QE Equity Indices

 

 

 

Indices

As of April 1st 2012, Qatar Exchange introduced a number of new equity indices to supplement the existing QE Index. A total return version of the QE index was launched; this is an index which measures both price performance and income from dividends for the 20 largest most liquid stocks. QE also published All Share and sector indices to provide an overall market benchmark and allow further analysis of industry performance in real-time.

What is an index?

An index is a numerical value that measures the performance of a given market through aggregation of the prices of a representative basket of stocks. Indices are calculated as weighted average of the constituent prices, the weight depends on methodology but the majority of indices are weighted by market capitalization. Reviews take place on a regular basis to ensure selected stocks as well as their weightings are correctly representing the underlying market.

Indices are produced primarily for use in analysing investment strategies and as a measure of portfolio performance for professional investors such as pension funds, insurance companies and other institutional investors. Retail investors use indices as a benchmark against which to compare the performance of chosen stocks. Indices which measure the performance of a specific industry sector provide further tools that allow efficient 'stock picking'.

Index calculation

Equity Indices are mostly weighted by the free float market capitalisation of each company (free float shares multiplied by share price). The price movement of a larger company (say, representing five per cent of the value of the index) will, therefore, have a larger effect on the index than a smaller company (say, representing one per cent of the value of the index). The index value itself is simply a number which represents the total market value of all companies within the index at a particular point in time compared to a comparable calculation at a starting point.

The daily index value is calculated by dividing the total market value of all constituent companies by a number called the divisor. The divisor is an arbitrary number chosen at the starting point of the index to fix the index starting value (say, at 1000). The divisor is then adjusted when capitalisation amendments are made to the constituents of the index allowing the index value to remain comparable overtime.

The market capitalisation of a company is adjusted to take account of various corporate actions. To prevent the value of an index changing due to such an event, all corporate actions which affect the market capitalisation of the index require an offsetting divisor adjustment. By adjusting the divisor, the index value remains constant before and after the event. The following types of corporate action require divisor adjustment : rights issue; addition/deletion of constituent within the index; issue of new shares; share repurchase.

QE index

QE index measures the 20 largest and most liquid stocks in the Qatar market. On the 1st day of April and October the index is rebalanced, determining whether existing constituents continue to fulfill index criteria. All listed companies are ranked by giving free float market capitalization a 50% weight (or consideration) and average daily value traded also 50% weight. Companies with velocity less than 5% are excluded from the review, as are companies whereby a single shareholder can only own less than 1% of outstanding shares. The 20 constituents of the QE index for the following 6 months are determined. A 15% cap is applied to an individual constituent's weight in the index, with the excess weight distributed proportionately among the remaining index constituents. In such cases, the fixing of shares figures takes place only at rebalance dates.

QE Total Return Index

QE index measures only price performance of component stocks. Qatar Exchange calculates a total return version of the index that also reflects income received by way of dividend payments on the 20 stocks. The methodology reinvests the dividends in the index on the day a security is quoted ex dividend (day after the AGM). A total return index represents the total return earned in a portfolio that tracks the underlying price index and reinvests dividend income in the overall index, not in the specific stock paying the dividend.

QE All Share Index & Sector Indices

Qatar Exchange offers an 'all share' index that covers all listed stocks with share velocity greater than 1%. Velocity is the proportion of total shares that have changed hands in one year. The All Share index acts as an overall benchmark for the market, with over double the number of component stocks versus those included in the QE index.

The All Share also acts to support underlying sectors indices. Constituent stocks of the All Share index are allocated to one of 7 industry sector indices. These indices will provide a framework that allows investors to perform real-time sector analysis.

The All Share/sector indices measure 'total return'. Identical to QE total return index calculation methodology, the series measures price and dividend income movement.

