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· 2020
This is the final study of the 'Feasibility study for the creation of a CMU Equity Market Index Family' for the Directorate-General for Financial Stability, Financial Services and Capital Markets Union (DG FISMA). The assessed CMU Equity Market Index Family covers 38 indices in total, including all share, ESG, SME Growth Market, sectoral, company size, and market size-based indices. These are calculated for both the most liquid stocks and less liquid stocks to promote convergence. For each of the indices the price, gross and net return rates are calculated. The conclusion of the feasibility study is that there is some potential among investors for a CMU Equity Index Family. To some extent, the CMU All Share Index has potential as a benchmark for mutual fund, or to be tracked by ETFs, and this is especially the case for some of the sub-indices. Whether this potential is realised will depend largely on the quality of the index provider, pricing of the use of the indices and implementation strategy.
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