Considering transaction costs, this article evaluates the performance of active portfolio strategies using ordinary least squared (OLS) and seemingly unrelated regressions (SUR) techniques, for the stock markets of Brazil, Chile, Mexico, and Peru. The first strategy includes portfolios of companies with good use of debt and the second strategy considers the opposite situation, both based on the financial statements issued under International Financial Information Standards (IFRS). The results indicate that on one hand, previous strategies do not show a superior performance to their respective stock market, and on the other hand that only in Chile, the first strategy outperforms the second