 

 

 

To view QE Index constituents, please click here

To view QE All Share Index constituents, please click here

To view QE Al Rayan Islamic Index constituents, please click here

 

 

 

 

To view QE Index Methodology rulebook, please click here

 
QE Index Factsheet
Full name Qatar Exchange Index (formally the DSM 20 Index)
Index Type Price Return Divisor Index
Index Governance Structure Qatar Stock Exchange (QSE)
Review of Composition Semi-annual:
First trading day of April, and
First trading day of October
Review Period The 12 months observation ending last trading day in February for April Review,
The 12 months observation ending last trading day in August for October Review.
Eligible stocks Equity securities listed and available for trading on the Qatar Stock Exchange for more than six months. QE index constituents must have individual shareholder limit of no less than 1%.
Frequency of Trading:
QE index constituents must have traded  during at least 80% of the trading days during the final quarter of the Review Period.
For a stock to enter the QE Index it must have traded at least 80% of the trading days of each of the 4 quarters of the Review Period.
Velocity Eligibility:
(exception made for the Top 10 companies ranked according to average daily traded value during the Review Period)
QE index constituents must have recorded  annual share velocity greater than 5%.
Existing QE Index constituents must have recorded annualized share velocity greater than 5% during the final quarter of the Review Period. For a stock to enter the QE Index it must have recorded annualized share velocity greater than 5% for each of  the 4 quarters of the Review Period.
Selection Index consists of the top 20 company ranked by free-float market capitalization and daily average traded value
Number of constituents 20
Weighting Capped Free-float market capitalization. A 15% cap is applied to an individual constituent’s weight in the index, with the excess weight distributed proportionately among the remaining index constituents.
Effective date of the review First to last business day of March and September
Calculation frequency Real time
Base date January 1st, 1998
Base level 1,000 (100 from January 1st, 1998 to March 11th, 2002)
Historic data available since January 1st, 1998
Derivatives and Linked products None
ISIN code XC000A1DKEE5
Mnemonic code GNRI
Bloomberg code QE
Reuters code .QSI
Launch date May 6th 2010
 
QE Index Total Return Factsheet
Full name Qatar Exchange Index Total Return
Index Type Total Return Divisor Index
Index Governance Structure Qatar Stock Exchange (QSE)
Review of Composition Semi-annual:
First trading day of April, and
First trading day of October
Review Period The 12 months observation ending last trading day in February for April Review,
The 12 months observation ending last trading day in August for October Review.
Eligible stocks Equity securities listed and available for trading on the Qatar Stock Exchange for more than six months. QE index constituents must have individual shareholder limit of no less than 1%.
Frequency of Trading:
QE index constituents must have trade  during at least 80% of the trading days during the final quarter of the Review Period.
For a stock to enter the QE Index it must have traded at least 80% of the trading days of each of the 4 quarters of the Review Period.
Velocity Eligibility:
(exception made for the Top 10 companies ranked according to average daily traded value during the Review Period)
QE index constituents must have recorded  annual share velocity greater than 5%.
Existing QE Index constituents must have recorded annualized share velocity greater than 5% during the final quarter of the Review Period. For a stock to enter the QE Index it must have recorded annualized share velocity greater than 5% for each of  the 4 quarters of the Review Period.
Selection Index consists of the top 20 company ranked by free-float market capitalization and daily average traded value.
Number of constituents 20
Weighting Capped Free-float market capitalization. A 15% cap is applied to an individual constituent's weight in the index, with the excess weight distributed proportionately among the remaining index constituents.
Effective date of the review First to last business day of March and September
Calculation frequency Real time
Base date January 3rd, 2007
Base level 7,123.53
Historic data available since January 3rd, 2007
Derivatives and Linked products None
ISIN code QA000A1MADH0
Mnemonic code QETR
Bloomberg code QETR
Reuters code .QETR
Launch date April 1st 2012
 

 

 

 

To view QE Index All Share Methodology rulebook, please click here

 
QE All Share Index Factsheet
Full name QE All Share Index
Index Type Total Return Divisor Index
Index Governance Structure Qatar Exchange (QE)
Eligible stocks Equity securities listed and available for trading on the Qatar Exchange for more than six months, with a annualised share velocity ratio greater than 1%
Selection Index consists of all eligible stocks.
Number of constituents All
Weighting Free-float market capitalization
Review of composition Semi-annual
Effective date of the review First to last business day of March and September
Calculation frequency Real time
Base date January 3rd, 2007
Base level 1,000
Historic data available since January 3rd, 2007
Derivatives and Linked products None
ISIN code QA000A1MADJ6
Mnemonic code QEAS
Bloomberg code QEAS
Reuters code .QEAS
Launch date April 1st 2012
 
