AEX index

As of 2011, the AEX index composition is reviewed four times a year - a full "annual" review in March and interim "quarterly" reviews in June, September and December. Any changes made as a result of the reviews take effect on the third Friday of the month.[8] Previously reviews were held in March and September only.[9] Prior to 2008, index changes were made only annually in March.

At the main March review date, the 23 companies listed on Euronext Amsterdam's regulated market with the highest share turnover (in Euros) over the previous year are admitted to the index.[8] Of the companies ranked between 24th and 27th, a further two are selected with preference given to existing constituents of the index. Companies which have fewer than 25% of shares considered free float on Euronext Amsterdam are, however, ineligible for inclusion.[8] Unlike some other European benchmark equity indices (such as the OMXS30), if a company has more than one class of shares traded on the exchange, only the most frequently traded of these will be accepted into the AEX.[8] If a company or companies are removed from the index due to delisting, acquisition or another reason, no replacements are made until the next review date.[8]

At the three interim reviews in June, September and December, no changes are made to the AEX unless either the index has seen one or more constituents removed, or a non-constituent possesses a share turnover ranked 15th or higher overall over the previous 12 months.[9] If vacancies are to be filled, the highest-ranking non-AEX companies are selected to join the index.[9]

The AEX is a capitalization-weighted index. At each main annual review, the index weightings of companies in the index are capped at 15%,[10] but range freely with share price subsequently. The index weights are calculated with respect to the closing prices of the relevant companies on March 1. At the interim reviews, weightings after adjustment are left as close as possible to those of the previous day and are not re-capped.[8]

The index comprises a basket of shares, the numbers of which are based on the constituent weights and index value at the time of readjustment. The value of the index at any given time, I_t, is calculated using the following formula:[8]

${\displaystyle I_{t}={\frac {\sum _{i=1}^{N}Q_{i,t}\,F_{i,t}\,f_{i,t}\,C_{i,t}\,}{d_{t}\,}}}$

with t the day of calculation; N the number of constituent shares in the index (usually 25); Q_i,t the number of shares of company i on day t; F_i,t the free float factor of share i; f_i,t the capping factor of share i (exactly 1 for all companies not subject to the 15% cap); C_i,t the price of share i on day t; and d_t the index divisor (a factor calculated from the base capitalisation of the index, which is updated to reflect corporate actions and other index changes.