FAQ's
When was the FTSE/JSE Africa Index Series launched? Although
indicative values for the FTSE/JSE Africa Index Series have been
calculated and disseminated since 2 January 2002, the official launch
date of the indices was 24 June 2002. On this date the JSE Actuarial
Indicex Series ceased to be calculated and the FTSE/JSE Africa Index
Series took its place.
What new indices will be offered as part of the FTSE/JSE Africa Index Series?
A number of new indices form the FTSE/JSE Africa Index Series, these are grouped into:
- FTSE/JSE Africa Headline Indices (J200-J204);
- FTSE/JSE Africa Tradeable Indices (J150; J200; and J210-J213);
- FTSE/JSE Africa Sector Indices (J000-J155) - these includes the
sub-sector indices which pertain to the mining sector (J150-J155);
- FTSE/JSE Africa Secondary Market Indices (J230-J231);
- FTSE/JSE Africa Specialist Indices (J250-J257);
- FTSE/JSE Africa Namibia Indices (N000-N099);
What has happened to the JSE Actuaries Index Series?
The JSE Actuaries Index Series ceased to be calculated upon the 21st of June, 2002.
What is the possible impact of the FTSE/JSE Africa Index Series on smaller cap firms?
Many
small cap firms have shares that are held largely by management.
Free-float calculations may adversely affect such firms by
significantly decreasing their weightings in the indices. In addition
small cap firms that are too illiquid will be excluded from the
FTSE/JSE Africa Index Series completely.
Is the FTSE/JSE Africa All Share Index comparable to the JSE Actuarial All Share Index?
No,
the FTSE/JSE Africa All Share Index (J203) differs from the JSE
Actuarial All Share Index (CI01). The latter consisted of all
instruments listed on the JSE and is no longer calculated in any form.
The former consists of the top 99% of eligible listed companies when
ranked by full market capitalisation.
What are "Fledglings"?
"Fledglings"
is an abbreviation used for the FTSE/JSE Africa Fledgling Index or for
the constituents of this index. The FTSE/JSE Africa Fledgling Index
consists of all eligible securities listed on the JSE which are too
small to be included in the FTSE/JSE All Share, i.e. those securities
which form the bottom 1% of shares when ranked by full market
capitalisation.
What is a tradeable index?
A
tradeable index is one on which a derivative product exists, this
derivative product is then traded on the JSE's futures market (SAFEX).
Are all the indices of the FTSE/JSE Africa Index Series tradeable?
"No, not all the indices are tradeable. The FTSE/JSE Africa Tradable Indices consist of:
- FTSE/JSE Africa TOP 40: The top forty companies which are
constituents of the FTSE/JSE Africa All Share Index ranked by full
market capitalisation;
- FTSE/JSE Africa RESI 20: The top twenty companies which are
constituents of the Resources economic group ranked by full market
capitalisation;
- FTSE/JSE Africa INDI 25: The top twenty-five companies which are
constituents of either the Basic Industrial or General Industrial
economic groups ranked by full market capitalisation;
- FTSE/JSE Africa FINI 15: The top fifteen companies which are
constituents of the Financial economic group ranked by full market
capitalisation;
- FTSE/JSE Africa FINDI 30: The top thirty companies which are
constituents of either the Financial, Basic Industrial or General
Industrial economic groups ranked by full market capitalisation
(although this index is calculated, there are currently no derivatives
based upon this calculation);
- FTSE/JSE Africa GLDX: All companies which are constituents of both
the FTSE/JSE Africa All Share Index and the Gold Mining sub-sector."
Will
the JSE be introducing additional indices into the FTSE/JSE Africa
Index Series such as Full Industrial, Low Resources, Black Empowerment
and Social Responsibility Indices?
The JSE and
FTSE are working to develop a number of new indices in response to
market needs. The FTSE/JSE Advisory Committee are currently defining
the rules for both a benchmark and a Social Responsibility Index.
Is there any mention made of "derivative indices" in the FTSE/JSE Africa Index Series?
