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Brazilian factor ETFs finished last week in different directions: HIGH11 gained 1.85%, LVOL11 fell 2.08% and NSDV11 lost 2.30%. BOVA11 declined 0.90%.
The 4.15-percentage-point gap between HIGH11 and NSDV11 began with their index holdings. Magazine Luiza and Vamos had substantial weights in the former, while Suzano, Klabin, Banco do Brasil and Vale appeared in the defensive and dividend baskets.
The week did not offer a single backdrop for Brazilian stocks. September’s IPCA-15 inflation reading rose 0.70%, following a 0.40% decline in August. On the government-bond curve, the real yield on the 2030 inflation-linked NTN-B rose 15 basis points between the two Fridays, while the fixed yield on the 2035 NTN-F fell 13 basis points. The result was a market pulled between near-term inflation and a relative improvement at longer maturities.
Shares of companies sensitive to financing conditions and growth expectations responded differently. Each factor portfolio’s selection determined how much of those moves reached investors.
HIGH11 (Nu Asset): up 1.85%
HIGH11 tracks the Ibovespa Smart High Beta B3 index, which selects stocks that are more sensitive to market swings.
The index had weights of 6.60% in Magazine Luiza, 5.82% in Vamos, 4.84% in C&A Modas, 4.75% in Cosan and 4.39% in Cogna. Magazine Luiza and Vamos alone accounted for 12.42% of the basket. This selection has substantial exposure to retail, consumer spending and companies whose valuations are especially sensitive to changing growth expectations and capital costs. MGLU3 rose 15.56% last week and VAMO3 gained 12.17%.
Friday told a different story in isolation: HIGH11 slipped 0.11%. Its weekly gain had been built in earlier sessions, particularly as Magazine Luiza accelerated from September 23 and Vamos climbed through the week.
LVOL11 (Nu Asset): down 2.08%
LVOL11 tracks the Ibovespa Smart Low Volatility B3 index. The index selects stocks with lower historical volatility from the Ibovespa universe.
Its portfolio held 4.81% in Klabin, 3.45% in Suzano, 3.54% in Vale, 3.88% in Petrobras preferred shares and 5.19% in BB Seguridade. It also included power distributors, insurers, banks and telecommunications companies.
Between the two Fridays, SUZB3 fell 6.23%, KLBN11 lost 5.17% and VALE3 declined 3.54%. Together, the three represented 11.81% of the index. Simultaneous losses in materials stocks pressured a portfolio designed for lower historical volatility but still exposed to the performance of its selected shares. LVOL11’s 2.08% loss was 1.18 percentage points worse than BOVA11’s.
NSDV11 (Nu Asset): down 2.30%
NSDV11 follows the Ibovespa Smart Dividendos B3 index, which focuses on companies selected for their history of shareholder payouts.
The ETF’s portfolio held 6.08% in Banco do Brasil, 6.21% in Cemig preferred shares, 6.15% in Taesa, 5.85% in Bradesco preferred shares, 5.65% in CSN Mineração, 5.62% in BB Seguridade and 5.22% in Vale. The mix spans banks, electricity and raw-material producers.
Between the two Fridays, BBAS3 fell from R$23.20 to R$21.59, a drop of 6.94%. CMIN3 declined from R$5.46 to R$4.95, down 9.34%, and VALE3 lost 3.54%. The three positions represented 16.94% of the model portfolio. Banco do Brasil and CSN Mineração weighed especially heavily because both had losses of considerable size and index weights above 5%. The weekly return of minus 2.30% reflected that combination.
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This content is for informational and educational purposes and does not constitute investment advice.
