The eleven highest-performing securities listed on the DSE, measured over an eleven-year window. Capped, rebalanced, governed.
This document sets out the construction, calculation, governance, and corporate-actions treatment of the Reform11 Index — the rules-based, free-float-adjusted, total-return index that will serve as the benchmark for the Reform11 Exchange Traded Fund.
The Reform11 Index is a free-float-adjusted, market-capitalisation-weighted index of eleven securities listed on the Dar es Salaam Stock Exchange, selected for sustained outperformance over a rolling eleven-year measurement window. The index is published in two parallel variants with the same constituent set and weights but different return treatments.
The number eleven is doubly descriptive of the index. The eleven-year measurement window opens at the demutualization of the Dar es Salaam Stock Exchange in 2015 — the regulatory event that initiated the modern reform era and converted the exchange from a member-owned to a publicly-listed institution. The eleven constituents are the eleven highest-performing securities measured over that window, capped to ensure diversification and capacity. Any other constant would either lose the historical anchor or overstate the size of the investable universe.
Versions of the methodology earlier than v1.0 considered ten- and fifteen-year windows. Eleven was chosen because it (a) anchors precisely to demutualization, and (b) survives the addition of one further year of data without requiring a methodology change at the next anniversary.
The constituent universe comprises all securities admitted to trading on the Dar es Salaam Stock Exchange across all market segments, including domestic Tanzanian listings and East African Community cross-listings. Securities must meet every threshold in the table below, on the reference date, to enter the ranking pool. No constituent is added without satisfying all eligibility conditions.
| Criterion | Threshold | Rationale |
|---|---|---|
| Listing Status | DSE-listed | Security must be admitted to trading on the DSE on the reference date. Suspended securities are excluded for the duration of the suspension. |
| Market Capitalisation | ≥ TZS 50 B | Free-float-adjusted market capitalisation, measured on the reference date, ensures investability and fund replicability at scale. |
| Average Daily Trading Volume | ≥ TZS 5 M | Three-month ADTV measured on DSE primary market. Ensures the fund manager and authorised participant can transact at index weights without material market impact. |
| Free Float | ≥ 10.0% | Minimum free float ensures price discovery is not dominated by closely-held positions and that the constituent is meaningfully tradeable. |
| Listing Tenure | ≥ 3 years | Provides a meaningful trailing return record for ranking. Securities listed less than eleven years are eligible with pro-rata return adjustment (see § 3). |
| Domicile | DSE / EAC | Tanzanian-domiciled securities and EAC-domiciled cross-listings on the DSE. Cross-listings are subject to a 40.0% aggregate weight cap (see § 4). |
| Security Type | Equity | Common and ordinary shares. Preference shares, debt securities, ETF units, and other CIS units are excluded to prevent recursive inclusion. |
Eligibility is assessed on the last trading day of February (for the March effective rebalancing) and the last trading day of August (for the September effective rebalancing). Quarterly review meetings in May/June and November/December may revisit eligibility on an extraordinary basis — see § 5.
From the eligible universe, eleven constituents are selected by descending Total Shareholder Return measured over the trailing eleven-year window ending on the reference date. The ranking metric is a simple, transparent, single-factor formulation that requires no proprietary model and can be reproduced by any analyst with access to DSE and home-exchange historical pricing data.
Securities listed for less than eleven years (but more than the three-year minimum tenure threshold) are ranked using a pro-rata-annualised TSR. The trailing window is shortened to the available listing history, and the resulting return is annualised and re-projected over eleven years for comparability. This ensures recent IPOs of materially-sized issuers (for example, the Vodacom Tanzania IPO of 2017) are not penalised solely on data-availability grounds.
In the event two or more securities are tied within the eleven-place ranking cutoff (to four decimal places of TSR), the security with the higher trailing three-month ADTV at the reference date is ranked higher. If still tied, the security with the larger free-float-adjusted market capitalisation is ranked higher. The Index Committee resolves any further ambiguity by simple majority.
An incumbent constituent ranked between 12th and 14th at the reference date is retained ahead of a non-incumbent ranked 11th. This buffer applies only to constituents within three positions of the cutoff, and is intended to reduce constituent turnover and trading costs. See § 5.1 for the full definition.