Yes,
derivative products are available on a number of indices, these are
known as the FTSE/JSE Africa Tradeable Indices and include the FTSE/JSE
Africa TOP 40, FTSE/JSE Africa RESI 20, FTSE/JSE Africa INDI 25,
FTSE/JSE Africa FINI 15, FTSE/JSE Africa FINDI 30 and FTSE/JSE Africa
GLDX.
Do liquidity limits still apply to stocks being included in the "derivative indices"?
Yes,
liquidity criteria are used on all indices in the FTSE/JSE Africa Index
Series. A stock must have traded at least 0.5% of its free float stock
in 10 of the last 12 months to be elligible for inclusion into the
indices.
What does this mean for tracking funds and Exchange Traded Funds (ETFs)?
This will encourage the creation of a wider range of products not only for the JSE but also FTSE’s global range of products.
What are Total Return Indices (TRIs)?
Total
Return Indices are indices which measure the total return on the
underlying constituents, combining both capital performance and
reinvested income.
Do the indices of the FTSE/JSE Africa Index Series have Total Return Indices (TRIs)?
Yes,
These TRI's are calculated daily and the calculation method takes into
account any dividends are declared ex dividend on a given day. Please
refer to "Guide to the Calculation Methods for the FTSE/JSE Africa
Index series" booklet which explains how these calculations are
performed.
What has happened to PUTS and PULS?
Property
Unit Trusts (PUTS) and Property Loan Stock (PULS) form part of the
FTSE/JSE Africa Specialist Indices. These indices are calculated as
specialist indices as their contituents are not grouped into separate
sub-sectors in terms of the FTSE/JSE Global Classification System.
Has history been generated to enable statistical comparisons for the FTSE/JSE Africa Index Series?
Yes,
FTSE and the JSE provide historic data of the indices for the period
July 1995 to December 2001. This historic data has been recreated
retrospectively for statistical purposes only and may be purchased from
the JSE New Business Data Services department (Tel: +27 (0)11 520
7029). Historic data for the period January 2002 to 21 June 2002 is
available free of charge on the website www.ftsejse.co.za. To access
the historic data on the web site, one must first register. This
registration is free of charge and is for statistical reasons only.
Are the earnings and dividend yield values for the FTSE/JSE Africa Index Series disseminated?
Yes,
the earnings and dividend yields have always been part of the
dissemination file of the JSE and this has been continued with the
introduction of the FTSE/JSE Africa Index Series.
Does the introduction of the FTSE/JSE Africa Index Series affect the Derivative Indices?
In
the future there will be no distinction between equity and derivative
indices as it will be one suite of indices. Any changes will be
communicated timeously to enable the market to prepare and will be
guided by the Advisory Committee.
When indices are disseminated there are a number of different states in which they may occur. Please explain these states.
"The FTSE/JSE Africa Index Series is calculated in real time and can exist in four states: Firm, Closed, Held or Indicative.
Firm:
The indices are calculated on actual trades generated by the JSE
trading system during the hours of the Official Index Period.
Closed:
The indices have ceased all calculations for the day. The message
""Close"" will be displayed against the index value calculated by the
FTSE.
Held: During official JSE Market
hours, an index has exceeded pre-set operating parameters and the
calculation has been suspended pending resolution of the problem. The
message ""HELD"" will be displayed against the last index value
calculated by FTSE.
Indicative: If
there is a system problem or situation in the market that is judged to
affect the quality of the constituent prices at any time when an index
is being calculated, the index will be declared indicative."
Is it correct that full market capitalisation and liquidity determine eligibility of instruments into an index?
Yes.
Liquidity criteria are first applied to all instruments. The remaining
instruments are ranked according to full market capitalistion and
divided into the relevant indices.
Why are free float weightings only applied once the instruments have already been assigned to a particular index?
Free
float weightings are applied only once the constituents of an index
have been determined to ensure that the indices remain representative
of the market; large companies which may have a low free float rating
are still more representative of the market as a whole and hence cannot
be excluded.
What are the liquidity requirements for instruments to be eligible for inclusion into the FTSE/JSE Africa Index Series?
