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

STOXX INDEX METHODOLOGY GUIDE
7. STOXX BENCHMARK INDICES
7.3. SIZE INDICES BASED ON FIXED COMPONENT BENCHMARK INDICES
7.3.1. OVERVIEW
The fixed component size indices slice their benchmark index into three size categories. They exist for
STOXX Europe 600 and STOXX Eastern Europe 300, and are represented by large, mid and small
components.
Universe:
The following regional aggregates as defined in section 3.3 are calculated: North America, Asia/Pacific,
Europe and Eastern Europe.
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.
7.3.2. INDEX REVIEW
The reviewed free-float and number of shares, effective at the review cut-off date of the STOXX Fixed
Component Index are ranked by free-float market capitalization to produce the review selection list.
Large 200/100 Index (170 – 230 buffer rule / 85 – 115 buffer rule)
Target coverage: Largest 200/100 companies in the relevant 600/300 fixed component index:
1. The largest 170/85 stocks on the selection list are selected.
2. The remaining 30/15 stocks are selected from the largest remaining current components of the
according fixed component index, ranked between 171/86 and 230/115.
3. If the number of stocks selected is still below 200/100, the largest remaining stocks are selected until
there are 200/100 stocks.
Mid 200/100 Index (350 – 450 buffer rule / 175 – 225 buffer rule)
Target coverage: Next 200/100 companies in the relevant 600/300 Fixed Component index:
1. The largest 350/175 stocks on the selection list qualify for selection. Of these 350/175 stocks, 200/100
stocks are already selected for the STOXX Europe Large 200/100 index, thus the remaining 150/75 are
selected for the relevant Mid index.
2. The remaining 50/25 stocks are selected from the largest remaining current Large and Mid
components ranked between 351/176 and 450/225.
3. If the number of stocks selected is still below 200/100, the largest remaining stocks are selected until
there are 200/100 stocks.
Small 200/100 Index
The remainder of the selection list is to be considered a Small component.
Review frequency: The indices are reviewed on a quarterly basis together with the fixed component
benchmark indices.
Weighting cap factors: 20 percent on a component level.
Derived indices: Eurozone subset (also capped at 20 percent).
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