Portuguese Capital Markets Benchmarks
In November 2005, the PSI-20 Share Index rose 3.5% to 8,114.6. Annualised volatility was lower than the figure for October 2005, and in accumulated terms it remained below the average level registered in the same period of 2004. Total turnover on the Secondary Spot Markets was 21,326.7 million Euro, an increase of 0.3% on the month of October. Turnover was up 3.3% on the MEDIP and 66.9% on the PEX, while it was down on the Stock Market (-5.4%), on EasyNext Lisbon (-10%) and also in the Off Market segment (-27%). In accumulated terms, the value of trading on the Secondary Spot Markets was up 7.9% on the same period of 2004. Total market capitalisation was up 4.8% on the figure for October 2005, and these gains were particularly salient on the warrant segment of Regulated Markets (48%) and Non-Regulated Markets (31.3%). On the Forward Market, in spite of the fact that there was no increase in turnover of futures contracts on shares, the number of contracts on the PSI-20 index fell. In accumulated terms, there was a 47.2% decrease in the volume of trading in the first eleven months of 2005. In the Undertakings for Collective Investment in Transferable Securities and Special Investment Fund1 industries, the value of assets was down 0.3%, in spite of the fact that the number of funds had increased (+4). As regards the Real Estate Fund industry 1, the net asset value of funds was up 0.7%, and the number of active funds also rose (+1). 1 Data relate to October 2005. Lisbon, 2 December 2005 PSI-20 Index Table 1 –PSI-20 Index (Values and variation) | | Nov 2005 | Oct 2005 | Nov 2004 | Dec 2004 | monthly Δ | yearly Δ | in the year Δ | | PSI-20 (last price) | 8.114,6 | 7.836,6 | 7.523,1 | 7.600,2 | 3,5% | 7,9% | 6,8% | Table 2 –PSI-20 Index (Volatility) | PSI-20 | Monthly Values | Accumulated Values | | Nov 2005 | Oct 2005 | Nov 2004 | Jan-Nov 2005 | Jan-Nov 2004 | | Volatility (1) | 5,40% | 10,55% | 7,93% | 8,09% | 10,72% | | Maximum(Date) | 8.176,51 (29-Nov) | 8.172,08 (05-Out) | 7.614,82 (12-Nov) | 8.176,51 (29-Nov) | 7.952,52 (08-Mar) | | Minimum(Date) | 7.865,42 (01-Nov) | 7.766,32 (28-Out) | 7.494,91 (16-Nov) | 7.398,43 (08-Jun) | 6.786,51 (07-Jan) | | Price Range % (2) | 3,96% | 5,22% | 1,60% | 10,52% | 17,18% | Legend:
(1) Annually adjusted volatility = standard deviation of daily returns x v 250
(2) Price Range % = (Maximum-Minimum) / Minimum. Maximum and Minimum refer to closing prices. Table 3 –PSI-20 Portfolio(month end) | Shares | Nov 2005 | Oct 2005 | Nov 2004 | monthly Δ | yearly Δ | | E.D.P.NOM. | 19,746% | 19,302% | 17,192% | 0,445 p.p | 2,11 p.p | | BCP....NPR | 18,489% | 19,145% | 18,307% | -0,656 p.p | 0,838 p.p | | TELECOM-N. | 17,460% | 17,545% | 19,649% | -0,084 p.p | -2,104 p.p | | BES.NPR | 8,619% | 8,824% | 9,737% | -0,206 p.p | -0,913 p.p | | BRISA-PRIV | 7,935% | 7,916% | 8,670% | 0,018 p.p | -0,753 p.p | | BANCO BPI | 7,564% | 7,515% | 7,094% | 0,049 p.p | 0,421 p.p | | SONAE SGPS | 6,241% | 6,017% | 4,832% | 0,224 p.p | 1,185 p.p | | CIMPORSGPS | 3,290% | 3,369% | 3,419% | -0,079 p.p | -0,05 p.p | | PTMULT.NOM | 3,225% | 3,071% | 3,426% | 0,154 p.p | -0,355 p.p | | J.MARTINS | 1,651% | 1,686% | 1,470% | -0,035 p.p | 0,216 p.p | | MOTAENGIL | 1,409% | 1,377% | - | 0,032 p.p | 1,377 p.p | | MEDCAPITAL | 1,335% | 1,262% | 1,085% | 0,073 p.p | 0,177 p.p | | SEMAPA.NOM | 0,789% | 0,752% | 0,599% | 0,038 p.p | 0,152 p.p | | SONAECOM | 0,577% | 0,553% | 0,609% | 0,024 p.p | -0,056 p.p | | IMPRESA | 0,431% | 0,435% | 0,795% | -0,004 p.p | -0,36 p.p | | COFINA | 0,356% | 0,368% | 0,579% | -0,012 