Securities
must turn over at least 0.5% of their shares in issue (after the
application of free float restrictions) per month in at least ten of
the twelve months prior to an annual review by the FTSE/JSE Advisory
Committee to be eligible for inclusion in the indices (except the
FTSE/JSE Fledging Index and the FTSE/JSE Africa Namibia Indices). After
becoming a constituent of the indices a security must turn over at
least 0.5% of their shares in issue (after the application of free
float restrictions) per month in at least eight of the twelve months
prior to an annual review.
Do liquidity
requirements apply to the instruments included in the FTSE/JSE Africa
Fledgling Index and the FTSE/JSE Africa Namibia Indices?
"No, liquidity requirements do not apply to these instruments, this is because:
- The FTSE/JSE Africa Fledgling Index has been created specifically for smaller cap companies which tend to be less liquid;
- The majority of instruments listed on the Namibian Stock Exchange
(NSX) would not pass the liquidity criteria and hence, the FTSE/JSE
Africa Namibia Indices would not be representative of the market."
To
be eligible for inclusion in the FTSE/JSE Africa Index Series an
instrument must have a reliable price. How is a "reliable" price
defined or determined?
A reliable price is one
which is both recent and representative of the instrument being
considered. In almost all cases this price will be the last traded
price of the instrument as traded on the JSE. An instrument which is
illiquid and was last traded several months previously will not be
considered to have a reliable price as this instrument has not adjusted
to market pressures over this period.
Will
stocks that have dual listings on the JSE and an alternate exchange be
eligible for inclusion in the FTSE/JSE Africa Index Series?
Dual
listed stocks will still be eligible for inclusion in the FTSE/JSE
Africa Index Series. In these cases, all shareholders will be taken
into account to determine free float.
What constitutes a secondary line of equity?
.A secondary line share is classed as any other ordinary share that belongs to the main or primary share e.g. "N" shares.
What happens to companies with more than one line of equity?
Where there are multiple lines of equity capital in a company, all are included and priced separately, provided that:
- The line passes all investibility screens.
- The secondary line's full market value (i.e. before the application
of any investibility weightings) is greater than 25% of the full market
capital of the company's main line. Should the market value of a
secondary line that is already a constituent of the Index Series fall
below 20% at the next review, the secondary line is deleted from the
index.
Does
the exclusion of non tradeable shares through strict liquidity
criterion compromise the integrity of the indices calcualtions in terms
of being representative?
No, this focuses
attention on instruments that are readily tradable in the market and
ensures that the instrument has traded recently enough to ensure a
reliable price.
What is a "reserve list"?
A
reserve list is a list of the highest-ranking potential constituents
not included in an index. Reserve lists are only kept for those indices
whose number of constituents must remain constant (e.g the FTSE/JSE
Africa Top 40 which must have 40 contituents at all times). The
appropriate reserve list is used in the event that one or more
constituent is deleted from an index. A reserve list of the five
highest-ranking non-constituents of the FTSE/JSE Africa Top 40 Index
and the ten highest-ranking non-constituents of the FTSE/JSE Africa Mid
Cap Index are kept by the JSE.
Why would a stock be inserted/deleted from and FTSE/JSE Africa Index Series?
Rules
have been designed for inserting and deleting companies into or from
the FTSE/JSE Africa Index Series. These rules have been designed in
order to provide stability in the selection of constituents of the
FTSE/JSE Africa Index Series and to ensure that the indices continue to
be representative of the market. The rules for inclusion or exclusion
are based upon significant changes in market capitilasation of a
company as well as corporate actions such as new listings,
terminations, unbundlings and mergers. For a comprehensive look at the
rules relating to insertion and deletion refer to the FTSE JSE Ground Rules for
the Management of the FTSE/JSE Africa Index Series.
When the indices were re-based on the 21st of June 2002, were they rebased according to the JSE Actuaries Indices?
Yes,
as at the close of business on 21 June, 2002 all indices of the
FTSE/JSE Africa Index Series were rebased to their most logical
counterpart in the JSE Actuaries Indices. For example, J200 (FTSE/JSE
Africa Top 40) was rebased to the value of F101 (ALSI 40) so that the
start of business value for the Top 40 on Monday the 24th of June, 2002
was equal to the close of business value of the ALSI 40 on Friday the
21st of June. For those indices where no counterpart existed in the JSE
Actuaries Indices the figure has been rebased at 1000.
