A factor analysis of returns of shares traded on the Brussels Stock Exchange reveals that the first dominant factor is highly correlated with the popular Bel-20 index and that a distinctive alternative trend is represented by the market's second factor. We propose a new stock index consisting of 22 Belgian industrial and commercial shares which are particularly sensitive to this second market factor. The resulting index offers opportunities for diversification of a portfolio consisting of Bel-20 shares and could form the basis of derivative products which would be particular sensitive to Belgian industrial performance. A fundamental analysis shows that shares within the new index are less sensitive to BEF/$ exchange rate and the price of oil than are Bel-20 shares.
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