Índices Valor-Coppead, Carteiras de Ponderação Igualitária e de Mínima Variância

This article presents a literature review that justified the creation ofthe equally weighed and minimum variance Valor-Coppead stock indices andoffers details about its calculation. There was no Brazilian stock indexwith these simple portfolio formation rules attainable by thenon-sophisticated investor. An index that uses the minimum varianceportfolio in the efficient frontier, with limits on the weights, offers anoptimized portfolio less affected by errors in estimates. Equally weighedportfolios with up to 20 stocks displayed a performance superior to that ofthe majority of Brazilian stock funds and comparable to that of the minimumvariance portfolio with constrained weights, but portfolios optimized withmore complex methods, may outclass equally weighed portfolios. The previousthree or four months Sharpe ratio stock selection criterion is relevant. Theliterature reviewed supported that the Valor-Coppead indices may becomerelevant benchmarks for non-sophisticated investors.