stoxx index methodology guide (portfolio based indices) - STOXX.com

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STOXX INDEX METHODOLOGY GUIDE 6. TOTAL MARKET INDICES (TMI) Region Index Europe STOXX Europe TMI Eurozone EURO STOXX TMI Europe ex UK STOXX Europe ex UK TMI Europe ex Euro STOXX Europe ex Eurozone TMI Nordic STOXX Nordic TMI Eastern Europe STOXX Eastern Europe TMI Sector Indices ‹Industry› ‹Supersector› ‹Sector›* ‹Subsector›* Size Large Mid Small *As some of these indices would not have enough components, not all indices are disseminated. Furthermore fixed component benchmark indices are derived from TMI indices. 6.2.3. ONGOING MAINTENANCE Replacements: In line with the STOXX Total Market country indices, deleted companies are not replaced. Fast exit: Not applicable. Fast entry: Not applicable. Spin-offs: The spin-off stock is added if it qualifies for the STOXX TMI indices as of the latest quarterly review list. 18/99
STOXX INDEX METHODOLOGY GUIDE 6. TOTAL MARKET INDICES (TMI) 6.3. TOTAL MARKET SIZE INDICES 6.3.1. OVERVIEW The size indices are derived from the STOXX Global Total Market indices. Universe: Sizes are derived for selected countries and the regions Europe, EU-Enlarged and Eastern Europe. Weighting scheme: The indices are weighted according to free-float market capitalization. Base value and dates: The following base values and dates apply: » Europe TMI Size indices : 100 on December 31, 1991 » Nordic TMI Size: 100 on December 31, 1991 » EU Enlarged TMI Size indices: 100 on December 31, 2002 » Eastern Europe TMI Size indices: 100 on December 31, 2002 6.3.2. INDEX REVIEW Component selection: On a quarterly basis, the companies in the given STOXX TMI are ranked in terms of their total market capitalization in descending order. For each company the total market capitalization based on all its stock classes is used to produce the review selection list. Prices, exchange rates, shares and free-float factors as of the review cut-off date are used. For companies which have been selected for a TMI, sizes will be assigned as following: STOXX TMI Large Index (67.5 - 75 buffer rule) Target coverage: Companies with a total market capitalization above the 70th percentile of the total market capitalization of the investable stock universe: » The largest companies covering a total market capitalization of 67.5 percent are selected. » Current large companies with a total market capitalization ranked between the 67.5th and 75th percentiles of the cumulative total market capitalization are also selected. STOXX TMI Mid Index (85 - 92.5 buffer rule) Target coverage: Companies with a total market capitalization between the 70th and 90th percentiles of the total market capitalization of the investable stock universe: » Companies with a total market capitalization above the 85th percentile qualify for selection. Of these companies, those not already selected for the Large segment are selected for the Mid segment. » Current Mid companies with a total market capitalization between the 85th and 92.5th percentiles are also selected. STOXX TMI Small Index (90-95%) Target coverage: Companies with a total market capitalization between the 90th and 95th percentiles of the total market capitalization of the investable stock universe: » Companies not already selected for the Large and the Mid segment are selected for the Small segment. Review frequency: The reviews are conducted on a quarterly basis together with the STOXX Global Total Market indices. 19/99
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