Yes, I was trying to get my head around BPI’s approach, for example. BPI Portugal seems to have direct holdings in equities totalling about 69% of assets, plus cash of 31%. But that cash is backing a position in PSI-20 futures which adds another 29% of exposure. So the fund is fully invested, but partly through the futures position. I think the reason they’re doing this is because of European UCITS rules, which limit an individual position to 10%. Thus they have 9% of the fund in Jeronimo, but there’s an additional 4% or so in Jeronimo from the PSI future.
I think all-in, relative to the index, they’re underweight EDP Ren and EDP (looks like the fund has 16% in those two, the index 24%), and overweight Sonae, CTT, Cortiseira and some others. So there’s some active management going on.