p.p | -0,211 p.p | | ALTRI | 0,341% | 0,310% | - | 0,031 p.p | 0,31 p.p | | PARAREDE | 0,274% | 0,294% | 0,271% | -0,02 p.p | 0,023 p.p | | C.AMORIM | 0,208% | 0,199% | 0,177% | 0,009 p.p | 0,022 p.p | | REDITUS | 0,059% | 0,061% | - | -0,002 p.p | 0,061 p.p | | PORTUCEL.N | - | - | 1,269% | 0 p.p | -1,269 p.p | | T.DUARTE | - | - | 0,569% | 0 p.p | -0,569 p.p | | GESCARTAO | - | - | 0,25% | 0 p.p | - | - Spot Market: Turnover and market capitalization Table 4 – Turnover in the Spot Secondary Market (Monthly Values) Unit: 10^6 Euro | | Nov 2005 | Oct 2005 | Nov 2004 | monthly Δ | yearly Δ | | Regulated Markets | 20.352,7 | 19.946,0 | 20.272,7 | 2,0% | 0,4% | | Stock Exchange Markets | 2.725,2 | 2.880,5 | 2.805,2 | -5,4% | -2,9% | | Ordinary Sessions | 2.725,2 | 2.880,5 | 2.805,2 | -5,4% | -2,9% | | Bonds | 4,8 | 41,7 | 48,1 | -88,5% | -90,0% | | Shares | 2.703,8 | 2.810,7 | 2.600,5 | -3,8% | 4,0% | | Participation Bonds | 0,1 | 10,0 | 1,3 | -99,2% | -93,4% | | Investment Trust Units | 0,0 | 0,3 | 0,5 | -88,0% | -94,3% | | Rights | - | - | 55,2 | - | - | | Warrants | 1,3 | 3,5 | 94,9 | -62,8% | -98,6% | | Certificates | 1,5 | 1,5 | 0,8 | 5,9% | 101,7% | | Convertibles | 13,6 | 12,8 | 3,9 | 5,9% | 245,1% | | Extraordinary Sessions | - | - | - | - | - | | Special Public Debt Market | 17.627,5 | 17.065,5 | 17.467,5 | 3,3% | 0,9% | | Treasury Bond | 16.677,5 | 16.025,5 | 16.287,5 | 4,1% | 2,4% | | Treasury Bills | 950,0 | 1.040,0 | 1.180,0 | -8,7% | -19,5% | | Non-Regulated Markets | 82,6 | 86,6 | 36,3 | -4,6% | 127,3% | | Unlisted Market (Euronext Lisbon) | 0,4 | 0,1 | 1,8 | 531,8% | -79,3% | | Shares | 0,2 | 0,1 | 1,8 | 187,3% | -90,6% | | Other securities | 0,2 | - | 0,0 | - | 13353,0% | | EasyNextLisbon (Euronext Lisbon) (1) | 72,8 | 80,9 | 33,6 | -10,0% | 116,6% | | Warrants | 71,8 | 79,1 | 33,6 | -9,3% | 113,5% | | Certificates | 1,0 | 1,7 | - | -40,9% | - | | PEX (2) | 9,5 | 5,7 | 0,9 | 66,9% | 910,4% | | Off-Market (3) | 891,4 | 1.220,9 | 2.428,7 | -27,0% | -63,3% | | TOTAL | 21.326,7 | 21.253,4 | 22.737,7 | 0,3% | -6,2% | Legend:
(1) EasyNext Lisbon was created in October 2004
(2) PEX was created in September 2003.
(3) Figures are provisional and are taken from the Dathis database, referring only to listed Securities. Data refers to turnover. Table 5 – Turnover in the Spot Secondary Market (Accumulated Values) | | Jan-Nov 2005 | Jan-Nov 2004 | yearly Δ | | Regulated Markets | 164.661,9 | 153.317,7 | 7,4% | | Stock Exchange Markets | 29.286,4 | 27.702,7 | 5,7% | | Ordinary Sessions | 29.264,2 | 27.294,7 | 7,2% | | Bonds | 501,3 | 614,0 | -18,4% | | Shares | 28.417,1 | 25.401,1 | 11,9% | | Participation Bonds | 13,1 | 6,1 | 114,4% | | Investment Trust Units | 3,0 | 8,5 | -64,8% | | Rights | 0,0 | 63,9 | -100,0% | | Warrants | 178,1 | 1.073,3 | -83,4% | | Certificates | 26,1 | 49,1 | -46,8% | | Convertibles | 125,5 | 78,9 | 59,1% | | Extraordinary Sessions | 22,2 | 407,9 | -94,6% | | Special Public Debt Market | 135.375,5 | 125.615,0 | 7,8% | | Treasury Bond | 123.435,5 | 113.645,0 | 8,6% | | Treasury Bills | 11.940,0 | 11.970,0 | -0,3% | | Non-Regulated Markets | 996,2 | 58,0 | 1616,9% | | Unlisted Market (Euronext Lisbon) | 9,1 | 17,1 | -46,5% | | Shares | 8,8 | 17,1 | -48,5% | | Other securities | 0,3 | 0,0 | 16540,1% | | EasyNextLisbon (Euronext Lisbon) (1) | 898,6 | 38,0 | 2263,3% | | Warrants | 862,7 | 38,0 | 2168,7% | | Certificates | 35,9 | - | - | | PEX (2) | 88,5 | 2,9 | 2903,4% | | Off-Market (3) | 19.027,7 | 17.830,7 | 6,7% | | TOTAL | 184.685,8 | 171.206,4 | 7,9% | Legend:
(1) Structured Market was created in October 2004.