What is the meaning of free float?
Free
float is that portion of a listed company's share capital commonly
accepted as being in general circulation and not firmly held as part of
the corporate control or strategic alliance structure, i.e., shares
that are freely tradeable.
What is a free float restriction?
Free
float is that portion of a listed company's share capital commonly
accepted as being in general circulation and not firmly held as part of
the corporate control or strategic alliance structure, i.e., shares
that are freely tradeable.
How are free float bandings applied to companies that have a free float of between 5 and 15%?
Companies
with a free float greater than 5% but less than or equal to 15% will be
rounded up to the next highest whole number. Note that these companies
will only be eligible for the index if the market capitalisation of
their available float is greater than the average company's free float
capitalisation within the index.
Why have the
free float weighting bands been set so wide? Is it possible to adjust
these bands if necessary and by whom may this adjustment be authorised?
The
decision to use wide bands, especially those higher than 50%, is based
on international research. It has been found that there are many low
free float companies at the bottom end of the free float scale, but as
one moves up the scale the number of companies decreases. Having bands
of 60%, 70%, 80% and 90% would result in too few contituents in any one
of these bands. If it is found that these bands need to be adjusted,
this will be reviewed by the FTSE/JSE Advisory Committee.
Will the introduction of free float change the performance of the Indices?
"Yes. Performance of the indices is dependant on two factors:
- The price of the constituent depending on its performance in the market;
- The weighting of each of the constituents in the index.
With the introduction of free float the weighting of each of the
constituents will be effected thus effecting the overall performance of
the index."
Why does the number of shares in issue differ between the file I receive from FTSE and the file I receive from the JSE?
This
difference is due to the "One Percent Rule" used by FTSE when
calculating indices. This rule states that the number of shares in
issue for each company is ammended for index calculations only when the
total changes by more than one percent on a cumulative basis. This rule
prevents a large number of insignificant fluctuations. The files
produced by the JSE show the actual number of shares in issue on that
date.
Has the index calculation methodology changed with the introduction of the FTSE/JSE Africa Index Series? If so how?
"Yes, the index methodology has changed. All indices in the FTSE/JSE Africa Index Series are calculated using the formula:
Index = Sum of Free Float Market Cap of All Constituent Companies
Latest Index Divisor
The free float market cap of each of the index constituents is
calculated by multipying the most recent share price by the number of
shares in free float (according to FTSE).
The divisor of the index is an arbitrary number chosen at the starting
point of the index, which is adjusted when capitalisation amendments
are made to the constituents of the index allowing the index value to
remain comparable over time. Information regarding the constituents of
an index, the free float weighting of each constituent, the
constituent's closing price as well as the index provider are available
in the EOD dissemination files; for more information on the contents of
these files please see the FTSE/JSE Africa Index Series Product
Specification available on the website FTSE/JSE Africa Index Series."
Is a price adjustment calculated for scrip dividends?
No,
ex dividend adjustments are left to normal market forces. The shares
are added to the index when they are listed. Please note the share
changes are subject to the 1% rule.
Does the JSE calculate indices based on ex-dividend figures?
FTSE
will calculate end of day total return figures for each index within
the Africa series applying dividends from the ex dividend date.
Why did the JSE choose to partner with FTSE for the creation of the new FTSE/JSE Africa Index Series?
FTSE
are global specialists in the area of index provision. They are the
largest independent provider of indices worldwide and their products
cover all of the world’s major markets. By choosing to partner with
FTSE when developing the new index series the JSE has derived a number
of benefits:
- The JSE is able to leverage off FTSE's global reach in the distribution of indices;
- The JSE is able to introduce a transparent, world-class, free-float
adjusted series based upon FTSE's existing sector classification and
ground rules;
- The JSE is able to access leading technology which calculates indices
real-time and facilitates more frequent dissemination;
- The JSE is able to provide indices which are familiar to
international players and comparable to other international indices;
- The JSE will be in a better position to develop new market-related indices in a shorter period of time.
