%
Mar-15 0.0%
Apr-15 0.0% 𝐹𝑢𝑛çã𝑜 𝑜𝑏𝑗𝑒𝑡𝑖𝑣𝑜:𝑀𝑎
May-15 0.0%
Jun-15 0.0%
Jul-15 0.0% 𝑅𝑒𝑠𝑡𝑟𝑖çõ𝑒𝑠: 1) 𝑛
Aug-15 0.0%
Sep-15 0.0%
Oct-15 0.0%
Nov-15 0.0%
Dec-15 0.0%
Jan-16 0.0%
Feb-16 0.0%
Mar-16 0.0%
Apr-16 0.0%
May-16 0.0%
Jun-16 0.0%
Jul-16 0.0%
Aug-16 0.0%
Sep-16 0.0%
Oct-16 0.0%
Nov-16 0.0%
Dec-16 0.0%
Jan-17 0.0%
Feb-17 0.0%
Mar-17 0.0%
 Apr-17 0.0%
May-17 0.0%
Jun-17 0.0%
Jul-17 0.0%
Aug-17 0.0%
Sep-17 0.0%
Oct-17 0.0%
Nov-17 0.0%
Dec-17 0.0%
Jan-18 0.0%
Feb-18 0.0%
Mar-18 0.0%
Apr-18 0.0%
May-18 0.0%
Jun-18 0.0%

Ativos individuais
Retorno
DP 0.0000%
Coef. Var.
Cov.
Correl

A) Portfólio "50-50"
Pesos 50% 50%
Soma pesos 100%
Retorno
DP
Coef. Var

B) Portfólio de varância mínima

Pesos 100%
Soma pesos 100%
Retorno
DP
Coef. Var

C) Portfólio que maximiza o Sharpe

Pesos
Soma pesos
Retorno
DP
Coef. Var
Ret. Ativo livre de risco 0.50%
Índice de Sharpe
 Risco e retorno da carteira com diferentes combinações (pesos)
Ret. Esp DP
100% 0%
90.0% 10.0%
Risco e retorno de diferentes pe
80.0% 20.0%
70.0% 30.0% 12
60.0% 40.0%
50.0% 50.0% 10
40.0% 60.0%
30.0% 70.0% 8
20.0% 80.0%
10.0% 90.0%

Retorno
6
0.0% 100.0%

𝑅𝑒𝑡𝑜𝑟𝑛𝑜 𝑑𝑜 𝑃𝑜𝑟𝑡𝑓ó𝑙𝑖𝑜= 𝑘_𝑝=(𝑤_1∗𝑘_1 )+(𝑤_2∗𝑘_2)

2
𝑠𝑐𝑜 𝑑𝑜 𝑃𝑜𝑟𝑡𝑓ó𝑙𝑖𝑜=𝜎_𝑘𝑝=√(𝑤_1^2 𝜎_1^2+𝑤_2^2 𝜎_2^2+2𝑤_1 𝑤_2 𝑟_1,2 𝜎_1 𝜎_2 )

0
0.0% 200.0% 400.0% 600.0%

Risco (Desvi

𝐹𝑢𝑛çã𝑜 𝑜𝑏𝑗𝑒𝑡𝑖𝑣𝑜:𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑎𝑟 Í𝑛𝑑𝑖𝑐𝑒 𝑑𝑒 𝑆ℎ𝑎𝑟𝑝𝑒=𝐼𝑆= (𝑘_𝑝−𝑘_𝑟𝑓)/𝜎_𝑘𝑝

𝑅𝑒𝑠𝑡𝑟𝑖çõ𝑒𝑠: 1) 𝑛ã𝑜 ℎá 𝑣𝑒𝑛𝑑𝑎 𝑎 𝑑𝑒𝑠𝑐𝑜𝑏𝑒𝑟𝑡𝑜 (𝑤_1≥0 e 〖 𝑤〗 _2≥0)

2) 𝑛ã𝑜 ℎá 𝑎𝑙𝑎𝑣𝑎𝑛𝑐𝑎𝑔𝑒𝑚 (𝑤_1+𝑤_2=1 𝑜𝑢 100%)
no de diferentes pesos de ativos na carteira

400.0% 600.0% 800.0% 1000.0% 1200.0%

Risco (Desvio-padrão)