Fundamental Indexation in Brazil: a competitive strategy?

Abstract Purpose: This article analyzes fundamental indexation in Brazil relative to the IBrX 100 and selected stock funds in the period between June 2003 and May 2015. This strategy relies on weights based on fundamental indicators and not on market prices. Design/methodology/approach: Fundamental indices built with the IBrX 100 stocks were weighted according to fundamental indicators. The fundamental weighting method sets the weight of each stock as proportional to a previously determined fundament value. This article also considers an ordinal weighting. Findings: The results indicate that fundamental indices do not display positive and statistically significant returns and alphas after adjusting a five risk factor model and transaction costs. The ordinal weighting suggests that fundamental indicator outliers do not drive results. The evidence also suggests that fundamental indices might perform better in bear markets. Originality/value: In general, fundamental indices behave like value stocks and do not present abnormal returns. This is consistent with the absence of fundamental index products in the Brazilian market.

摘要 研究目的：本文针对2003年6月至2015年5月期间巴西市场的基本面指数化（fundamental indexation）策略展开分析，以IBrX 100指数与部分精选股票基金作为对比标的。该策略以基本面指标而非市场价格确定成分股权重。
研究设计与方法：以IBrX 100指数成分股构建的基本面指数，将依据基本面指标分配权重。基本面加权法将单只股票的权重设定为与预先确定的基本面价值成正比。本文同时考量了序数加权方式。
研究发现：结果显示，在经过五因子风险模型调整并扣除交易成本后，基本面指数并未获得正向且统计显著的收益与阿尔法（alpha）值。序数加权结果表明，基本面指标的异常值并未主导研究结果。同时有证据表明，基本面指数在熊市中的表现可能更佳。
原创性与价值：总体而言，基本面指数的表现类似于价值型股票，并未产生超额收益。这与巴西市场尚未推出基本面指数产品的现状相符。