Does the association with FTSE mean that the JSE no longer controls its indices?
No,
the JSE has formed a relationship with an international leader in
design and calculation that will enable us to ensure international
acceptance and visibility of the African markets for global investors.
The JSE maintains ownership of all index products.
Who is responsible for the administration of the FTSE/JSE Africa Index Series: FTSE or the JSE?
FTSE
is responsible for the day-to-day calculating of and amendments to the
indices, while the JSE will continue to own the data and manage its
dissemination. The JSE will provide first line support to the market
users and monitor day-to-day corporate actions.
Is this deal with FTSE a merger or take-over? Who will actually run the "show"?
The
deal between FTSE and the JSE is not a merger or a takeover, it is a
commercial agreement with mutual benefits for both the JSE and FTSE.
Is this FTSE/JSE deal related to the LSE deal developed with the introduction of the new trading platform JSE SETS?
No,
these deals are not related and have come about independantly as part
of the JSE initiative to form global alliances. Although separate,
there is a very useful synergy between the LSE and FTSE in that FTSE
information is distributed through the same distribution channels as
the LSE and this has helped simplify the technical integration of the
FTSE/JSE Africa Index series for the JSE.
What will happen if the JSE and FTSE decide to discontinue the business relationship?
In
the instance that the business relationship between the JSE and FTSE is
dissolved, the JSE will have the right to run the FTSE/JSE Africa Index
Series for five years. If the JSE chooses not to run the series, then
FTSE will have the right to do so.
How will the market capitalisation of the JSE be affected by the launch of the FTSE/JSE Africa Index Series?
The
launch of the FTSE/JSE Africa index Series will have no effect on the
market capitalisation of the JSE. Although free float weightings are
applied in terms of weighting constituents of an index, this does not
change the full market capitalisation of the constituent or of the
market as a whole.
How will the introduction of the new indices affect the JSE's liquidity?
The
new indices will not affect the JSE liquidity in the short term but it
is hoped that through increased international exposure of the indices
and by increasing the comparability of the indices to global benchmarks
liquidity will increase in the long term.
How will the introduction of the FTSE/JSE Africa Index Series affect data vendors?
Data
vendors receive index information in the same manner they have
previously. This information is disseminated, along with trade
information, through the LSE’s dissemination system, LMIL (known in
South Africa as InfoWiz).
What has happened regarding index calculation for the Namibian Stock Exchange?
FTSE
has agreed to calculate the indices for Namibia. The FTSE/JSE Africa
Namibia Indices differ from all other indices in the series in that
they are not subject to liquidity requirements and are not reviewed by
the FTSE/JSE Advisory Committee. The day-to-day management and review
of these indices is controlled by the NSX with new products
collaboratively developed by both the JSE and the NSX.
What is the role of actuaries in the development of the FTSE/JSE Africa Index series?
Both
South African and international actuaries play a large role in the
design and implementation of the indices as they form an integral part
of the FTSE/JSE Advisory Committee.
Where should enquiries be addressed?
"Enquiries relating to the FTSE/JSE Africa Index Series should be addressed to either:
The JSE Indices Department
Tel: +27 (0)11 520 7702
indices@jse.co.za
or
The FTSE Client Services Department
Tel: +44 (0)207 448 1810
info@ftse.com
Enquiries relating to the FTSE/JSE Africa Index Series historic data should be addressed to:
The JSE New Business and Data Services Department
Tel: +27 (0)11 520 7025
indexdata@jse.co.za
Enquiries relating to the JSE futures closeout processes should be addressed to:
The JSE Equities and Derivatives Trading Department
Tel: +27 (0)11 520 7475
equitiesandtrading@jse.co.za
How does the time difference between FTSE and the JSE affect South African investors?
South
African investors are not affected by the time difference with London,
as FTSE calculates indices real-time and disseminates according to our
market needs. FTSE is operational on all JSE trading days.
How often is the composition of the FTSE/JSE Africa Index Series reviewed?
