CAC 40

The CAC 40 index composition is reviewed quarterly by an independent Index Steering Committee (French: Conseil Scientifique).[2] If any changes are made, they are effected a minimum of two weeks after the review meeting.[2] At each review date, the companies listed on Euronext Paris are ranked according to free float market capitalisation and share turnover over the prior 12 months.[5] From the top 100 companies in this ranking, forty are chosen to enter the CAC 40 such that it is "a relevant benchmark for portfolio management" and "a suitable underlying asset for derivatives products".[5] If a company has more than one class of shares traded on the exchange, only the most actively traded of these will be accepted into the index (generally this will be the ordinary share).[5]

The CAC 40 is a capitalization-weighted index. The number of shares issued (used to calculate the market cap and hence the index weight) of a company is reviewed quarterly, on the third Friday of March, June, September and December.[2] Since December 2003, the index weightings of companies in the index have been capped at 15% at each quarterly index review,[5] but these range freely with share price subsequently. A capping factor is used to limit the weights to 15% (if necessary), and is reviewed annually by the Index Steering Committee on the third Friday of September.[5]

The index value I of the CAC 40 index is calculated using the following formula:[5] ${\displaystyle I_{t}=1000\times {\frac {\sum _{i=1}^{N}Q_{i,t}\,F_{i,t}\,f_{i,t}\,C_{i,t}\,}{K_{t}\,\sum _{i=1}^{N}Q_{i,0}\,C_{i,0}\,}}}$ with t the day of calculation; N the number of constituent shares in the index (usually 40); 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; Q_i,0 the number of shares of company i on the index base date; C_i,0 the price of equity i on the index base date; and K_t the "adjustment coefficient for base capitalization" on day t (reflecting the switch from the French franc to the Euro in 1999).