Earlier this year, a working party commissioned by the BMF&Bovespa to look into its increasingly antiquated volatility-driven methodology of the Ibovespa made a unanimously approved set of recommendations to Brazil’s stock exchange. According to one member of the working group (which comprised bankers, portfolio managers and brokers), despite commissioning the group the exchange had been signalling reluctance to part with its 46-year-old methodology. Renata Cabral, quantitative analyst at Corretora Santander in São Paulo, says the decision to switch methodologies came as a surprise: “Investors and analyst weren’t expecting this,” she says.
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