Value of the benchmark portfolio

On a given valuation date “v”, the value of the benchmark portfolio (VBPv) is equal to the sum of the market value of Treasury bills included in the index, discounted at the “Québec rates” determined on such date and including any payment received on such date.

where: _vMF_k = Amount of the “k”th monetary flow of the benchmark portfolio existing on date “v”

   _vDF_k = Discount factor from date “v” to the date where the “k”th monetary flow is set.

where: R_t : nominal annual interest rate for period t that the Ministère des Finances du Québec (MFQ) considers representative of the market rates for short-term securities of the Québec government as at date “v”;
            N : number of days to which the rate applies;
             t : period of time from date “v” to the date of the “k”th monetary flow.

The value of the benchmark portfolio was calculated initially on January 2, 2001 and, subsequently, on each business day of the MFQ. To be as realistic as possible, the value of the portfolio is rounded to two decimals.

 

Value of the index

The value of the index on a given date “v” is indicated by IND_v.

The index on January 2, 2001 is set at 100.0000, i.e.:

IND_2001/01/02 = 100,0000

In general, the value of the index at a given date “v” is determined as follows:

where: “v” successively takes on the value of the date of each business day of the MFQ, starting with January 3, 2001

Return on the index

The annualized return of the index from date “a” to date “b” is a function of the change in the value of the index between the two dates:

The return on the index is calculated each business day of the MFQ for the following periods:

• last week;
• last 4 weeks;
• last 13 weeks;
• last 26 weeks;
• last 52 weeks.

Since the value of the index is available only for business days of the MFQ, the above formula is valid only when date “a” corresponds to a business day. Otherwise, the value of the index of the preceding business day is used.

 

For instance, on Monday, April 29, 2002, the return on the index during the “last 4 weeks” designates the return from Thursday, March 28 to Monday, April 29, since Monday, April 1 and Friday, March 29 were holidays.