CAC 40

Contents

Introduction

CAC Family

Review and Selection Criteria

Performance

Components

Calculations

Impact of Eurozone Crisis

Introduction

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

French stock market index

CAC 40: Continuous Assisted Quotation

Launched on 31 December 1987 with base value of 1000

1st December 2003

Free Float Market Cap

Total Market Cap

Introduction

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Index Type Price Index

Governance Structure Conseil Scientifique & NYSE Euronext

Weighting Free float adjusted market cap

Capping 15 %

Calculation Frequency 15 s

CAC 20 20 constituents 20 highest ranking companies not

included in the CAC 40 Base date: 31/12/2002 Base level: 3000

CAC large 60 Companies included in CAC 40

and CAC Next 20 60 constituents Base date: 03/01/2006 Base level: 5000

CAC Family

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

CAC mid 60 The 60 highest raking

companies not included in the CAC Large 60

60 constituents Base date: 31/12/2002 Base level: 3000

SBF 120 All companies included in CAC

Large 60 and CAC Mid 60 120 constituents Base date: 28/12/1990 Base level: 1000

CAC Family

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

CAC small Continuation of the CAC Small 90

since March 2011 Companies not included in SBF

120 Variable constituents Base date: 31/12/2002 Base level: 3000

CAC mid & small Continuation of CAC Mid & Small

190 since March 2011 All companies included in CAC Mid

60 and CAC Small Variable constituents Base date 30/12/2002 Base level 3000

CAC Family

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Review

To ensure that selection and weighting reflects the underlying market or market segment

Annual Review: Effective after close of 3rd Friday of September

Quarterly Reviews: Effective after close of 3rd Friday of December, March, and June

Review and Selection

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Selection Basis: Combined Ranking:

the value of Regulated Turnover observed over a 12-month period

the free float adjusted market capitalization on the Review Date

Minimum Trading Velocity

Minimum Free Float

Review and Selection

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Dot Com Bubble

Subprime Crisis

Eurozone Crisis

Free Float

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

CAC 40 : Index and Events

2001 2002 2003 2004 2005 2006 2007 2008 2009 20100

10

20

30

40

Average Yearly Volatility (%)

Best Performance Since 2000

Performance Date

Day 11.18% 13/10/2008

Month 13.41% October 2002

Year 20.86% Q3 2009

Annual Return%

1 year -23.392 years -11.203 years -3.965 years -9.33

10 years -3.81

Performance

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

20012002200320042005200620072008200920102011

-4

-3

-2

-1

0

1

2

3

4

5

6

0

1000

2000

3000

4000

5000

6000

GDP Growth rate (%)Govt Bond yieldCAC40

CAC40 v/s GDP Growth Rate v/s Govt Bond yield

3

4

4

6

42

1

2

9

2

Components – Industry wiseFinancial

Communicatios

Utilities

Consumer, Non Cyclical

Consumer, Cyclical

Basic Material

Diversified

Energy

Industrial

Technology

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Components

Co. TOTAL SANOFI – Aventis

BNP Paribus

Sector Oil & Gas Healthcare Banking

Rank (as per mcap) /Weight (%)

1/ 13.5 2/ 9.92 3/ 5.15

Mcap (in Euro million) 84,176.42 65,239.44 31,220.08

Shares Outstanding (million) 2,358.54 1,341.04 1,207.74

Beta .67 .58 1.39

52 week: High – Low (in Euro) 44.55 – 29.40 56.82 – 42.85 59.93 – 22.72

P/e ratio 6.69 13.58 4.77

Dividend Yield (%) 6.39 5.18 8.12

Dividend Payout Ratio (%) 53.21 - 39.49

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Company Wise Analysis

Recommendation/ Co. TOTAL SANOFI – Aventis BNP ParibusNov’ 11 Aug’ 11 Nov’ 11 Aug’ 11 Nov’ 11 Aug’ 11

Buy 13 12 12 13 18 16Outperform 6 4 6 4 2 3Hold 19 18 9 11 8 10Underperform 2 2 0 1 2 1Sell 1 1 1 0 0 0

The general formula for Price Index:

Calculations

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

The total return index calculationTranspose the announced dividend payment into index points

The dividend is assumed to be reinvested at the close of the ex-date

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Calculations

Comparisons with Europe Market Cap

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Introduction CAC Family Review & Selection Criteria Performance Components Calculations

Impact of Eurozone

Crisis

Impact of Eurozone Crisis

German Bond Auction flopped

Italy new government – vulnerable

Portugal rated as Junk by Moody’s

France rating AAA, however the investor sentiment low

Its government bond yield is high

Part of the bailout fund European Financial Stability Facility (EFSF)

Focus on the upcoming bond auctions in order to the judge the investor sentiments

-25%

Thank You

Presented By:Apoorva SharmaDeepika MisraDevika BhatiaGohan KumarKartikey BhargavaNikhil Marwah