Indexing is a passive investment strategy in which the investor weights bis portfolio to match the
performance of a broad-based indexo Since severaI studies showed that indexed portfolios have
consistently outperformed active management strategies over the last decades, an increasing number of
investors has become interested in indexing portfolios IateIy. Brazilian financiaI institutions do not offer
indexed portfolios to their clients at this point in time. In this work we propose the use of indexed
portfolios to track the performance oftwo ofthe most important Brazilian stock indexes: the mOVESPA
and the FGVIOO. We test the tracking performance of our modeI by a historical simulation. We applied
several statistical tests to the data to verify how many stocks should be used to controI the portfolio
tracking error within user specified bounds
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