PSI-20
Encyclopedia
The PSI-20 is a benchmark stock market index
of companies that trade on Euronext Lisbon
, the main stock exchange
of Portugal
. The index tracks the prices of the twenty listings with the largest market capitalisation
and share turnover in the PSI Geral, the general stock market of the Lisbon exchange. It is one of the main national indices of the pan-European stock exchange group Euronext
alongside Brussels
' BEL20
, Paris
's CAC 40
and Amsterdam
's AEX
.
The PSI-20 was initiated on 31 December 1992 with a base value of 3,000 index points. The index experienced considerably more volatility
than the world's main financial markets between 1998 and 2000, caused by uncertainty in the world's emerging markets
: a sharp increase of over 50% in the PSI-20's value in the first four months of 1998 was followed by a decline of similar magnitude between July and October of that year. Another price surge sparked at the tail end of 1999 peaked with the index's highest value to date, 14,822, set in March 2000. The Portuguese blue-chip market's subsequent performance has broadly followed the trends set by other Western
indices, falling in the aftermath of the dot-com bubble
before recovering significantly from 2003 onwards.
and AEX
). Responsibility for the rules and composition of the index rests with an independent PSI Steering Committee, which publishes any decisions a minimum of one month before they become effective.
From the March 2008 reshuffle onwards, prospective PSI-20 companies are required to possess a "trading velocity" (the fraction of the company's free float shares which have changed hands over the previous calendar year) of at least 10% so as to safeguard the liquidity
of the index. All listings on the stock exchange which satisfy this criterion are ranked by the total value (in Euro
s) of shares
traded in the previous year (thus taking both market cap
and liquidity into consideration), and this classification is used to choose the index's constituents. Any existing constituent which falls below 22nd place in the ranking is automatically removed from the index, and any non-constituent which rises above 18th place is added to the index. If existing constituents occupy positions 21 and/or 22, they stay in the PSI-20 provided no non-constituents have risen above 18th position to replace them. Likewise, non-constituents holding positions 19 and/or 20 are not promoted unless a slot in the index is freed up by a constituent falling below 22nd place.
(such as a merger
or delisting due to a takeover), the highest-ranked listing not already in the index is selected to fill the vacancy with immediate effect. This is in contrast to some other Euronext indices such as the AEX, where such slots are not generally filled until the next annual review.
or on the first trading day of September. The existing constituent with the lowest share turnover is removed to free up a space in the index.
. The market capitalisation used to calculate the weightings of each stock is the so-called free-float band adjusted market cap, where the free float factor (fraction of shares actively available for trade on Euronext Lisbon) is rounded up to the nearest 5%. The weightings of companies in the index were capped (if necessary) at 20% at each semi-annual review prior to the July 2007 rule change, when the capping limit was cut to 15% in line with Euronext's other benchmark national indices. Weights are allowed to fluctuate freely after index changes are made, but are capped once again at the next reclassification. The capping factors used to scale down the weightings of the largest companies are recalculated each year at the index review.
with t the day of calculation; N the number of constituent shares in the index (usually 20); Qi,t the number of shares of company i on day t; Fi,t the free float factor of share i; fi,t the capping factor of share i (exactly 1 for all companies not subject to the 15% cap); Ci,t the price of share i on day t; and dt a parameter known as the index divisor.
.
: - Weightings accurate on 24 March 2011.
Stock market index
A stock market index is a method of measuring a section of the stock market. Many indices are cited by news or financial services firms and are used as benchmarks, to measure the performance of portfolios such as mutual funds....
of companies that trade on Euronext Lisbon
Euronext Lisbon
Euronext Lisbon is a stock exchange in Lisbon, Portugal. It belongs to the NYSE Euronext group, the first global stock exchange.Euronext Lisbon trades equities, public and private bonds, participation bonds, warrants, corporate warrants, investment trust units, and exchange traded funds...
, the main stock exchange
Stock exchange
A stock exchange is an entity that provides services for stock brokers and traders to trade stocks, bonds, and other securities. Stock exchanges also provide facilities for issue and redemption of securities and other financial instruments, and capital events including the payment of income and...
of Portugal
Portugal
Portugal , officially the Portuguese Republic is a country situated in southwestern Europe on the Iberian Peninsula. Portugal is the westernmost country of Europe, and is bordered by the Atlantic Ocean to the West and South and by Spain to the North and East. The Atlantic archipelagos of the...
