CAC 40

CAC 40 (CAC quarante) is a benchmark French stock market index that represents a capitalization-weighted measure of the 40 most significant values among the 100 highest market caps on the Euronext Paris (formerly the Paris Bourse).

CAC 40 is one of the main national indices for Euronext, alongside BEL20 (Belgium), PSI-20 (Portugal) and AEX (the Netherlands).

CAC stands for Cotation Assistée en Continu which is French for Continuous Assisted Quotation and was the name of an early automation system used at the Paris Bourse. There are many different CAC indices in addition to CAC 40, such as CAC Next 20, CAC Mid 60, CAC Small, and CAC All-Tradable.

Short facts about the CAC 40

The base value of 1,000 was set on the 31st of December 1987, the very last day of the year. It was equivalent to a market capitalization of 370,437,433,957.70 French francs.

On the 1st of December 2003, the weighting system for CAC 40 was changed from being dependent on total market capitalization to free float market cap only.

All-time high

The all-time high so far for CAC 40 was reached in early September 2000, during the height of the dot-com bubble.

Composition

The composition is reviewed quarterly by an independent committee named Conseil Scientifique. When the committee decides that a change will be made, that change is effected a minimum of two weeks after the quarterly committee meeting.

At each review date, eligible companies are ranked based on free float market capitalization and share turnover on Euronext for the past 12 months. A list of the top 100 companies is compiled and the committee choses 40 of these for the index. The goal is for the CAC 40 to be a “relevant benchmark fort portfolio management” and “a suitable underlying asset for derivatives products”. (Source: http://www.euronext.com/fic/000/050/871/508718.pdf)

If more than one class of shares are actively traded for a company, only the most actively traded one on Euronext Paris can be used for CAC 40.

Weighting

CAC 40 is a capitalization-weighted index.

On the 1st of December 2003, the weighting system for CAC 40 was changed from being dependent on total market capitalization to free float market cap only. Since that date, the index weightings of companies in CAC 40 have been capped at 15% at each quarterly index review (but these range freely with share price subsequently). When necessary, a capping factor is utilized to limit the weights to 15%. A review is carried out by the Conseil Scientifique comittee on the third Friday of September each year.

The number of shares issued is reviewed on the third Friday of March, June, September and December. Knowing the exact number of shares is important, since this info is required to correctly calculate the market cap and thus also the index weight.

Calculation

The index value I of the CAC 40 is calculated using this formula:

• t is the day of calculation
• N is the number of constituent shares in the index
• Qi,t is the number of shares of company i on day t
• Fi,t is the free float factor of share i
• fi,t is the capping factor of share i (exactly 1 for all companies not subject to the 15% cap)
• Ci,t is the price of share i on day t
• Qi,0 is the number of shares of company i on the index base date
• Ci,0 is the price of equity i on the index base date
• Kt is the “adjustment coefficient for base capitalization” on day t (reflecting the switch from the French franc to the Euro in 1999).

The companies

This is what CAC 40 looked like on 30 april 2018. Changes are announced on Euronext.com.