This paper decomposes the return sources of a hybrid portfolio combining a fundamentalist screen — based on P/E (price-to-earnings), ROE (return on equity), Net Margin, Current Ratio, and P/BV (price-to-book value) — with a moving-average crossover (MAC) system using simple moving averages (SMA) of 9 and 46 periods, applied to the Brazilian stock exchange (B3) from January 2000 to December 2025 (300 monthly observations). CAPM and Fama-French three- and four-factor models estimated by OLS (ordinary least squares) with heteroskedasticity-robust standard errors identify a positive and statistically significant Jensen alpha of 1. 11% per month (p = 0. 005) in the three-factor model. In the four-factor model with momentum, the alpha remains significant (0. 98% p. m. ; p = 0. 009), while the momentum factor does not reach statistical significance (p = 0. 409). The central — and unexpected — finding is the non-significance of the HML (high-minus-low) factor (βₕ = 0. 1266; p = 0. 544): despite explicit value criteria in the screen, returns do not load on the value premium, likely because ROE and Net Margin requirements tilt the selection toward quality firms whose portfolios historically exhibit low correlation with pure HML. By contrast, the SMB (small-minus-big) factor is highly significant (βₛ = 0. 38; p = 0. 000), and the portfolio displays a defensive profile (market beta ≈ 0. 58). Although the descriptive Sharpe ratio of the portfolio (0. 443) exceeds that of the Ibovespa (0. 039), the difference is not statistically significant under the Jobson-Korkie test (Z = 1. 427; p = 0. 154). These findings advance the debate on semi-strong efficiency in the Brazilian market and carry direct implications for active strategy pricing and disclosure.
Freitas et al. (Sun,) studied this question.