Indice Bovespa (BVSP)

QUOTE AND NEWS
Mondo Visione  Apr 4  Comment 
In March the equities market’s (BOVESPA segment) financial volume totaled BRL 125.23 billion against BRL 131.54 billion in February. The daily average was BRL 6.59 billion against BRL 6.57 billion in the previous month. The total number of...




 
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The Bovespa Index (IBovespa) is the main indicator of the average performance of the BM&FBovespa exchange. The IBovespa covers more than 80% of the trades and approximately 70% of the market capitalization of the exchange[1].

Calculations and Weighting

The IBovespa uses the Negotiability index to calculate the criteria and weighting of the stocks on the index. The Negotiability Index helps us understand the representation of the stock in the cash market on the exchange, which allows us to ascertain the participation of every component of the IBovespa. This is similar to the Free float method used by various indices using the market capitalization method for calculating the index level.

  • Negotiabiliy Index = Image: Ibovespai_Image19.gif[2]
    • ni = number of trades carried out for stock "i"
    • vi = value created from the trades of stock "i"
    • N = Total number of trades on the BM&F Bovespa
    • V = Total value created by the N number of trades in the BM&F Bovespa


Composition

Criteria for Inclusion in the Portfolio

The Ibovespa is composed by the stocks that must meet the criteria as stipulated by the exchange[3]:

  • They should have been traded on the exchange in the past twelve months.
  • To be included in the group of stocks whose negotiability indexes added represent 80% of the total value of all individual negotiability indexes.
  • The trading share of the stock should be higher than 0,1% of the total share flow in the exchange.
  • More than 80% of the shares of the stock must be traded on the exchange.


List of companies

Portfolio Composition - Sep. to Dec. 2012:[4]

Ticker Symbol Company Name Weighting
ALLL3ALL AMER LAT0.795
AMBV4AMBEV1.562
BBAS3BRASIL3.061
BBDC4BRADESCO3.297
BISA3BROOKFIELD0.773
BRAP4BRADESPAR0.720
BRFS3BRF FOODS1.367
BRKM5BRASKEM0.678
BRML3BR MALLS PAR1.090
BTOW3B2W VAREJO0.338
BVMF3BMFBOVESPA2.999
CCRO3CCR SA1.316
CESP6CESP0.469
CIEL3CIELO1.454
CMIG4CEMIG1.104
CPFE3CPFL ENERGIA0.449
CPLE6COPEL0.505
CRUZ3SOUZA CRUZ0.731
CSAN3COSAN0.726
CSNA3SID NACIONAL1.453
CTIP3CETIP0.671
CYRE3CYRELA REALT1.567
DASA3DASA0.711
DTEX3DURATEX0.485
ELET3ELETROBRAS0.469
ELET6ELETROBRAS0.464
ELPL4ELETROPAULO0.668
EMBR3EMBRAER0.610
FIBR3FIBRIA0.742
GFSA3GAFISA1.636
GGBR4GERDAU2.587
GOAU4GERDAU MET0.663
GOLL4GOL0.735
HGTX3CIA HERING1.056
HYPE3HYPERMARCAS1.592
ITSA4ITAUSA2.373
ITUB4ITAUUNIBANCO4.476
JBSS3JBS 0.800
KLBN4KLABIN S/A0.657
LAME4LOJAS AMERIC0.927
LIGT3LIGHT S/A0.483
LLXL3LLX LOG0.569
LREN3LOJAS RENNER0.995
MMXM3MMX MINER1.217
MRFG3MARFRIG0.791
MRVE3MRV1.784
NATU3NATURA0.975
OGXP3OGX PETROLEO5.163
OIBR3OI0.265
OIBR4OI1.243
PCAR4P.ACUCAR-CBD0.621
PDGR3PDG REALT3.650
PETR3PETROBRAS2.494
PETR4PETROBRAS8.221
RDCD3REDECARD1.400
RENT3LOCALIZA0.727
RSID3ROSSI RESID1.235
SANB11SANTANDER BR1.067
SBSP3SABESP0.349
SUZB5SUZANO PAPEL0.678
TIMP3TIM PART S/A1.194
TRPL4TRAN PAULIST0.195
UGPA3ULTRAPAR0.596
USIM3USIMINAS0.306
USIM5USIMINAS1.777
VAGR3V-AGRO0.303
VALE3VALE2.891
VALE5VALE9.129
VIVT4TELEF BRASIL0.900

References

  1. IBovespa Calculation
  2. Calculating the Negotiability Index for the IBovespa
  3. Methodological Aspects
  4. IBovespa Portfolio Calculation
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