Fundamental Indexation in Brazil: a competitive strategy?
PDF (Português (Brasil))


active portfolio management
passive portfolio management
fundamental indexation
stock funds.

How to Cite

Roquete, R. M., Leal, R. P. C., & Campani, C. H. (2018). Fundamental Indexation in Brazil: a competitive strategy?. Review of Business Management, 20(3), 361–377.


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.
PDF (Português (Brasil))

If a paper is approved for publication, its copyright has to be transferred by the author(s) to the Review of Business Management – RBGN.

Accordingly, authors are REQUIRED to send RBGN a duly completed and signed Copyright Transfer Form. Please refer to the following template: [Copyright Transfer]

The conditions set out by the Copyright Transfer Form state that the Review of Business Management – RBGN owns, free of charge and permanently, the copyright of the papers it publishes. Although the authors are required to sign the Copyright Transfer Form, RBGN allows authors to hold and use their own copyright without restrictions.

The texts published by RBGN are the sole responsibility of their authors.

The review has adopted the CC-BY Creative Commons Attribution 4.0 allowing redistribution and reuse of papers on condition that the authorship is properly credited.