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

More documents

Recommendations

Info

STOXX INDEX METHODOLOGY GUIDE 7. STOXX BENCHMARK INDICES 7.1. STOXX BROAD INDICES 7.1.1. OVERVIEW The STOXX Broad indices are fixed-number indices which cover the largest stocks of the respective regional or country TMI. Global Broad indices are: » STOXX Global 3000 » STOXX Americas 1200 » STOXX Asia 1200 » STOXX All Europe 800 » STOXX Pacific 100 » STOXX Latin America 200 » STOXX BRIC 400 Note: STOXX Global 3000 is not an aggregate of the regional broad indices Americas, All Europe, Asia and Pacific Base values and dates: The following base values and dates apply » STOXX Australia 150: 100 on January 31, 2011 » STOXX Canada 240:100 on January 31, 2011 » STOXX France 90:100 on January 31, 2011 » STOXX Hong Kong 210:100 on January 31, 2011 » STOXX Italy 45:100 on January 31, 2011 » STOXX Japan 600:100 on January 31, 2011 » STOXX Singapore 75:100 on January 31, 2011 » STOXX Spain 30:100 on January 31, 2011 » STOXX UK 180:100 on January 31, 2011 » STOXX USA 900:100 on January 31, 2011 » Weighting scheme: The indices are weighted according to free-float market capitalization. Index types and currencies: Price, gross return and net return in EUR and USD Universe: Regional aggregates exist for several regions as defined in section 3.3: Global, Americas, Asia, All Europe, Pacific, Latin America and BRIC Weighting scheme: The indices are free-float market capitalization weighted. Base value and date: 100 on 31 January 2011 Index types and currencies: price, net return and gross-return in EUR and USD 7.1.2. INDEX REVIEW Component Selection: The STOXX Broad indices are reviewed on a quarterly basis: 22/99
STOXX INDEX METHODOLOGY GUIDE 7. STOXX BENCHMARK INDICES » Target coverage: Largest companies in the respective TMI; for each company only the most liquid stock is considered. » Review procedures: On the quarterly review date the eligible stocks are ranked in terms of free-float market capitalization to produce the index selection list. » 10% Buffer Rule: » The largest 2700 (Global)/1080 (Americas, Asia)/720 (All Europe)/ 90 (Pacific)/180 (Latin America)/360 (BRIC) stocks on the selection list qualify for selection. » The remaining 300 (Global)/120 (Americas, Asia)/80 (All Europe)/ 10 (Pacific)/20 (Latin America)/40 (BRIC) stocks are selected from the largest remaining current components ranked between 2701 (Global)/1081 (Americas, Asia)/721 (All Europe)/ 91 (Pacific)/181 (Latin America)/361 (BRIC) and 3300 (Global)/1320 (Americas, Asia)/880 (All Europe)/ 110 (Pacific)/220 (Latin America)/440 (BRIC). » If the number of stocks selected is still below 3000 (Global)/1200 (Americas, Asia)/800 (All Europe)/ 100 (Pacific)/200 (Latin America)/400 (BRIC), the largest remaining stocks are selected until there are enough stocks. Review Frequency: The indices are reviewed on a quarterly basis together with the Total Market indices. Weighting Cap Factors: The indices are uncapped. Derived Indices: Sector sub-sets exist according to ICB for STOXX Global 3000, STOXX Americas 1200, STOXX Asia 1200, STOXX All Europe 800 and STOXX Pacific 100. A number of regions are calculated under exclusion of certain countries. For a complete list please consult the data vendor code sheet on the website 3 . Customized solutions can be provided upon request. Region Index Global STOXX Global 3000 Americas STOXX Americas 1200 Asia STOXX Asia 1200 All Europe STOXX All Europe 800 Pacific STOXX Pacific 100 Latin America STOXX Latin America 200 BRIC STOXX BRIC 400 Sector Indices Index ‹Supersector› 7.1.3. ONGOING MAINTENANCE Replacements: To maintain the number of components constant, a deleted stock is replaced with the highest ranked non-component on the selection list. The selection list is updated on a monthly basis according to the review component selection process. During the review implementation month the published review component list is used as selection list. 3 http://www.STOXX.com/download/indices/vendor_codes.xls 23/99
Page 1 and 2: JANUARY 2013 STOXX ® INDEX METHODO
Page 3 and 4: STOXX INDEX METHODOLOGY GUIDE CONTE
Page 5 and 6: STOXX INDEX METHODOLOGY GUIDE 1. IN
Page 7 and 8: STOXX INDEX METHODOLOGY GUIDE 3. CO
Page 9 and 10: STOXX INDEX METHODOLOGY GUIDE 3. CO
Page 11 and 12: STOXX INDEX METHODOLOGY GUIDE 4. IN
Page 13 and 14: STOXX INDEX METHODOLOGY GUIDE 5. ST
Page 17 and 18: STOXX INDEX METHODOLOGY GUIDE 6. TO
Page 19 and 20: STOXX INDEX METHODOLOGY GUIDE 6. TO
Page 21: STOXX INDEX METHODOLOGY GUIDE 6. TO
Page 49 and 50: STOXX INDEX METHODOLOGY GUIDE 10. S
Page 73 and 74:
STOXX INDEX METHODOLOGY GUIDE 16. S
Page 75 and 76:
Page 77 and 78:
Page 79 and 80:
Page 81 and 82:
Page 83 and 84:
Page 85 and 86:
Page 87 and 88:
Page 89 and 90:
STOXX INDEX METHODOLOGY GUIDE 22. A
Page 91 and 92:
Page 93 and 94:
Page 95 and 96:
Page 97 and 98:
Page 99:
show all

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

Create successful ePaper yourself

Delete template?

Save as template?