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Index Methodology Guide
Millennium bcp Value&Growth US Index
Issue 1.3

Issue date: May 14th, 2009
Print date: May 14th, 2009
Produced by: Millennium investment banking

The information contained in this document is current as of the publication date, and is
subject to change without notice. Millennium investment banking will not accept
responsibility for damages, direct or indirect, caused by any error or omissions in this
Table of contents

Chapter 1. Index description
Chapter 2. Index construction
2.2. Component eligibility and other requirements Chapter 3. Index maintenance
Chapter 4. Index calculation and dissemination
4.2. Calculation frequency and dissemination Appendices
Appendix A. Index components from July 1st 2004 to May 1st 2009 Chapter 1. Index descriptions

This document summarizes the methodology and rules used to construct, calculate,
and maintain the Millennium bcp Value&Growth US Index.
The Index is designed to track the performance of Millennium investment banking’s
selected investment list of publicly traded companies in the United States. The Index is
calculated and maintained by Standard & Poor’s based on a methodology developed
by Millennium investment banking in consultation with Standard & Poor’s.
Millennium bcp Value&Growth US Index tracks the performance of publicly traded
companies selected by Millennium investment banking by applying a proprietary
screening process to the universe composed by the S&P500 and Nasdaq 100 indexes.
The screening approach selects 10 stocks by employing the following steps:
1. Data availability: the stock must have coverage by at least 5 equity analysts in the database used by Millennium investment banking. 2. Value: the stocks with the highest Div Yield, highest Earnings Yield and lowest P/BV are selected. The metrics are calculated based on the current price and last figures available. 3. Growth: the stocks with the highest CAGR’s EPS in the next 2 years, based The Millennium bcp Value&Growth US Index contains 10 different stocks, with monthly rebalancing where up to 10 stocks can be replaced. Companies may not apply, and may not be nominated, for inclusion in the Index. Companies are added or removed by Millennium investment banking based on the methodology described herein. Whenever possible, Millennium investment banking will publicly disclose changes to the Index on the calendar month of the actual change. Given the nature of the selection, the Index applies an equal-weighted methodology. The equal-weighted methodology ensures each component stock is equally represented in the Index. Monthly rebalancing events are used to “re-set” the weighting of each component such that each component has an equal influence on the Index performance. The Index is calculated on a price return basis and on an end-of-day basis, disseminated via Reuters. The set of values will be freely available on Millennium investment banking’s website, www.millenniuminvestmentbanking.pt. . Chapter 2. Index construction

This chapter outlines and defines the key steps in constructing and calculating the
Index, including: eligibility requirements, formulas, initial component selection, and
special adjustments.

2.1. Base date and value
The Index has the following base date and value:


Base date
Base Value
# of Components
* EW = equal-weighted

2.2. Component eligibility and other requirements
All of the following sequential requirements must be met in order for a company to be
eligible for inclusion:

1) Investable Universe
a. Common stock of companies included in the S&P500 Index or Nasdaq 100.
b. Covered by at least 5 equity analysts.
2) Value Rank
The stocks within the Investable Universe are ranked based on Value Scores. A stock
with a high Value Score would have a higher Value Rank. The Value Score, based on
current prices, uses three metrics:
a. Earnings yield
b. Dividend yield
c. Price/Book Value
The stocks are then sorted in descending order of their Value Rank and the stocks with
the highest ranking are selected (Top Value Rank).
3) Growth Rank
Among the stocks in the Top Value Rank, the 10 with the highest Growth Rank are
selected. The Growth Rank is based on the aggregate Growth Score using the
consensus expectations for EPS Growth in the current year and the next year.
The execution of the process described above will use financial databases available to
Millennium investment banking
2.3. Weighting adjustment
The Index is equal-weighted index with each stock representing, at each monthly
rebalancing, 10% of the Index Value. As the stock prices move, the weightings in the
index will change.
At the beginning of each monthly rebalancing, the Index Number of Shares (INSi) of
stock (i) are set so that each constituent has a weight of 10%. The INSi(t) is represented
by the following equation:
Pi(r) = Price of stock (i) at time (r). Time (r) represents the closing value at the day of the
2.4. Dividend treatment
The price index does not take normal dividend payments into account. Special
dividends require an adjustment (as described in Chapter 3) to prevent such
distributions from distorting the price index.
2.5. Index equations
The price index is calculated using the following basic equation:

I(t) = Index value at time (t)
n = Number of stocks in the index
t = The day the index is calculated
Pi(t) = Price of stock (i) at time (t)
INSi(t) = Number of shares of stock (i) at time (t).
The initial Index Value, set as at July 1st 2004 is 1000.
Several key features of this process should be noted:
INS (Index Number of Shares) and Index Value are artificial constructs. Index
Number of Shares shown in the equations here are artificial constructs bearing no
relation to actual shares outstanding. These might include fractions, and might be less
than 1. Therefore, the Index Value is also an artificial construct. These terms are used
simply to show the resemblance between the calculation methodology of the equally
weighted and capitalization-weighted indices.
The index return is an arithmetic mean, not a geometric mean. In between two
rebalancing periods, the index return will be the arithmetic mean of the return of the
stocks in the Index.
The index is not always equally weighted. In between two rebalancing periods, the
Millennium bcp Value&Growth US Index will usually not be equally weighted.
Therefore, any return computation starting from a non-rebalancing date will not match
the arithmetic average of returns of Millennium bcp Value&Growth US Index’s
constituents between those two dates.

