Index Calculation
The ABN Amro Global Reinsurance Index is capital-weighted, meaning that the weight of each individual stock is measured according to the total capital of the stocks contained in the index. It is based upon the relevant changes in the individual stock values in the original currency expressed as a percentage. The index is therefore not subject to exchange-rate effects.
The weighting in the index is established using the market capitalisation as at the review date. The review is conducted half-yearly as at 30 June and 31 December of each year. On each of these review dates currency conversion is also performed at the closing rate in EUR. The number of shares in the capital stock is similarly updated semi-annually. An adjustment is made for subscription rights at the time when the new shares are issued by means of an appropriate adjustment factor.
On the date of the regular half-yearly review the influence of a single company on the index is limited to 10 percent of the index capitalisation. For this purpose the index capitalisation is calculated with the number of all freely tradable shares. Should a particular stock category account for more than 10 percent of the capitalisation, it is capped at 10 percent so that no company is above this limit.
The index is calculated on each trading day from the prices in the Bloomberg system, with reference being made to the latest prices fixed on the trading day in question.
Adjustment factors are established for dividends, bonuses and special payments on the basis of the formula set out below:
where P i, t = closing price of the stock in question on the ex-day
and D i, t = cash dividend, bonus, special payments on day t
Under the index calculation the cash dividend is thus reinvested in the stock (so-called "BVI Method" for calculating returns on investment funds). In the event of par value adjustments or stock splits, it is assumed that the prices change in step with the par value adjustment (or the change in the number of shares).
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