The
constituents of the FTSE/JSE Africa Index Series are reviewed quarterly
in March, June, September and December in accordance with the FTSE/JSE
Index Series Ground Rules. Insertion and deletion of the constituents
of the indices are not restricted to the quarterly review and may be
done at any time that a corporate event occurs which would impact the
indices.
What is the role of the FTSE/JSE Advisory Committee?
The
purpose of the FTSE/JSE Advisory Committee is to consider and advise on
matters relating to, and propose amendments to, the ground rules
governing the management of the FTSE/JSE Africa Index Series. The
Committee is also responsible for ensuring that best practice is used
in the construction and ongoing management of the indices.
What are the conditions for eligibility of membership to the FTSE/JSE Advisory Committee?
The
FTSE/JSE Advisory Committee consists of domestic and international
representatives from the investment, member, banking and actuarial
communities. No member on the FTSE/JSE Advisory Committee represents
his/her employer but is there because of his/her specific expertise and
to represent the market as a whole.
Are the minutes of the FTSE/JSE Advisory Committee meetings published?
The
minutes of the Advisory Committee meetings are not published, but after
each meeting a press release setting out the salient issues agreed is
released along with an Index Change Advise (ICA) which is made
available on the web site ICA Announcements. This ICA provides details on changes to the indices.
Is there any embargo on the information for FTSE/JSE Advisory Committee members?
All
members of the FTSE/JSE Advisory Committee are obliged to abide by
confidentiality requirements of matters being discussed at these
meetings until the information has been officially released.
Are Index Change Advices (ICA) published through SENS?
The
ICA is published on the JSE web site, disseminated via SENS, send to
the JSE Data Services department and also to the JSE Trading department.
What are the most important differences in the FTSE/JSE ground rules compared to the JSE Actuaries Index methodology?
The
most notable differences between the JSE Actuaries Indices and the new
FTSE/JSE Africa Index Series are the introduction of:
- Free float weightings within each index;
- Liquidity criteria to be eligible for inclusion into the indices;
- The 99% rule to be included in the FTSE/JSE Africa Headline Indices; and
- Classification according to the FTSE/JSE Sector Classification System.
Have sector classifications changed with the introduction of the FTSE/JSE Africa Index Series? If so, how?
Yes,
the sector classification of all companies listed on the JSE has been
reviewed according to the FTSE Global Classification System. The FTSE
Global Classification System classifies securities first into economic
groups and then into sectors and sub-sectors. This classification
ensures that indices are comparable to similar indices world-wide. For
more information on the classification of securites please see the
FTSE/JSE Global Classification System available on the website FTSE/JSE Africa Index Series
How
does one differentiate between a pyramid and a holding company? Is it
correct to say that pyramid companies are excluded from the FTSE/JSE
Africa Index Series, whilst holding companies are included?
Pyramid companies are classed as such if:
- The company may exercise, or cause the exercise of, 50% or more of
the total voting rights of the equity securities of a listed controlled
company; and
- Derives 75% or more of its total attributable income before tax from
such listed controlled company, or the shareholding of which in the
listed controlled company represents 50% or more of its total assets.
Holding Companies are companies which own more than 50% of a
subsidiary, since they essentially have control of the subsidiary.
Pyramid companies are excluded from the indices, whereas holding companies are included.
For more information on pyramid companies please refer to section 14.2 of the JSE Securities Exchange Listings Requirements.
Why
does the FTSE/JSE Sector Classification have 6 mining sub-sectors
whereas the FTSE Global Sector Classisfication has only 3?
The
JSE has 6 mining sub-sectors, all of which have separate indices being
calculated, this is because the JSE is primarily a resources exchange
and requires further differentiation of this sector.
Has historic data been created in terms of sector classification?
Yes,
FTSE and the JSE provide historic data of the indices for the period
July 1995 to December 2001. This historic data has been recreated
retrospectively for statistical purposes only and may be purchased from
the JSE New Business Data Services department (Tel: +27 (0)11 520
7029). Historic data for the period January 2002 to 21 June 2002 is
available free of charge on the website www.ftsejse.co.za. To access
the historic data one must first register on the website, this
registration is free of charge and is for statistical reasons only.