Constituents are weighted by free-float-adjusted market capitalisation, rebased to sum to 100.0% across the eleven selected names. Four caps are then applied in a single pass on the rebalancing reference date, with weight excess from any capped constituent reallocated pro-rata across the uncapped remainder. The caps are designed to ensure no single name, sector, or non-domestic concentration dominates the index.
A practical minimum weight of 2.0% applies to any constituent post-cap. Where free-float market capitalisation would imply a weight below this floor, the constituent is removed from the index and the next-highest-ranked eligible security is admitted in its place. This ensures that no constituent is held in operationally trivial size, and that the fund manager and authorised participant can replicate every constituent at meaningful scale.
| Step 1 · Initial weights | Free-float market caps of selected eleven, rebased to 100.0%. |
| Step 2 · Apply 10% cap | Any constituent above 10.0% is capped; excess weight pooled. |
| Step 3 · Reallocate pool | Pool reallocated pro-rata across uncapped constituents. |
| Step 4 · Apply sector cap | Any sector aggregate above 30.0% capped at the sector level; excess pooled and reallocated. |
| Step 5 · Apply cross-list caps | 40.0% aggregate and 25.0% single-home-exchange caps applied; excess pooled and reallocated. |
| Step 6 · Apply 2% floor | Constituents below 2.0% removed; replaced from ranking; algorithm restarts at Step 1. |
| Step 7 · Convergence | Algorithm iterates until all caps and the floor are simultaneously satisfied. |
The chart below illustrates the indicative post-cap weight distribution of the eleven constituents as at the May 2026 research date. Two constituents are at the 10.0% individual cap; the remainder are weighted by free-float market capitalisation rebased to satisfy all caps and the practical floor.
The 39.3% banking aggregate exceeds the 30.0% sector cap. This is illustrative of pre-cap weights at the May 2026 cut; the formal first rebalancing post-CMSA-approval will apply the cap iteration of § 4 and bring banking exposure to the 30.0% threshold, with the surplus reallocated pro-rata to the remaining sectors.
Reform11 follows a two-tier rebalancing cadence: full semi-annual rebalancing supplemented by a quarterly Index Committee review. This balances cost discipline (lower turnover preserves investor returns) with active governance (every quarter the index is reviewed and may be adjusted on an extraordinary basis).
| Full Frequency | Semi-annual. |
| Reference Dates | Last trading day of February and August each calendar year. |
| Effective Dates | First trading day of March and September each calendar year. |
| Quarterly Review | Index Committee meets in May/June and November/December for full eligibility & ranking review. Default outcome: no change. Material findings may trigger extraordinary rebalancing. |
| Announcement | At least 10 business days prior to effective date, via DSE official notice and the Reform11 platform. |
| Data Cut-Off | Eligibility & ranking calculated using the 20 trading days ending on the reference date. |
| Transition Pricing | Constituent additions, removals, and weight changes implemented at DSE closing VWAP on the effective date. |
| Buffer Rule | Incumbent constituents ranked 12th–14th at reference date are retained ahead of non-incumbents ranked 11th, to reduce turnover. Buffer applies within three positions of cutoff only. |
Position 1 to 14 of trailing TSR. Incumbents in solid brass; buffer zone dashed.
Top-eleven by TSR. Ranks 1–10 retained automatically; rank 11 may be displaced by buffer rule.
Ranks 12–14: incumbents in this band are retained ahead of non-incumbents at rank 11.
Rank 15 and below: not eligible for retention regardless of incumbent status.
An extraordinary rebalancing may be triggered at any time by the Index Committee, off the regular semi-annual schedule, when one of the following conditions arises. In all cases, the affected constituent is removed and replaced with the next-highest-ranked eligible security from the most recent ranking data set.
| Trigger 1 · Suspension | Delisting or trading suspension of a constituent for more than 10 consecutive trading days. |
| Trigger 2 · Liquidation | Issuer subject to compulsory liquidation, regulatory seizure, or court order preventing trading. |
| Trigger 3 · Corporate Action | Merger, acquisition, demerger, or scheme of arrangement that fundamentally alters the investable nature of a constituent. |
| Trigger 4 · Regulatory Action | CMSA or any home-exchange regulator action that affects the eligibility of a constituent. |
| Trigger 5 · Quarterly Review Finding | Material adverse finding at the Index Committee quarterly review that, in the Committee's judgement, warrants intervention before the next scheduled semi-annual rebalancing. |
On the determination of an extraordinary rebalancing, the Index Manager publishes a notice of the action via the DSE official channel and the Reform11 platform. The notice includes the affected constituent, the trigger reason, the replacement security, the effective date, and the resulting weight changes. The minimum notice period is three business days; in cases of trading suspension or regulatory action, the rebalancing may take effect on the next available trading day with retrospective notice.
