Is New Ibovespa The Best Investment Option?

The aim of this paper is to verify whether Ibovespa, Old or New, could be the best alternative for investors, considering investment possibilities (risky and risk free) in the Brazilian market. The Portfolio T was determined with the modern portfolio theory from a sample of 118 shares for 34 four-month periods. Equality of means and variance were tested by means of parametric and nonparametric tests, as appropriate. Studying New Ibovespa (calculated retroactively) in the period between Jan 1, 2003 and Apr 30, 2014, it was concluded that, (i) analyzing the entire period, (a) New Ibovespa was dominated by a portfolio obtained by applying the concepts of the modern portfolio theory (portfolio T), and (b) New Ibovespa dominated Old Ibovespa, and (ii) analyzing each of the 34 four-month periods individually, New Ibovespa was dominated by the portfolio T in 13 out of the 18 four-month periods in which there had been statistically significant dominance (72.2% of all cases).