(2) PEX was created in September 2003.
(3) Figures are provisional and are taken from the Dathis database, referring only to listed Securities. Data refers to turnover. Table 6 – Extraordinary Sessions There were no Extraordinary Sessions this month Table 7 – Market Capitalization (Euronext Lisbon) Unit: 10^6 Euro | Market Segment | Nov 2005 | Oct 2005 | Nov 2004 | Dec 2004 | monthly Δ | yearly Δ | in the year Δ | | Regulated Markets | 190.768,3 | 182.094,7 | 169.546,0 | 169.126,8 | 4,8% | 12,5% | 12,8% | | Bonds | 59.619,9 | 53.851,8 | 58.297,1 | 53.689,3 | 10,7% | 2,3% | 11,0% | | Shares | 129.462,6 | 126.617,7 | 109.048,8 | 112.724,4 | 2,2% | 18,7% | 14,8% | | Participation Bonds | 57,6 | 57,6 | 122,2 | 122,5 | 0,0% | -52,8% | -53,0% | | Investment Trust Units | 48,1 | 146,4 | 244,0 | 243,9 | -67,2% | -80,3% | -80,3% | | Rights | 0,0 | 0,0 | 0,0 | 0,0 | - | - | - | | Warrants | 547,6 | 370,0 | 760,5 | 1.258,0 | 48,0% | -28,0% | -56,5% | | Certificates | 334,0 | 354,1 | 407,1 | 413,8 | -5,7% | -18,0% | -19,3% | | Convertibles | 698,6 | 697,2 | 666,4 | 674,8 | 0,2% | 4,8% | 3,5% | | Non-Regulated Markets | 970,7 | 823,2 | 793,9 | 909,3 | 17,9% | 22,3% | 6,7% | | Shares | 199,5 | 224,0 | 543,0 | 539,4 | -11,0% | -63,3% | -63,0% | | Warrants | 718,4 | 547,1 | 251,0 | 369,9 | 31,3% | 186,2% | 94,2% | | Certificates | 0,0 | 0,0 | 0,0 | 0,0 | - | - | - | | Other securities | 52,9 | 52,1 | 0,0 | 0,0 | 1,5% | - | - | | TOTAL | 191.739,0 | 182.917,9 | 170.340,0 | 170.036,1 | 4,8% | 12,6% | 12,8% | - Forward Market Table 8 – Turnover in the Forward Market (Monthly) Unit: 10^6 Euro | | Nov 2005 | Oct 2005 | Nov 2004 | monthly Δ | yearly Δ | | Futures PSI-20 | 7,5 | 14,3 | 7,6 | -47,3% | -0,3% | | Futures on Shares | 16,1 | 6,4 | 13,9 | 151,2% | 16,1% | | Total Futures (1) | 23,7 | 20,7 | 21,4 | 14,1% | 10,3% | | Options PSI-20 | - | - | - | - | - | | Options on Shares | - | - | - | - | - | | Total Options | - | - | - | - | - | Legend: (1) Amounts determined based on the business price Table 9 – Turnover in the Forward Market (Accumulated) Unit: 10^6 Euro | | Jan-Nov 2005 | Jan-Nov 2004 | yearly Δ | | Futures PSI-20 | 367,0 | 708,1 | -48,2% | | Futures on Shares | 96,6 | 169,5 | -43,0% | | Total Futures (1) | 463,6 | 877,6 | -47,2% | | Options PSI-20 | - | - | - | | Options on Shares | - | - | - | | Total Options | - | - | - | Legend: (1) Amounts determined based on the business price - Asset Management: CIS and Property Investment Funds Table 10 –Asset Management (Data refers to the previous month) | | 31-10-2005 | 30-09-2005 | 31-10-2004 | 31-12-2004 | monthly Δ | yearly Δ | in the year Δ | | CIS | | | | | | | | | No. of Funds | 239 | 235 | 220 | 224 | 4 | 19 | 15 | | Net Asset Value (10^6 Euro) | 27.153,1 | 27.233,4 | 23.528,4 | 24.415,2 | -0,3% | 15,4% | 11,2% | | Property Investment Funds | | | | | | | | | No. of Funds | 78 | 77 | 60 | 68 | 1 | 18 | 10 | | Net Asset Value (10^6 Euro) | 7.970,9 | 7.912,0 | 6.813,9 | 7.494,9 | 0,7% | 17,0% | 17,0% | Legend: CIS (Collective Investment Schemes) = Collective Investment Undertakings in Transferable Securities and Special Investment Funds. 1 The data contained herein is from Dathis, Euronext Lisbon, MTS-Portugal, OPEX and the CMVM (CIS and Property Investment Funds). The information refers to 2005-12-05 . The monthly variation (Δ monthly) refers to the comparison between the month being analysed and the previous month, annual variation (Δ annual) the month being analysed and the homologous one, and in the year variation (Δ in the year) variation value at the end of the current month and the end of the previous year.
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