. The index tracks the prices of the twenty listings with the largest market capitalisation
Market capitalization
Market capitalization is a measurement of the value of the ownership interest that shareholders hold in a business enterprise. It is equal to the share price times the number of shares outstanding of a publicly traded company...
and share turnover in the PSI Geral, the general stock market of the Lisbon exchange. It is one of the main national indices of the pan-European stock exchange group Euronext
Euronext
Euronext N.V. is a pan-European stock exchange based in Amsterdam and with subsidiaries in Belgium, France, Netherlands, Portugal and the United Kingdom. In addition to equities and derivatives markets, the Euronext group provides clearing and information services...
alongside Brussels
Brussels
Brussels , officially the Brussels Region or Brussels-Capital Region , is the capital of Belgium and the de facto capital of the European Union...
' BEL20
BEL20
The BEL20 is the benchmark stock market index of Euronext Brussels. In general, the index consists of a minimum of 10 and a maximum of 20 companies traded at the Brussels Stock Exchange. Since 20 June 2011, the BEL20 has contained 20 listings.-Rules:...
, Paris
Paris
Paris is the capital and largest city in France, situated on the river Seine, in northern France, at the heart of the Île-de-France region...
's CAC 40
CAC 40
The CAC 40 is a benchmark French stock market index. The index represents a capitalization-weighted measure of the 40 most significant values among the 100 highest market caps on the Paris Bourse...
and Amsterdam
Amsterdam
Amsterdam is the largest city and the capital of the Netherlands. The current position of Amsterdam as capital city of the Kingdom of the Netherlands is governed by the constitution of August 24, 1815 and its successors. Amsterdam has a population of 783,364 within city limits, an urban population...
's AEX
AEX index
The AEX index, derived from Amsterdam Exchange index, is a stock market index composed of Dutch companies that trade on Euronext Amsterdam, formerly known as the Amsterdam Stock Exchange. Started in 1983, the index is composed of a maximum of 25 of the most actively traded securities on the exchange...
.
History
Volatility (finance)
In finance, volatility is a measure for variation of price of a financial instrument over time. Historic volatility is derived from time series of past market prices...
than the world's main financial markets between 1998 and 2000, caused by uncertainty in the world's emerging markets
Emerging markets
Emerging markets are nations with social or business activity in the process of rapid growth and industrialization. Based on data from 2006, there are around 28 emerging markets in the world . The economies of China and India are considered to be the largest...
: a sharp increase of over 50% in the PSI-20's value in the first four months of 1998 was followed by a decline of similar magnitude between July and October of that year. Another price surge sparked at the tail end of 1999 peaked with the index's highest value to date, 14,822, set in March 2000. The Portuguese blue-chip market's subsequent performance has broadly followed the trends set by other Western
Western world
The Western world, also known as the West and the Occident , is a term referring to the countries of Western Europe , the countries of the Americas, as well all countries of Northern and Central Europe, Australia and New Zealand...
indices, falling in the aftermath of the dot-com bubble
Dot-com bubble
The dot-com bubble was a speculative bubble covering roughly 1995–2000 during which stock markets in industrialized nations saw their equity value rise rapidly from growth in the more...
before recovering significantly from 2003 onwards.
Annual review
Prior to a change in the index rules in July 2007, the PSI-20 composition was reviewed twice a year in January and July. In a move to increase the stability of the index, the review frequency was at this time switched to annually, commencing on the first trading day of March 2008 (in line with the BEL20BEL20
The BEL20 is the benchmark stock market index of Euronext Brussels. In general, the index consists of a minimum of 10 and a maximum of 20 companies traded at the Brussels Stock Exchange. Since 20 June 2011, the BEL20 has contained 20 listings.-Rules:...
and AEX
AEX index
The AEX index, derived from Amsterdam Exchange index, is a stock market index composed of Dutch companies that trade on Euronext Amsterdam, formerly known as the Amsterdam Stock Exchange. Started in 1983, the index is composed of a maximum of 25 of the most actively traded securities on the exchange...
). Responsibility for the rules and composition of the index rests with an independent PSI Steering Committee, which publishes any decisions a minimum of one month before they become effective.
