Smart Betas

Smart Beta

  • The index

    The Indices of the Partnership with S&P Dow Jones Indices

    BM&FBOVESPA, the largest equity and derivatives exchange in Latin America, and S&P Dow Jones Indices (S&P DJI), one of the world’s leading providers of financial market indices, announced on May 12, 2015 a strategic agreement to create Brazilian indices. The S&P/BOVESPA family of smart-beta indices was launched on that date.

    S&P/BOVESPA Smart-Beta Indices

    S&P/BOVESPA Low Volatility Index - tracks the performance of the top quartile 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 quartile 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 quartile 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 quartile 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.

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