Extraordinary rebalancings, like scheduled rebalancings, preserve the chain-linked index level. The base level of 1,000.00 on 1 May 2015 is unaffected. See § 6.2.
The Reform11 Index level is calculated as a Laspeyres-type chain-linked total return index. The chain-linked methodology preserves the base level across all rebalancing events, so changes in constituent composition do not introduce step discontinuities in the published index level.
The Reform11 Index has a base level of 1,000.00 on 1 May 2015 — coinciding with the demutualization of the Dar es Salaam Stock Exchange. The chain-linked methodology preserves this base level across all rebalancing events. The eleven-year rolling window for constituent selection is independent of the index level computation.
All prices are sourced from the DSE official trading system. For cross-listed securities, the DSE-quoted price is the primary source. Where DSE liquidity is insufficient on a given day (no recorded trade), the home-exchange closing price translated at the Bank of Tanzania daily mid-rate is used as a secondary source. The Index Committee reviews any reliance on secondary sources at every quarterly meeting.
The R11-PR and R11-TR variants share the same constituents and weights but differ in their treatment of cash dividends. Under R11-PR, the index level falls on each ex-dividend date by the dividend amount applied to its weighted constituent. Under R11-TR, the dividend is treated as reinvested at the ex-date VWAP and the index level continues to compound.
On the ex-dividend date for any constituent i, the R11-PR price input is adjusted downward by the dividend amount: Pi,t = Pi,t-1 − di,t. The index level falls by wi,t-1 · di,t / Pi,t-1. No reinvestment occurs.
On the ex-dividend date, the dividend amount is treated as reinvested in the same constituent at the ex-date VWAP. The R11-TR index level is unaffected by the ex-date price drop because the reinvested dividend exactly offsets the price adjustment. Over time, the TR variant compounds at a higher rate than the PR variant by the cumulative dividend yield of the constituents.
| R11-PR · Backtested | +612% over the eleven-year window (price-only) |
| R11-TR · Backtested | +782% over the eleven-year window (with dividends reinvested) |
| Differential | +170 percentage points · ~3.7% annualised reinvestment effect |
| Primary Variant | R11-TR is the primary performance benchmark used for fund NAV calculation and all marketing-related performance reporting. |
Special dividends greater than 3% of constituent market capitalisation on the day prior to ex-date are treated as ordinary dividends for R11-TR (reinvested) and as a price adjustment on R11-PR (downward). See § 7 for full corporate-action treatment.
Corporate actions affecting constituents are treated according to the standard table below. The effective date of each treatment is the issuer's ex-date. Treatments are applied automatically by the Index Calculation Agent under the supervision of the Index Manager; the Index Committee is notified at the next scheduled quarterly review.
| Corporate Action | Treatment |
|---|---|
| Cash Dividend | On ex-date: price adjusted downward by dividend amount. In R11-TR: dividend reinvested at ex-date VWAP. |
| Stock Split / Bonus Issue | Shares in issue adjusted on ex-date. Price adjusted inversely. No weight change. |
| Rights Issue | Index adjusted on ex-rights date using theoretical ex-rights price (TERP). Dilution factor applied to constituent weight. |
| Merger · Constituent acquires non-constituent | Constituent retained. Weight adjusted to reflect new combined free-float-adjusted market capitalisation. |
| Merger · Two constituents merge | Combined entity retained. Weight subject to 10.0% individual cap. Extraordinary rebalancing triggered if combined weight exceeds cap. |
| Delisting from DSE · Cross-listing maintained on home exchange | Security treated as delisted from index universe. Replaced via extraordinary rebalancing with the next-highest-ranked eligible security. |
| Currency Conversion · Cross-listings | Daily Bank of Tanzania mid-rate applied for any pricing source not denominated in TZS. The conversion factor is part of the chained calculation factor and does not affect base level. |
| Special Dividend · Greater than 3% of market cap | Treated as ordinary dividend for Total Return Index (reinvested). Price Return Index adjusted downward on ex-date by the full distribution. |
All corporate-action adjustments are pre-announced via the DSE official channel and the Reform11 platform at least two business days before the ex-date, except where the issuer's own announcement was made at shorter notice — in which case the index treatment follows the issuer's timetable.
