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

STOXX INDEX METHODOLOGY GUIDE
7. STOXX BENCHMARK INDICES
Review frequency: The indices are reviewed on a quarterly basis together with the STOXX Total Market
indices.
Weighting cap factors: All components of each supersector index are subject to a 30 percent capping for
the largest company and a 15 percent capping for the second-largest company. The weighting cap factors
are published on the second Friday of the quarter, one week prior to quarterly review implementation, and
calculated using Thursday’s closing prices.
An intra-quarter capping will be triggered if the largest company exceeds 35 percent or the second-largest
exceeds 20 percent. The process is as follows:
Date t: Weight exceeds 35 percent/20 percent at the close of market
Date t+1: Announcement of the new weighting cap factors (30%/15%) after close of market
Date t+3: Implementation of the new capping factors after close of market.
Date t+4: Effective date
Note: Violations of the 35/20 threshold between dates t+1 and t+3 do not trigger another capping.
Derived indices: Not applicable.
7.4.3. ONGOING MAINTENANCE
Replacements: All changes affecting the STOXX Europe 600 indices also apply for the STOXX Europe 600
Supersector indices.
Fast exit: Not applicable.
Fast entry: Not applicable.
Spin-offs: All changes affecting the STOXX Europe 600 indices also apply for the STOXX Europe 600
Supersector indices.
7.5. STOXX EUROPE 600 NC SUPERSECTOR INDICES
7.5.1. OVERVIEW
The STOXX Europe 600 index is subdivided into 19 supersectors according to ICB.
Universe:
The following regional aggregates as defined in section 3.3 are calculated: Europe
Weighting scheme: The indices are free-float market capitalization-weighted.
Base value and date: 100 on December 31, 1991.
Index types and currencies: Price, net return and gross return in EUR and USD.
7.5.2. INDEX REVIEW
Component selection: The STOXX Europe 600 NC Supersectors are derived from the STOXX Europe 600
Index according to the ICB standard.
Review frequency: The indices are reviewed on a quarterly basis together with the STOXX Total Market
indices.
Weighting cap factors: The components are not subject to capping.
Derived indices: Not applicable.
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