QE All Share Sector Indices Factsheet
Full name QE Banks and Financial Services Index
QE Industrials Index
QE Transportation Index
QE Real Estate Index
QE Insurance Index
QE Telecoms Index
QE Consumer Goods & Services Index
Index Type Total Return Divisor Index
Index Governance Structure Qatar Exchange (QE)
Eligible stocks Equity securities listed and available for trading on the Qatar Exchange for more than six months, with a annualised share velocity ratio greater than 1%
Selection QE All Share constituents allocated to sector index based on industry classification. Index sectors as follows :
Banks and Financial Services
Industrials
Transportation
Real Estate
Insurance
Telecoms
Consumer Goods & Services
Number of constituents All
Weighting Free-float market capitalization
Review of composition Semi-annual
Effective date of the review First to last business day of March and September
Calculation frequency Real time
Base date January 3rd, 2007
Base level 1,000
Historic data available since January 3rd, 2007
Derivatives and Linked products None
ISIN code QA000A1MADK4 - Qatar Exchange All Share Banks & Financial Services Index
QA000A1MADL2 - Qatar Exchange All Share Industrials Index
QA000A1MADM0 - Qatar Exchange All Share Transportation Index
QA000A1MADN8 - Qatar Exchange All Share Real Estate Index
QA000A1MADP3 - Qatar Exchange All Share Insurance Index
QA000A1MADQ1 - Qatar Exchange All Share Telecoms Index
QA000A1MADR9 - Qatar Exchange All Share Consumer Goods & Services Index
Mnemonic code QBNK, QIND, QTRN, QREA, QINS, QTLC, QCON
Bloomberg code QBNK, QIND, QTRN, QREA, QINS, QTLC, QCON
Reuters code .QEBNK, .QEIND, .QETRN, .QEREA, .QEINS, .QTLC, .QCON
Launch date April 1st 2012
 

 

 

 

To view QE Al Rayan Islamic Index Methodology rulebook, please click here

 
QE Al Rayan Islamic Index Factsheet
Full name QE Al Rayan Islamic Index
Index Type Total Return Index
Index Governance Structure Qatar Exchange (QE)
Eligible stocks Equity securities listed and available for trading on the Qatar Exchange for at least 12 months that are Shari’a compliant according to Al Rayan’s Shari'a Supervisory Board. Index constituents must have recorded annualised share velocity greater than 5%
Selection
  1. The resultant list of securities is weighted by free float market capitalisation and any stock with less than 0.5% is excluded from consideration. This step determines qualifying stocks only.
  2. A liquidity scaling factor is to be applied to free-float market cap of the stocks whose free float to ADV ratio is less than the average of the index constituents. The factor is applied to reduce the free float of less liquid stock in the index to the effect that the new free float to ADV ratio is equal to index average. Step B provides a ranking of securities according to liquidity adjusted free float market capitalisation
  3. Customized weights are assigned to the index constituents such that weight of top component is 15%, 2nd 12%, 3rd 10%, next two 7.5%, next eight constitute 40% in total, 2nd smallest banding has 2.5% each and components make up 3%. The weighting of the last group of constituents may be diluted for any new additions.
Number of constituents Not fixed
Weighting Tiered weighting structure based on liquidity adjusted free float market capitalisation
Review of composition Semi-annual
Effective date of the review First to last business day of March and September
Calculation frequency Real time
Base date January 3rd, 2007
Base level 1,000
Historic data available since January 3rd, 2007
Derivatives and Linked products None
ISIN code QA000A1RRAX6
Mnemonic code QERI
Bloomberg code QERI
Reuters code .QERI
Launch date January 7th 2013