BM&FBOVESPA, the largest equity and futures exchange in Latin America, and S&P Dow Jones Indices, one of the world’s leading providers of financial market indices, announced today the signing of a strategic agreement to create and launch new, co-branded equity Brazilian indices. The signing, as well as a bell ringing commemorating the event, took place at BVMF.
Yesterday also marks the launch of the S&P/BOVESPA family of smart beta indices, the inaugural series of indices developed and launched as a result of this agreement. The five indices – S&P/BOVESPA Low Volatility Index, S&P/BOVESPA Inverse Risk Weighted Index, S&P/BOVESPA Quality Index, S&P/BOVESPA Momentum Index, and S&P/BOVESPA Enhanced Value Index –measure the performance of stocks within the Brazilian equity markets based on exposure they provide to respective risk factors and are the first suite of smart beta indices in Brazil. Market participants can use these indices, and combinations thereof, in various ways depending on their investment objectives.
“As the Brazilian financial market develops, BM&FBOVESPA continues to play an integral role for both local and international investors,” says Alex Matturri, CEO of S&P Dow Jones Indices. “Through this agreement, S&P Dow Jones Indices expands its mission of bringing greater index-based solutions, research, ideas, and analysis to the markets of Latin America. By launching this family of smart beta indices in Brazil, we are meeting the evolving needs of investors throughout the world for benchmarks that tilt towards certain styles, sectors, and factors.”
According to Edemir Pinto, CEO of BM&FBOVESPA: “The agreement between BM&FBOVESPA and S&P DJI is a very important step toward increasing index based opportunities for investors and further educating them on the merits of the Brazilian capital markets. The association of our brand to S&P DJI’s on new co-branded indices will reinforce BM&FBOVESPA’s position overseas through S&P DJI’s global index distribution.”
S&P/BOVESPA Smart Beta Index Offering:
- S&P/BOVESPA Low Volatility Index tracks the performance of the top quintile of stocks in the Brazilian equity market, defined by the S&P Brazil Broad Market Index (BMI), that have the lowest volatility, as measured by standard deviation.
- S&P/BOVESPA Inverse-Risk Weighted Index calculates the performance of the Brazilian equity market with stocks weighted based on the inverse of their volatility. It provides the exposure to the low volatility factor using a tilted approach.
- S&P/BOVESPA Quality Index measures the performance of the top quintile of high-quality stocks in the Brazilian equity market as determined by their quality score. This score is calculated based on return on equity, accruals ratio, and financial leverage ratio.
- S&P/BOVESPA Momentum Index computes the performance of the top quintile of securities in the Brazilian equity market that exhibit persistence in their relative performance, measured by their risk adjusted price momentum.
- S&P/BOVESPA Enhanced Value Index tracks the performance of the top quintile of stocks in the Brazilian equity market with attractive valuations based on “value scores” calculated using three fundamental measures: book value-to-price, earnings-to-price, and sales-to-price.