Replicating the EIOPA equity index for the symmetric adjustment of the equity capital charge in Solvency 2

Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Pierre M Source score (net votes, not local likes): 2 Original post: https://quant.stackexchange.com/questions/44336 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. My question is rather specific but I'm wondering if someone might be able to help. In the Solvency 2 framework, the equity capital charge requires to compute a symmetric adjustment which is itself computed as the difference between the current value of an equity index and its average over the last 36 months ( 1 ). These values are published on the regulator's website ( 2 ) every month but I have to replicate it. The equity index mentioned above is a composite of 11 indices with the following weights, applied on normalized values of the price indices: AEX Index -> 14% CAC Index -> 14% DAX Index -> 14% ASX Index (FTSE All-Shares) -> 14% FTSEMIB Index -> 8% IBEX Index -> 8% NKY Index (Nikkei) -> 2% OMX Index -> 8% SPX Index -> 8% SMI Index -> 2% WIG30 Index -> 8% If I follow all the steps outlined in the EIOPA document published monthly (picture below), I get an almost perfect match for the first few dates after the date used for normalization and then my calculation and the one published start to diverge more and more (as shown in the picture below). My guess is that there might be dividends coming in play and that might be the reason of this growing discrepancy. However I am not sure how to correct this. I download data from Bloomberg (field PX_LAST) and the EIOPA documentation states that price indices should be used (not total return indices). Thanks !

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