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

STOXX INDEX METHODOLOGY GUIDE
9. STOXX BLUE-CHIP INDICES
9.2. EURO STOXX 50
9.2.1. OVERVIEW
The EURO STOXX 50 is derived from the EURO STOXX index and represents supersector leaders in the
Eurozone.
Universe: The index universe are stocks in the Eurozone region defined by the EURO STOXX index.
Weighting scheme: The index is weighted according to free-float market capitalization.
Base value and dates: 1000 on December 31, 1991.
Index types and currencies: Price, gross return and net return in EUR, USD, CAD, GBP and JPY.
9.2.2. INDEX REVIEW
Component selection:
EURO STOXX 50 index (40 – 60 buffer rule)
Target coverage: 50 supersector leaders from the EURO STOXX index:
1. For each of the 19 EURO STOXX regional Supersector indices, the stocks are ranked in terms of freefloat
market capitalization. The largest stocks are added to the selection list until the coverage is close
to, but still less than, 60 percent of the free-float market capitalization of the corresponding EURO
STOXX Regional TMI Supersector Index. If the next highest-ranked stock brings the coverage closer to
60 percent in absolute terms, then it is also added to the selection list. All current EURO STOXX 50
Index stocks are then added to the selection list.
2. All the stocks on the selection list are then ranked in terms of free-float market capitalization to produce
the final index selection list.
3. The largest 40 stocks on the selection list are selected; the remaining 10 stocks are selected from the
largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still
below 50, then the largest remaining stocks are selected until there are 50 stocks.
In exceptional cases the STOXX management board can add stocks to and remove them from the
selection list.
Review frequency: The index is reviewed annually in September. The review cut-off date is the last trading
day of August.
Weighting cap factors: Components are capped at a maximum weight of 10 percent quarterly. The
weighting cap factors are published on Wednesday two trading days prior to quarterly review
implementation using Tuesday’s closing prices.
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