Will there be an increase in current costs for indices users? If so, what extra services can they expect?
For
live and delayed indices there will be no increase in the current
costs. The charges for indices will be reviewed along with other prices
in the new year subject to the normal notice period. License fees for
OTCs, ETFs and other tracking funds will be introduced. These licence
fees will be phased in over time and only after the appropriate notice
periods have been given.
For more information regarding the costs associated with the FTSE/JSE
Africa Index Series please contact the JSE Data Services Department on
Tel: +27 (0)11 520 7029
According to the new futures closeout methodology, how are instrument averages calculated?
Instrument averages are calculated as follows (from start of the futures close out to the end):
Instrument Average = The Sum of the Price Iterations Taken
The Number of Iterations (i.e. 100)
Price iterations are taken every 60 seconds for the period 14h00 to
15h40. If the instrument has not been traded during the period, but has
been traded during the day, the last trade of the day is used, and
similarly, if the instrument has not been traded during the day, the
closing price of the previous day is used. This implies that if an
instrument is not traded during 10 minutes of the futures close out,
there will be 10 times the same price recorded.
According to the new futures closeout methodology, how are index averages calculated?
Index averages are calculated using the following equation:
Index Average = Sum of the Free Float Market Cap of Each of the Index Constituents
Divisor of the Index
The free float market cap of each of the index constituents is
calculated by multipying the instrument average by the number of shares
in free float;
The divisor of the index is an arbitrary number chosen at the starting
point of the index, which is adjusted when capitalisation amendments
are made to the constituents of the index allowing the index value to
remain comparable over time;
Information regarding the constituents of an index, the free float
weighting of each constituent, the constituents average price as well
as the index provider are available in the EOD dissemination files; for
more information on the contents of these files please see the FTSE/JSE
Africa Index Series Product Specification available on the website
www.ftsejse.co.za or the I.T. section of this FAQ document
What happens to price monitoring during the futures close out period?
There will be no price monitoring during futures closeout therefore volatility auctions will not be invoked.
How are the indices reconstituted?
Closing prices will be used to reconstitute indices. The settlement
prices as averaged for the futures close-out has no affect on the
indices as calculated by FTSE.
How is the settlement price of the index for Futures Closeouts calculated?
The settlement price of the index for Futures Closeouts will be calculated as follows:
Settlement price of an index = SUM (average price for each constituent
of an index X number of shares in free float) / Index Divisor.
What changes should be made to systems mimicking the futures closeout averaging calculations?
The
methodology of the futures closeout has changed considerably. IT
systems designed to mimic this calculation should ensure the following
have been catered for:
- The system time should be exactly aligned with the JSE;
- The averaging period will start at precisely 14h00 on the given date of the futures closeout;
- A price snapshot of each of the constituents will be taken every
minute (the first being taken at 14h01) for 100 minutes (the last at
15h40). It is important to note that this snapshot is based on the last
traded price; as several automated trades can take place in a single
second this value may differ across systems.
- Constituent averages are calculated by taking the sum of the price
iterations for the constituent and dividing it by the number of
iteration taken (i.e. 100).
- Index averages are calculated by dividing the sum of the free float market cap of each index by the index divisor.
For more information on the exact specifications of the futures
closeout please contact the JSE Equities and Derivatives Trading
Department (Tel: +27 (0)11 520 7475)
Does the introduction of the FTSE/JSE Africa Index Series affect the link to my data vendor?
Although
some software adjustments may have been performed, the link to your
data vendor should not be affect by the introduction of the FTSE/JSE
Africa Index Series. For more information on changes being developed to
accomodate the FTSE/JSE Africa Index Series please contact your data
vendor directly.
Where can I find information about FTSE/JSE product files?
Please contact the JSE Data Services Department on Tel: +27 (0)11 520 7029
Who reviews FTSE/JSE indices?
The
FTSE/JSE Advisory Committe reviews the indices and ensures that they
accurately rflect the market, remaining objective at all times. View
the index governance in the index speciic rules section.
Are historical constituent lists available for the FTSE/JSE indices?
Yes, please contact the JSE Data Services Department on Tel: +27 (0)11 520 7029
How do I find out further information on the how indices are reviewed and managed?
