Return Decomposition of Hybrid Strategies in the Brazilian Market: Evidence of Genuine Alpha and Factor Exposure
This paper decomposes the return sources of a hybrid portfolio combining a fundamentalist screen - based on P/E, ROE, Net Margin, Current Ratio, and P/BV - with a moving-average crossover system (SMA 9/46), 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 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, alpha remains significant (0.98% p.m.; p = 0.009), while momentum is not significant (p = 0.409). The central - and unexpected - finding is the non-significance of the HML factor (beta_h = 0.1266; p = 0.544): despite explicit value criteria, returns do not load on the value premium, likely because ROE and Net Margin tilt selection toward quality firms. By contrast, the SMB factor is highly significant (beta_s = 0.38; p = 0.000), and the portfolio displays a defensive profile (market beta approximately 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.