From the March 2008 reshuffle onwards, prospective PSI-20 companies are required to possess a "trading velocity" (the fraction of the company's free float shares which have changed hands over the previous calendar year) of at least 10% so as to safeguard the liquidity
Market liquidity
In business, economics or investment, market liquidity is an asset's ability to be sold without causing a significant movement in the price and with minimum loss of value...
of the index. All listings on the stock exchange which satisfy this criterion are ranked by the total value (in Euro
Euro
The euro is the official currency of the eurozone: 17 of the 27 member states of the European Union. It is also the currency used by the Institutions of the European Union. The eurozone consists of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg,...
s) of shares
Stock
The capital stock of a business entity represents the original capital paid into or invested in the business by its founders. It serves as a security for the creditors of a business since it cannot be withdrawn to the detriment of the creditors...
traded in the previous year (thus taking both market cap
Market capitalization
Market capitalization is a measurement of the value of the ownership interest that shareholders hold in a business enterprise. It is equal to the share price times the number of shares outstanding of a publicly traded company...
and liquidity into consideration), and this classification is used to choose the index's constituents. Any existing constituent which falls below 22nd place in the ranking is automatically removed from the index, and any non-constituent which rises above 18th place is added to the index. If existing constituents occupy positions 21 and/or 22, they stay in the PSI-20 provided no non-constituents have risen above 18th position to replace them. Likewise, non-constituents holding positions 19 and/or 20 are not promoted unless a slot in the index is freed up by a constituent falling below 22nd place.
Extraordinary changes
If a company is removed from the index outwith the review as a result of some extraordinary corporate actionCorporate action
A corporate action is an event initiated by a public company that affects the securities issued by the company. Some corporate actions such as a dividend or coupon payment may have a direct financial impact on the shareholders or bondholders; another example is a call of a debt security...
(such as a merger
Mergers and acquisitions
Mergers and acquisitions refers to the aspect of corporate strategy, corporate finance and management dealing with the buying, selling, dividing and combining of different companies and similar entities that can help an enterprise grow rapidly in its sector or location of origin, or a new field or...
or delisting due to a takeover), the highest-ranked listing not already in the index is selected to fill the vacancy with immediate effect. This is in contrast to some other Euronext indices such as the AEX, where such slots are not generally filled until the next annual review.
"Fast Entry" rule
If a newly-listed company on Euronext Lisbon possesses a market cap and is predicted to have a liquidity which exceeds that of some existing PSI-20 constituents, then a "Fast Entry" rule can be invoked to insert it into the index. This can occur either shortly after its IPOInitial public offering
An initial public offering or stock market launch, is the first sale of stock by a private company to the public. It can be used by either small or large companies to raise expansion capital and become publicly traded enterprises...
or on the first trading day of September. The existing constituent with the lowest share turnover is removed to free up a space in the index.
Weighting
The PSI-20 is a market value-weighted indexMarket value-weighted index
A capitalization-weighted index is an index whose components are weighted according to the total market value of their outstanding shares. Also called a market-value-weighted index...
. The market capitalisation used to calculate the weightings of each stock is the so-called free-float band adjusted market cap, where the free float factor (fraction of shares actively available for trade on Euronext Lisbon) is rounded up to the nearest 5%. The weightings of companies in the index were capped (if necessary) at 20% at each semi-annual review prior to the July 2007 rule change, when the capping limit was cut to 15% in line with Euronext's other benchmark national indices. Weights are allowed to fluctuate freely after index changes are made, but are capped once again at the next reclassification. The capping factors used to scale down the weightings of the largest companies are recalculated each year at the index review.
Calculation
The index value I of the PSI-20 index is calculated using the following formula:with t the day of calculation; N the number of constituent shares in the index (usually 20); Qi,t the number of shares of company i on day t; Fi,t the free float factor of share i; fi,t the capping factor of share i (exactly 1 for all companies not subject to the 15% cap); Ci,t the price of share i on day t; and dt a parameter known as the index divisor.
Composition
A list of the PSI-20 companies, as of the annual review effective on 2 March 2011 which saw the replacement of Inapa with Banif Financial GroupBanco Internacional do Funchal
Banif Financial Group is a Portuguese international financial services group based around the bank Banco Internacional do Funchal. The company has a presence in Europe, South America, North America, Africa and Asia.-History:...
.
