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

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STOXX INDEX METHODOLOGY GUIDE 7. STOXX BENCHMARK INDICES Fast Exit: Not applicable. Fast Entry: Not applicable. Spin-offs Each spin-off stock qualifies for addition, if it lies within the upper buffer on the latest selection list for the specific index. The spin-off replaces the lowest ranked stock in that index, as determined by the selection list. Qualifying spin-off stocks are added in sequence: » The largest qualifying spin-off stock replaces the original stock in the index. » The next qualifying spin-off stock replaces the lowest ranked stock in the index. » Likewise for the other qualifying spin-off stocks. 24/99
STOXX INDEX METHODOLOGY GUIDE 7. STOXX BENCHMARK INDICES 7.2. FIXED COMPONENT BENCHMARK INDICES 7.2.1. OVERVIEW The Fixed Component Benchmark indices cover the largest stocks of the relevant regional TMI. Global fixed component benchmark indices are: » STOXX North America 600 » STOXX Asia/Pacific 600 » STOXX Europe 600 » STOXX Eastern Europe 300 » STOXX Global 1800 (an aggregate of the regional 600s of Europe, the North America and Asia/Pacific). Universe: The following regional aggregates as defined in section 3.3 are calculated: North America, Asia/Pacific, Europe and Eastern Europe. In the Asia/Pacific region China is represented by Red-Chip companies only. Weighting scheme: The indices are weighted according to free-float market capitalization. Base value and date: 100 on December 31, 1991. Index types and currencies: Price, net return and gross return in EUR and USD 4 . 7.2.2. INDEX REVIEW Component Selection: The STOXX 600/300 Component Benchmark indices are reviewed on a quarterly basis: » Target coverage: Largest 600/300 companies in the relevant regional 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 600/300 index selection list. » Minimum liquidity criteria (excluding Eastern Europe 300): 3-month average daily trading volume (ADTV) greater than one million EUR. The liquidity criteria is omitted if it would lead to less than 600 constituents. Buffer rule: » The largest 550/275 stocks on the selection list qualify for selection. » The remaining 50/25 stocks are selected from the largest remaining current components ranked between 551/276 and 750/375. » If the number of stocks selected is still below 600/300, the largest remaining stocks are selected until there are enough stocks. Review frequency: The indices are reviewed on a quarterly basis together with the STOXX Total Market indices. Weighting cap factors: 20 percent on a component level. Derived indices: Size indices for fixed component benchmark exist for STOXX Europe 600 and STOXX Eastern Europe 300. Sector subsets also exist according to ICB. A number of regions are calculated with 4 STOXX Europe 600 is additionally available in JPY, GBP and CAD 25/99
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