Africa 30 Index Methodology Version 1.2

1. Overview

The Africa 30 Index (ticker: ACR30) is a rules-based, fixed-weight equity index tracking 30 of the most significant publicly listed companies across the African continent. Constituent weights are set at each semi-annual rebalancing using free-float market capitalisation and held fixed until the next review. The index is designed to serve as a representative, replicable, and licensable benchmark for the African equity market.

Objective

The ACR30 is designed to provide a single, comparable measure of equity market performance across Africa's fragmented stock exchange landscape. The index spans 7 exchanges, 10 countries, and 8 economic sectors, with constituent prices normalised to USD to allow cross-border comparison. It is intended as a reference index for passive investment products (ETFs, index funds), performance benchmarking, and derivative instruments.

2. Eligible Universe

The eligible universe comprises all ordinary shares (common equity) listed on an African stock exchange or cross-listed on an international exchange by a company that is domiciled, incorporated, or derives at least 50% of its revenues or assets from Africa.

Eligible Exchanges

Excluded Securities

• Preference shares, convertible bonds, warrants, and rights
• Companies under liquidation, administration, or regulatory suspension
• Depositary receipts (ADRs/GDRs) where the underlying local shares are accessible
• Investment trusts and closed-end funds unless their underlying assets are African equities
• Special Purpose Acquisition Companies (SPACs)

3. Inclusion Criteria

To be eligible for inclusion in the ACR30, a security must satisfy all of the following criteria at the time of each review. These criteria define the target standard; the first formal eligibility screen using live data will be applied at the September 2026 rebalancing.

Buffer Rules

To reduce unnecessary turnover, a buffer zone is applied at each semi-annual review:

• A non-constituent must rank in the top 22 by free-float market cap among eligible securities to be added.
• An existing constituent will only be removed if it falls outside the top 38 by free-float market cap.
• If a constituent fails a non-market-cap criterion (e.g. liquidity), it is placed on a Watch List for one review period before removal, unless the breach is severe (e.g. suspension >20 trading days).

4. Weighting Methodology

Constituent weights are set at each rebalancing using free-float adjusted market capitalisation in USD and held fixed until the next review. Between reviews, the weights do not drift — the index applies the fixed weights to live daily price returns to calculate the index level each day.

Weight Calculation (at each rebalancing)

Concentration Caps (applied at rebalancing)

The following caps are applied when setting weights at each rebalancing date. They are not enforced dynamically between reviews as market prices move.

Where a cap is breached at a rebalancing date, the excess weight is redistributed proportionally among uncapped constituents iteratively until all caps are satisfied.

Free-Float Classification

Free-float factors are rounded to the nearest 5% band for index calculation purposes:

5. Index Calculation

The ACR30 uses a fixed-weight chain-linked return index formula. Constituent weights are fixed at each rebalancing; between rebalancings the index compounds daily using each constituent's weighted return. This is a standard and transparent approach used by many emerging market benchmarks.

Index Formula

In practice, the index is computed as: last known closing value × (1 + weighted daily change across all constituents with live data). The weighted change is scaled to 100% coverage — constituents without same-day price data are excluded from the day's change calculation, and the weights of those with data are normalised to sum to 100%.

Currency Conversion

All constituent prices are converted to USD using live interbank spot rates sourced from Yahoo Finance at the time of calculation. The following currency pairs are used:

Continuity on Corporate Actions

When a constituent undergoes a corporate action that affects its price (split, rights issue, spin-off), the previous day's closing price used in the return calculation is adjusted so that the action does not create a spurious one-day return. This preserves index continuity without requiring a divisor mechanism:

Market Closure Handling

African exchanges operate across multiple time zones and have different trading hours. For real-time index calculation, the most recent available price is used for each constituent. The official daily closing value is calculated using each exchange's official closing price for its respective trading day, with the index level published by 23:59 UTC on each weekday.