Please refer to the Index Reviews section for Quarterly Review
Committee Papers and the Ground Rules document under the Education
section.
Where can I find detailed information relating to the calculation of indices, the closing price and exchange rates?
Please
visit the Calculations Guide sub section under the Education section
for the calculation of indices. Please contact the South African
Reserve Bank for the exchange rates.
How do you convert an index from its base currency to another currency?
FTSE/JSE
calculates indices in their base currencies and then converts them into
additional currencies i.e. yen and dollar values. To replicate a
currency-converted index you need the base date of the index and the
base currency of the index.
Formula for replicating a currency-converted index:
Index value in base currency = today’s exchange rate* / exchange rate at base date
* exchange between base currency and currency going to
Why does the FTSE/JSE Top 40 Index sometimes have more than 40 constituents in the index?
The FTSE/JSE Top 40 has 40 companies in the index, but there may be
more than one line of eligible stock for each company.
What are private investor indices?
These
indices provide private investors, private client investment managers
and trustees with a measure of performance against which to compare
investment portfolios, based upon the assumption they are domestic
investors with sterling denominated accounts.
Why did FTSE/JSE launch non-market cap weighted indices?
We wanted to offer the market an alternative to wealth weighted indices
and created non-market cap weighted indices to offer our clients a
greater choice in market measurement.
What is the difference between market cap weighted indices and non-market cap weighted indices?
The stocks within market cap weighted indices are selected according to
market capitalisation (price x number of shares x free float) whereas
stock in non-market cap weighted indices are selected according to a
factors dependent upon fundamental data such as: book price, cash flow,
revenue, sales, income and dividends.
Should I require data for my personal use can I obtain this from the JSE?
The easiest way of obtaining such data would be to contact a vendor, you will find a list of them on our website, www.jse.co.za, click on Information Products, vendor matrix.
How do I go about subscribing to live, delayed or end of day equities data?
You would need to firstly complete a User Application Form, after which
we will initiate a JSE Information Distribution Agreement; this
agreement provides you with all the provisions of the use of our data.
Who do I contact for ad hoc indices data requests?
All requests for indices ad-hoc data requests should be sent to indexdata@jse.co.za,
please provide us with what index data it is you require as well as
what fields and whether it is monthly or daily data that you require,
we will then send you a quote as well as our bank details, once the
monies have been deposited into our account we will provide you with
the data requested.
Who do I contact for all equity ad hoc requests eg a share price for a specific day?
Please send an e-mail through to marketinformation@jse.co.za
Does the JSE provide any data on Exchange Rates?
No, you will need to contact the South African Reserve Bank
Do you have FTSE/JSE Indices history available?
Yes, We have a History CD available at a cost of R15 000 (excl VAT), 7
year history from 30 June 1995 to 31 July 2002, as well as Capped
Indices history CD R1000 (excl VAT) from 2 January 2002 to 31 January
2003, SWIX CD R1000 excl VAT from 2 January 2002 to 30 June 2003, and a
Style history CD for R1500 excl VAT from 2 January 2002 to Aug 04.
What do I do if I only need index history for a specific period?
You can send through a request to Indexdata@jse.co.za,
stipulating the time period you require the data for as well as whether
you require monthly or daily data so that the Information Products
Sales team can provide you with a quote. Once we have received proof of
payment the data will be sent to you.
Can I subscribe to the SWIX, Style, Capped, Div+, RAFI, ALTX 15 or Sri Indices only?
No you cannot, subscription to any of these indices is subject to the subscription of the Core Indices data files.
Where will I find specific closing share prices?
If you wish to enquire on free closing share prices you will be able to
do so on our Financial Portal. You can also set up your share watch
list and then on a regular basis, assess the movement on your
particular shares.
Where would I be able to get a closing price download only?
If you are looking for a download, you can obtain this from a data
vendor, you will find a list of them on our website, www.jse.co.za,
click to services, data vendor matrix, however, as you can appreciate
the creation and provision of data is a fairly costly exercise, so you
will find that the data vendors will charge a fee for this service.