This paper proposes a Composite Indicator of Financial Stress for Portugal (ICSF). Since financial stress can have a vast impact in the real economy, monitoring and measuring the level of stress can contribute to formulate appropriate policy measures. Similar to Holló et al. (2012), the construction of the ICSF involves the aggregation of five subindices from the money market, bond market, equity market, financial intermediaries and foreign exchange market into a composite indicator, using portfolio theory (where the subindices aggregation reflects their time-varying cross-correlation structure). The article shows that the ICSF identifies and measures adequately the most relevant stress events that affected the Portuguese financial markets since 1999, showing a clear divergence in some moments from euro area composite stress indicators.