6. Rebalancing & Review Schedule

The ACR30 targets a semi-annual review cycle, with rebalancings in March and September each year. The index is currently in its first review period — initial constituent weights were set at inception (January 2020) and the first formal rebalancing is scheduled for September 2026. The process below describes the target steady-state review cycle.

• Jan / Jul Data Collection Free-float market caps, ADTV, and trading day counts compiled for all eligible universe securities over the preceding 90-day reference period.
• Feb / Aug Provisional Constituent List The index administrator applies eligibility criteria and buffer rules. Provisional additions, deletions, and new weights are identified. A notice period of at least 5 business days begins.
• Feb / Aug Public Announcement Provisional changes published on africapitalreview.com/africa30 before implementation. Licensed clients receive direct notification.
• Mar / Sep Implementation New constituents and weights take effect at the market open on the first trading day of the month. Prior-close prices are adjusted where required for continuity.

Extraordinary Reviews

In exceptional circumstances, the Index Committee may conduct an extraordinary review outside the scheduled semi-annual cycle. Triggers include:

• Constituent delisting, liquidation, or regulatory suspension exceeding 20 consecutive trading days
• Completion of a merger, acquisition, or spin-off that fundamentally changes a constituent
• Free-float falling below 10% (below the minimum threshold with buffer)
• Market disruption affecting price discovery on a constituent exchange for more than 5 consecutive days

Extraordinary changes are announced with a minimum of 2 business days' notice where operationally possible.

7. Corporate Actions Policy

The ACR30 is a price return index — cash dividends are not reinvested into the index. All other corporate actions are reflected through divisor adjustments to maintain price continuity.

8. Governance

Index Administrator

The ACR30 is currently administered by AfriCapital Review, with all decisions relating to index construction, maintenance, and methodology changes made by the index administrator. As the index grows and licensing agreements are established, governance will be formalised into an independent Index Committee structure. This document will be updated to reflect that transition.

Administrator responsibilities include:

• Approving constituent additions and deletions at each review
• Interpreting and applying this methodology in ambiguous situations
• Proposing and implementing changes to the published methodology
• Responding to enquiries from index users
• Ensuring the index remains replicable and relevant to its stated objective

Methodology Changes

Changes to this methodology are handled as follows:

1. Announcement: Proposed changes are published on africapitalreview.com/africa30 and notified to any licensed clients by email.
2. Notice Period: Changes take effect no sooner than 30 days after announcement, giving users time to assess impact.
3. Version Update: This document is updated and the version number incremented. Prior versions are archived and available on request.

Conflicts of Interest

AfriCapital Review maintains a separation between its index administration function and its editorial and commercial activities. Index decisions are made on the basis of publicly verifiable data and the rules set out in this document, not commercial considerations.

Enquiries

Questions about specific index decisions or this methodology may be submitted via: africapitalreview.com/contact. We aim to respond within 10 business days.

9. Dissemination

Publication Channels

API Access

The /api/markets endpoint returns a JSON response containing the current index level, daily change, all 30 constituent prices with USD conversion, and FX rates. The API is publicly accessible for non-commercial use. Commercial use, redistribution, or embedding in financial products requires a licensing agreement.

10. Historical Record

The ACR30 has a live track record from 2 January 2020 to present. The historical series was constructed using a backtested methodology that applies the current rules retroactively to reconstruct what the index would have been had it existed since inception.

The full daily close series is available in machine-readable format at /data/acr30_history.json. Licensed clients receive access to constituent-level historical data upon request.

11. Licensing

The Africa 30 Index, its methodology, constituent data, and historical series are proprietary intellectual property of AfriCapital Review. Use of the index for commercial purposes — including but not limited to ETFs, structured products, derivatives, benchmarking, and marketing materials — requires a written licensing agreement.

Licensing Tiers

Enquiries

For licensing discussions, data feed agreements, or API access for commercial use, contact:

AfriCapital Review — Index Licensing
africapitalreview.com/contact

We welcome discussions with asset managers, brokerage firms, stock exchanges, and financial data providers across Africa and internationally who are interested in licensing the ACR30 as a benchmark or the basis for investable products.