The Reform11 Index is governed by an independent Index Committee. The composition is intentionally lean: three voting members covering the manager, the calculation agent, and an external independent practitioner; with the Authority invited as a non-voting observer to ensure transparency of process.
| Meeting Schedule | Quarterly minimum. Full rebalancing meetings: February, August. Review meetings: May/June, November/December. Extraordinary meetings as required. |
| Quorum | All three voting members must be present (in person or by remote access) for the meeting to take a binding decision. |
| Decisions | By simple majority. Tie-break is by the Independent Practitioner's casting vote. |
| Minutes | Maintained by DSE Plc as Index Calculation Agent. Made available to CMSA on request. |
| Methodology | Maintain and publish the index methodology. |
| Corporate Actions | Oversee corporate action adjustments under § 7. |
| Index Committee | Convene the Index Committee on the regular schedule and on extraordinary call. |
| Diversification Compliance | Ensure ongoing compliance with CMSA diversification requirements applicable to the R11 ETF. |
| Index Levels | Calculate and publish daily end-of-day and intraday R11-PR and R11-TR index levels. |
| Constituent Data | Publish constituent weights, prices, and shares in issue on the DSE website. |
| Historical Records | Maintain data integrity and historical index records for the full life of the index. |
| Data Feeds | Provide real-time index data feeds to licensed data vendors (Bloomberg, LSEG, etc.). |
Amendments to this methodology require the approval of the Index Committee and advance notice as set out below. Minor administrative corrections (typographical, formatting, or unambiguous clarifications) may be issued under shortened notice. All other amendments require the standard notice period.
| Standard Amendment | Approval of Index Committee. Advance notice of at least 20 business days to investors and the CMSA. |
| Minor Correction | Approval of Index Manager. Advance notice of at least 5 business days. Subsequent ratification by Index Committee at next meeting. |
| Communication Channels | DSE official notice. Reform11 platform. Direct email to CMSA. |
The table opposite shows indicative Reform11 Index constituents as at the May 2026 research date, based on available DSE and cross-listing data. The universe includes both Tanzanian-domiciled equities and East African securities cross-listed on the DSE. Final constituents are subject to completion of the formal index selection process at the first official rebalancing date following CMSA approval.
| Reference Date | 30 April 2026 (research cut for this draft) |
| Domestic Listings | 7 of 11 · Tanzanian-domiciled, primary-listed on DSE |
| Cross-Listings | 4 of 11 · Primary-listed on Nairobi Securities Exchange, cross-listed on DSE |
| Sector Distribution | Banking · Telecoms · Consumer · Markets · Insurance · Conglomerate · Industrials |
| Aggregate 11Y TR | +782% (R11-TR backtested, May 2015 — May 2026) |
| Largest Constituent | CRDB Bank Plc · 10.0% post-cap |
| Smallest Constituent | NICO Group Ltd · 8.0% post-cap |
The cross-listing glyph × denotes a security cross-listed on the DSE from another East African Community exchange. Total return figures are indicative and backtested over the eleven-year window ending May 2026. Pro-rata adjustment is applied to securities with shorter listing tenure as set out in § 3.
DSE official trading data · NSE official trading data · company financial reports · AvCap analysis. Indicative data as at 30 April 2026.