| Company | ICB Industry Classification Benchmark The Industry Classification Benchmark is an industry classification taxonomy developed by Dow Jones and FTSE. It is used to segregate markets into sectors within the macroeconomy... Sector | Ticker symbol | Index weighting (%)1 |
|---|---|---|---|
| Altri Altri Altri is a Portuguese industrial conglomerate headquartered in Porto. The group's main companies operate in wood pulp production, cultivation of forests for the timber and paper industry and co-generation of energy, including energy production from renewable resources... |
diversified industrials | 0.95 | |
| Banco Comercial Português Banco Comercial Português Banco Comercial Português , is a Portuguese bank that was founded in 1985 and is the largest private bank in the country. BCP is a member of the Euronext 100 stock index and its current chief executive officer is Carlos Santos Ferreira. BCP is based in Porto, but its operations are headquartered... |
banks | 9.72 | |
| Banco Espírito Santo Banco Espírito Santo Banco Espírito Santo is a private Portuguese bank, based in Lisbon.The Banco Espírito Santo’s origins began with the lottery, currency exchange and securities business carried out by José Maria do Espírito Santo e Silva between 1869 and 1884... |
banks | 6.49 | |
| Banco Português de Investimento Banco Português de Investimento Banco Português de Investimento is a major privately owned bank in Portugal. The bank's shares are listed in the Euronext Lisbon's PSI-20 stock index. It runs the banking business with companies, institutional and private clients. As Sociedade Portuguesa de Investimentos it was founded in 1981 by... |
banks | 1.81 | |
| Banif Financial Group Banco Internacional do Funchal Banif Financial Group is a Portuguese international financial services group based around the bank Banco Internacional do Funchal. The company has a presence in Europe, South America, North America, Africa and Asia.-History:... |
banks | 0.64 | |
| Brisa Brisa - Auto-estradas de Portugal Brisa – Auto-estradas de Portugal, S.A. is Portugal-based international transportation company. The group's largest business area is highway management, in which it is the largest concessionaire in its home country. Founded in 1972, Brisa also has significant operations in countries including the... |
transportation services | 4.44 | |
| Cimpor Cimpor Cimpor - Cimentos de Portugal is the largest Portuguese cement group, operating in eleven countries - Portugal, Spain, Morocco, Brazil, Tunisia, Turkey, Cape Verde, Mozambique, China, Egypt and South Africa, involved in manufacturing and marketing cement, hydraulic lime, concrete and aggregates,... |
building materials and fixtures | 2.24 | |
| EDP Renováveis EDP Renováveis EDP Renováveis is a leading renewable energy company headquartered in Madrid that designs, develops, manages and operates power plants that generate electricity using renewable energy sources.... |
alternative electricity | 4.84 | |
| Energias de Portugal Energias de Portugal EDP - Energias de Portugal ranks among Europe's major electricity operators, as well as being one of Portugal's largest business groups.... |
electricity | 15.01 | |
| Galp Energia Galp Energia The Galp Energia Group is a Portuguese corporation which consists of more than 100 companies engaged in activities such as natural gas supply, regasification, transport, storage, and distribution; petroleum products exploration, production, refining, trading, logistics and retailing; co-generation... |
integrated oil and gas | 15.19 | |
| Jerónimo Martins Jerónimo Martins Jerónimo Martins SGPS, SA is a Portugal-based company that operates in food distribution and consumer products manufacturing. The firm is the majority owner of Jerónimo Martins Retail , which operates the Pingo Doce super- and hypermarket chains in Portugal... |
food retailers and wholesalers | 10.87 | |
| Mota-Engil Mota-Engil Mota-Engil is a Portuguese industrial conglomerate. Its principal activities include civil engineering and construction of infrastructure including bridges, dams, industrial buildings, schools, chimneys and roads; energy and steel works ; transport concessions and environment and services... |
heavy construction | 0.50 | |
| Portucel Portucel Soporcel The Portucel Soporcel Group is a Portuguese pulp and paper company, which resulted from the 2001 merger of the firms Portucel and Soporcel.... |
paper | 2.11 | |
| Portugal Telecom Portugal Telecom Portugal Telecom is the largest telecommunications service provider in Portugal. Although it operates mainly in Portugal and Brazil, it has also a significant presence in Guinea-Bissau, Cape Verde, Mozambique, Timor-Leste, Angola, Kenya, the People's Republic of China, and São Tomé and... |
fixed line telecommunications | 15.23 | |
| Redes Energéticas Nacionais | electricity | 1.29 | |
| Semapa Semapa Semapa - Sociedade de Investimento e Gestão is a Portuguese conglomerate holding company with interests in the cement, pulp and paper and environmental services sectors.... |
building materials and fixtures | 1.82 | |
| Sonae Sonae Sonae is a conglomerate, and is the largest private employer in Portugal. The company is primarily engaged in the operation of retail stores through its subsidiary Modelo Continente.... |
food retailers and wholesalers | 2.85 | |
| Sonaecom | mobile telecommunications | 0.58 | |
| Sonae Indústria Sonae Indústria Sonae Indústria is a manufacturer of engineered wood products, founded and headquartered in Maia, Portugal. Present in twelve countries within three continents, Sonae Indústria has a wide range of products, from simple board to complete construction systems, a large range of wood-based products... |
building materials and fixtures | 0.49 | |
| ZON Multimédia | broadcasting and entertainment | 2.93 |
: - Weightings accurate on 24 March 2011.