Nasdaq Baltic Index Family
Nasdaq uses a common classification of indexes for the Nordic and Baltic markets. A uniform index standard enhances understanding of the Nordic and Baltic indexes and facilitates comparisons between the different markets.
The Nasdaq Baltic index family includes Benchmark, Tradable, All-Share and Sector indexes.
All indexes are chain-linked, meaning that they are always calculated based on the price level of the previous trading day. The indexes are market weighted, calculated based on the change in the total market value from one point in time to another of all the shares included in the index.
Components of the Nasdaq Baltic index family
– OMX Baltic Benchmark is a benchmark index available on the Baltic level. The index consists of a portfolio of the largest and most traded shares, representing all sectors available on the Nasdaq Baltic Market. The index serves as an indicator of the overall trend in the market and is intended to offer a cost effective index that an investor can fully replicate. The composition of the index is revised on a semi-annual basis to ensure that it offers high investability and low transaction costs. The weight of the constituent stocks is based on the market value adjusted by the free float, which means that only the part of the share capital that is considered available for trading is included in the index.
– OMX Baltic 10 is a tradable index available on the Baltic level consisting of the 10 most actively traded stocks on the Nasdaq Baltic Market. A limited number of constituents guarantees that all the underlying shares of the index have excellent liquidity, which results in an index that is suitable as underlying for derivatives. The weight of the constituent stocks is based on the market value adjusted by the free float. The composition of the index is revised on a semi-annual basis.
– All-Share indexes (OMX Baltic, OMX Tallinn, OMX Riga, and OMX Vilnius) are available on both the local and Baltic level. They include the shares listed on the Main and Secondary lists of the Baltic exchanges and reflect the current status and changes in each market or the Baltic Market as a whole.
– Sector indexes are available on the Baltic level and are based on the Industry Classification Benchmark (ICB) developed by FTSE Group. The ICB is a detailed and comprehensive structure for sector and industry analysis, facilitating the comparison of companies across four levels of classification. Sector indexes show the trend of a specific industry and enable peer comparison between companies engaged in the same industry. The indexes are calculated for the first two levels of the ICB structure (industry and supersector) and include shares listed on the Main and Secondary lists of the Nasdaq Baltic exchanges.
– Gross Index (GI) : To reflect the true performance of the market, dividends are reinvested in the gross index. The reinvestment is carried out by adjusting the pi,t-1 in the denominator in the index with subtraction of dividends from this price on the ex-dividend date t. This adjustment reinvests the dividend in all index constituents in proportion to their respective weights.
– Price Index (PI) : In a price index, no cash dividend is reinvested in the index. Hence, the price index only yields the performance of stock price movements. The difference in rate of return for the gross and price-return version of an index is attributable to the dividend yield of the index.
– Capped Index (Cap): In a capped index, the weight of the index constituents has an upper limit (limits are set in accordance with Article 22 of Directive 01/108/EC on UCITS). If an index constituent exceeds the upper limit, its weight in the index is adjusted to the upper limit.