| # | Ticker | Company | Sector · Origin | Weight | Weight Bar | 11Y TSR | Mkt Cap |
|---|---|---|---|---|---|---|---|
| 01 | CRDB | CRDB Bank Plc | Banking · TZ | 10.0% | +682% | 3.8 T | |
| 02 | NMB | NMB Bank Plc | Banking · TZ | 10.0% | +541% | 4.2 T | |
| 03 | EQTY | Equity Group Holdings | Banking · KE × | 9.8% | +486% | 5.1 T | |
| 04 | KCB | KCB Group Plc | Banking · KE × | 9.5% | +412% | 4.6 T | |
| 05 | VODA | Vodacom Tanzania | Telecoms · TZ | 9.2% | +318% | 2.1 T | |
| 06 | EABL | East African Breweries | Consumer · KE × | 9.0% | +294% | 3.4 T | |
| 07 | DSE | DSE Plc | Markets · TZ | 8.8% | +267% | 0.9 T | |
| 08 | JHL | Jubilee Holdings | Insurance · KE × | 8.5% | +238% | 0.8 T | |
| 09 | TBL | Tanzania Breweries | Consumer · TZ | 8.2% | +214% | 1.6 T | |
| 10 | NICOL | NICO Group Ltd | Conglomerate · TZ | 8.0% | +186% | 0.7 T | |
| 11 | TCCL | Tanga Cement Co. | Industrials · TZ | 9.0% | +172% | 0.5 T |
Total return figures are backtested over the eleven-year window ending May 2026 and applied pro-rata for securities listed less than eleven years. Final constituent selection is subject to formal Index Committee approval at the first scheduled rebalancing date following CMSA approval of the Reform11 ETF and the methodology described in this document.
This document is a working methodology draft prepared by Avril Capital Limited for submission to DSE Plc and the Capital Markets and Securities Authority of Tanzania as part of the Reform11 ETF product development process. It does not constitute a final approved index methodology. The Reform11 Index does not yet exist and no investment products tracking it have been approved or launched as of the date of this document.
All performance data referenced herein is backtested, hypothetical, and does not represent actual fund performance. Backtested figures reflect the application of the methodology described in this document to historical DSE and home-exchange pricing data; they do not reflect transaction costs, taxes, market-impact, or other operational frictions that would apply to an actual fund tracking the index. Past performance is not indicative of future results.
This document does not constitute, and is not intended to constitute, an offer to sell or a solicitation of an offer to buy any securities or units of any collective investment scheme. Any offering of units in the Reform11 ETF will be made only by an offering document (prospectus) approved by the Capital Markets and Securities Authority of Tanzania pursuant to the Capital Markets and Securities Act, Cap. 79.
The information contained in this document is provided for informational purposes only and does not constitute investment, legal, tax, or accounting advice. Any decision to invest in the Reform11 ETF (once available) should be made only on the basis of the offering document and after consultation with appropriate professional advisers.
This document is confidential and intended solely for regulatory and institutional review purposes. Recipients are requested not to copy, distribute, or otherwise share this document outside of their own organisation without the prior written consent of Avril Capital Limited.
Reform11 (R11) is a proposed collective investment scheme pending CMSA approval. © 2026 Avril Capital Limited. All rights reserved.
| v0.1 · Jan 2026 | Initial conceptual draft. Eleven-year window confirmed. Single-factor TSR ranking selected. |
| v0.5 · Feb 2026 | Cap architecture introduced (10/30/40/25). Buffer rule added. Pro-rata adjustment formalised. |
| v1.0 · Mar 2026 | First complete draft. Corporate-action treatment table finalised. Governance composition agreed. |
| v1.1 · Apr 2026 | PR & TR variant treatment formalised. Calculation frequency aligned with DSE official channels. |
| v1.2 · May 2026 | Current version. Indicative constituents updated to 30 April 2026 cut. Submitted to CMSA & DSE Plc for review. |
| Author | Avril Capital Limited · Index Manager |
| Reviewer · Internal | Joe Massao · Founder & CTO |
| Reviewer · External | Pending · DSE Plc Index Calculation Agent designate |
| Submission | CMSA Tanzania · DSE Plc |
| Reference | R11-IM-001 · v1.2 · May 2026 |
| Author | Joe Massao · Founder & CTO, Avril Capitalsignature & date |
| Internal Review | Avril Capital · Capital Markets Leadsignature & date |
| Index Committee Chair | Independent Practitioner · pending appointmentsignature & date |
| Calculation Agent | DSE Plc · Index Calculation Agent designatesignature & date |
| CMSA Acknowledgement | Capital Markets & Securities Authority · for receipt onlystamp & date |
Reform11 Index Methodology · v1.2 · May 2026 · Reference R11-IM-001. © 2026 Avril Capital Limited. Confidential working draft. Not for public circulation.