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AEX index

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AEX index
AEX index performance between 1982 and 2012
Foundation1983
OperatorEuronext
ExchangesEuronext Amsterdam
Constituentsup to 25
TypeLarge cap
Market cap€850,8 billion (Begin March 2021)[1]
Weighting methodCapitalization-weighted
Related indicesAMX index, AScX index
Websitewww.aex.nl

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 frequently traded securities on the exchange. It is one of the main national indices of the stock exchange group Euronext alongside Euronext Brussels' BEL20, Euronext Dublin's ISEQ 20, Euronext Lisbon's PSI-20, the Oslo Bors OBX Index, and Euronext Paris's CAC 40.

History

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The AEX started from a base level of 100 index points on 3 January 1983 (a corresponding value of 45.378 is used for historic comparisons due to the adoption of the Euro).[2] The index's peak to date was set on 26th October 2021 816.91[3] After the dot-com bubble in 1999, the index value more than halved over the following three years before recovering in line with most global financial markets.

The AEX index dealt with its second largest one-day loss on March 12, 2020, when the index closed down almost 11% during the coronavirus pandemic.[4] The AEX index enjoyed its third largest one-day loss on September 29, 2008, when the index closed down almost 9%. The decade between 1998 and 2008 was bad for the AEX index, as it was the worst performing stock index except for the OMX Iceland 15.[5] The preceding years were a lot better compared to the rest of the world.

Annual Returns

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The following table shows the annual development of the AEX index since 1983.[6][7]

Year Closing level Change in index
in points 		Change in index
in %
1983 73.21
1984 85.75 12.54 17.13
1985 121.50 35.75 41.69
1986 114.69 −6.81 −5.60
1987 77.87 −36.82 −32.10
1988 117.68 39.81 51.12
1989 136.59 18.91 16.07
1990 104.01 −32.58 −23.85
1991 125.72 21.71 20.87
1992 129.71 3.99 3.17
1993 187.99 58.28 44.93
1994 188.08 0.09 0.05
1995 220.24 32.16 17.10
1996 294.16 73.92 33.56
1997 414.61 120.45 40.95
1998 538.46 123.85 29.87
1999 671.41 132.96 24.69
2000 637.60 −33.81 −5.04
2001 506.78 −130.82 −20.52
2002 322.73 −184.05 −36.32
2003 337.65 14.92 4.62
2004 348.08 10.43 3.09
2005 436.78 88.70 25.48
2006 495.34 58.56 13.41
2007 515.77 20.43 4.12
2008 245.94 −269.83 −52.32
2009 335.33 89.39 36.35
2010 354.57 19.24 5.74
2011 312.47 −42.10 −11.87
2012 342.71 30.24 9.68
2013 401.79 59.08 17.24
2014 424.47 22.68 5.64
2015 441.82 17.35 4.09
2016 483.17 41.35 9.36
2017 544.58 61.41 12.71
2018 487.88 −56.70 −10.41
2019 604.58 116.70 23.92
2020 624.61 20.03 3.31
2021 797.93 173.32 27.75
2022 745.19 −52.74 −6.61
2023 786.82 97.81 14.20


Rules

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Selection

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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]

Weighting

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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]

Calculation

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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, It, is calculated using the following formula:[8]

with t the day of calculation; N the number of constituent shares in the index (usually 25); 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 the index divisor (a factor calculated from the base capitalisation of the index, which is updated to reflect corporate actions and other index changes.

Contract Specifications

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The AEX Index is traded as a future on the Euronext Equities & Index Derivatives exchange (EUREID) under the ticker symbol FTI. The size of each contract is 200 EURO x AEX Index points (e.g. 200 X 667.55 = €133,510).

Contract Specifications[11]
AEX Index (FTI)
Contract Size: 200 EURO x AEX Index Points
Exchange: EUREID
Sector: Index
Tick Size: 0.05
Tick Value: 10 EUR
Big Point Value (BPV): 200
Denomination: EUR
Decimal Place: 2

Composition

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The index is composed of the following listings as of 30 June 2021.

Company ICB Sector Ticker symbol Index weighting (%)
Adyen support services, financial administration ADYEN 6.90
Aegon life insurance AGN 0.81
Ahold Delhaize food retailers & wholesalers AD 3.40
AkzoNobel specialty chemicals AKZA 2.58
ArcelorMittal iron & steel MT 2.41
ASM International semiconductors ASM 1.70
ASML Holding semiconductors ASML 17.62
Universal Music Group entertainment UMG 0.57
BE Semiconductors semiconductors BESI 0.66
DSM Firmenich AG specialty chemicals DSFIR 3.71
Heineken brewers HEIA 3.06
IMCD specialty chemicals IMCD 0.99
ING Group banks INGA 5.64
Just Eat Takeaway specialized consumer services TKWY 1.35
KPN fixed line telecommunications KPN 1.15
NN Group life insurance NN 1.45
Philips medical equipment PHIA 4.95
Prosus Consumer Digital Services PRX 4.35
Randstad business training & employment agencies RAND 1.08
RELX publishing REN 5.78
Shell plc integrated oil & gas SHELL 10.15
Signify building materials LIGHT 0.89
Unibail-Rodamco-Westfield retail REITs URW 1.12
Unilever personal products UNA 14.76
Wolters Kluwer publishing WKL 2.94

See also

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  • AMX index, the market index of the next 25 largest funds on Euronext Amsterdam.
  • AScX index, market index of 25 small caps on Euronext Amsterdam.

References

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  1. ^ This is the actual total free-float market cap of the AEX constituents. Because the index uses a basket model which does not include the total number of shares, the market cap of the index per se is significantly less than this. "AEX-Index factsheet March 2021" (PDF). NYSE Euronext. Retrieved 20 April 2021.
  2. ^ "Amsterdam AEX Stock Index". Global Financial Data. Retrieved 2007-12-02.[permanent dead link]
  3. ^ "AEX Index Breaks Through Magic 500 Threshold". NIS News. 3 January 2007. Archived from the original on 28 December 2007. Retrieved 2007-12-02.
  4. ^ "Wall Street beleeft grootste verlies sinds 1987, Klaas Knot sluit recessie niet uit", Het Financieele Dagblad, March 12, 2020.
  5. ^ "In the long run, we're all dead", Amsterdamtrader, January 7, 2009.
  6. ^ "Historical data: AEX Index - Netherlands (^AEX)". Stooq. Archived from the original on 3 Feb 2013.
  7. ^ "AEX-INDEX (^AEX) Historical Data". Yahoo Finance. Retrieved 2020-01-23.
  8. ^ a b c d e f g "Rules for the AEX, AMX and AScX" (PDF). NYSE Euronext. Archived from the original (PDF) on 16 June 2011. Retrieved 22 June 2011.
  9. ^ a b c "Announcement Rules Change AEX-index, AMX-index and AScX-index - Introduction of Interim Review and Revised Eligibility Rule" (PDF). Euronext. June 2008. Archived from the original (PDF) on 2009-03-20. Retrieved 2008-05-14.
  10. ^ "AEX-Index profile". Euronext. Archived from the original on 2008-02-02. Retrieved 2007-12-02.
  11. ^ "Historical AEX Index - Holland Intraday data". PortaraCQG. Retrieved 2023-03-21.
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