Chapter 3. Index maintenance

This chapter describes the circumstances that require Index changes, as well as the
details on performing those changes.
3.1. Details of share changes
The following events require adjustments to the Index Number of Shares:
The adjustment to the Index Number of Shares will be made so that the component’s
weight in the Index Value remains unaffected by the event, therefore assuring the
continuity of the index as well as the component’s representation in the Index.
Price of a stock making a special dividend payment is adjusted by adding the per share
special dividend amount to the prices as of the close of trading on the day after the ex-
Any other extraordinary event will be dealt with in a way consistent with the underlying
policy of the adjustments set in this Chapter.
3.2. Scheduled component changes
Each component’s eligibility and ranking is reviewed at scheduled times throughout the
year. The Index is rebalanced monthly. Changes are made using the closing prices on
the first trading day of each month, and become effective at the opening on the next
trading day. However, should one or more markets within the index be closed then the
rebalance will take place on the next business day when all markets are open.
Whenever possible, Millennium investment banking will publicly disclose changes to
the Index on the Internet in the calendar month of the actual change.
The selection process will use the requirements of Chapter 2.2.
3.3. Unscheduled component changes
Component changes may occur between scheduled review and rebalancing events if a
specific corporate event makes an existing component ineligible. The following events
may require a component’s replacement:


If a merger or acquisition results in one component absorbing another, the resulting company will remain a component and the absorbed company will be replaced. If a non-component company absorbs a component company, the original component will be removed and replaced. If a component splits or spins off a portion of its business to form one or more new companies, the resulting company with the highest market value will remain a component as long as it meets the eligibility requirements. The remaining companies will be evaluated for eligibility and possible addition to the Index. A component will be removed and replaced immediately after bankruptcy filing. A component will be removed and replaced immediately after being delisted from its primary market. If a component is suspended for 5 or more days the Index committee will meet and decide which measures should be taken. During those five days, the rebalance won't be done.
Millennium investment banking maintains a Component Replacement Pool (CRP) for
the Index at all times for contingency purposes. The CRP contains three stocks. These
stocks are the ones ranked in 11th, 12th, and 13th in the ranking process described in
2.2. Components removed from the Index are replaced with those from the CRP in
descending order by ranking. The company entering the Index goes in at the weight of
the company coming out. This weight is used to compute the Index Number of Shares
(INS) as described in Chapter 3.
Whenever possible, interim component changes are disclosed on Millennium
investment banking’s publicly available website.
Chapter 4. Index calculation and dissemination

This chapter summarizes calculation and dissemination practices, quality assurance
practices, and the circumstances requiring calculation corrections.
4.1. Price return calculation
Standard & Poor’s calculates the Millennium bcp Value&Growth US Index. The price
index is calculated and disseminated on an end-of-day basis. The Millennium bcp
Value&Growth US Index is calculated using the last traded price for each company in
the Index from the relevant exchanges and markets.
Index values are rounded to two decimal places.

4.2. Calculation frequency and dissemination
Index values are posted on Millennium investment banking’s website,
If trading in a stock is suspended prior to the market opening, the stock’s adjusted
closing price from the previous day will be used in the Index calculation until trading
commences. If trading in a stock is suspended while the relevant market is open, the
last traded price for that stock will be used for all subsequent Index calculations until
trading resumes.
4.3. Input data
Standard & Poor’s uses various quality assurance tools to audit, monitor, and maintain
the accuracy of its input data. While every reasonable effort is taken to ensure high
standards of data integrity, there is no guarantee against errors. Please refer to the
Data Correction section for more detail.
The index closing price is calculated using the closing prices issued by the primary
exchange for each component stock in the index. If the primary exchange changes the
closing price of a component stock, the new price will be used to calculate the index
closing price. A final check of closing prices is done between one hour and one and
one half hours after the close of markets. This timeframe may be expanded at S&P’s
discretion on days where trading volume is unusually large at the close. For example,
futures and options expiration dates, and large index rebalancing dates often result in
unusually large volume. Only changes received prior to this final check are used in the
closing price calculation.
4.4. Data correction
Incorrect index component data or corporate action data will be corrected upon
detection. If such errors are discovered within five days of occurrence, they will be
corrected that same day. If discovered after five days, adjustments will be handled on a
case-by-case basis depending on the significance of the error and the feasibility of a
correction. Announcements will be made on the Internet prior to the change becoming

This section provides additional information related to the Index in particular as well
as changes to this document.
Appendix A. Index components from July 1st 2004 to May 1st

July 2004 components
August 2004 components

September 2004 components
October 2004 components
November 2004 components
December 2004 components

January 2005 components
February 2005 components
March 2005 components
April 2005 components
May 2005 components
June 2005 components
July 2005 components
August 2005 components
September 2005 components
October 2005 components
November 2005 components
December 2005 components
January 2006 components
February 2006 components
March 2006 components
April 2006 components
May 2006 components
June 2006 components
July 2006 components
August 2006 components
September 2006 components
October 2006 components
November 2006 components
December 2006 components
January 2007 components
February 2007 components
March 2007 components
April 2007 components
May 2007 components
June 2007 components
July 2007 components
August 2007 components
September 2007 components
October 2007 components
November 2007 components
December 2007 components
January 2008 components
February 2008 components
March 2008 components
April 2008 components
May 2008 components
June 2008 components
July 2008 components
August 2008 components
September 2008 components
October 2008 components
November 2008 components
December 2008 components
January 2009 components
February 2009 components
March 2009 components
April 2009 components
Appendix B. Document change history
A history of significant changes to this document is shown in the table below.

Issue Date

Source: http://www.bpatlantico.pt/multimedia/archive/00418/Index_methodology_V_418689a.pdf

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