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

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STOXX INDEX METHODOLOGY GUIDE 9. STOXX BLUE-CHIP INDICES Fast exit: The components of the STOXX Europe 50, STOXX Nordic 30, STOXX Asia/Pacific 50 and STOXX North America 50 are monitored for any changes based on the monthly selection list ranking, i.e. on an ongoing monthly basis. A component is deleted if: » it ranks 75 (50 for STOXX Nordic 30) below on the monthly selection list; and » it has been ranked 75 (50 for STOXX Nordic 30) or below for a consecutive period of two months in the monthly selection list depending on the relevant indices. The announcement will be on the first trading day after close of markets. The addition will be announced based on the monthly selection list, i.e. the highest-ranked noncomponent will be selected. Changes will be implemented on the close of the fifth trading day and are effective the next trading day. Fast entry: All stocks on the latest selection lists of the STOXX Europe 50, STOXX Nordic 30, STOXX Asia/Pacific 50 and STOXX North America 50 and initial public offering (IPO) stocks are reviewed for a fast-track addition on a quarterly basis. A stock is added, if » it qualifies for the latest blue-chip selection list generated end of February, May, August or November; and » it ranks within the lower buffer on this selection list If it is added, the stock replaces the smallest stock in the Blue-Chip Index. The announcement will be on the first trading day of the month after close of markets. The implementation is together with the STOXX Total Market indices. Spin-offs » Each spin-off stock qualifies for addition, if it lies within the lower buffer on the latest selection list for the specific index. The spin-off replaces the higher 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. 44/99
STOXX INDEX METHODOLOGY GUIDE 9. STOXX BLUE-CHIP INDICES 9.4. STOXX GLOBAL 150 BLUE-CHIP INDICES 9.4.1. OVERVIEW The STOXX Global 150 Blue-Chip Index is a combination of the regional STOXX Blue-Chip indices for North America, Asia Pacific and Europe. Universe: The index universe is defined as all stocks of the developed markets in Europe, North America and the Asia/Pacific region as defined in section 3.3. Weighting scheme: The index is weighted according to free-float market capitalization. Base value and date: 1,000 on December 31, 1991. Index types and currencies: Price, net return in EUR and USD. 9.4.2. INDEX REVIEW Component selection: The indices consist of the components of the STOXX Europe 50, STOXX Asia/Pacific 50 and STOXX North America 50. Each regional blue-chip consists of 50 stocks covering the largest supersector leaders in the STOXX Asia/Pacific 600, STOXX North America 600 and STOXX Europe 600 indices. Review frequency: The index is reviewed annually in September based on the closing prices of the last trading day in 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 date, using Tuesday’s closing prices. Derived indices: Not applicable. 9.4.3. ONGOING MAINTENANCE Replacements: All changes affecting the STOXX Europe 50, STOXX Asia/Pacific 50 and STOXX North America 50 apply for the STOXX Global 150 Index. Fast exit: The rules of the STOXX Europe 50, STOXX Asia/Pacific 50 and STOXX North America s 50 apply. Fast entry: The rules of the STOXX Europe 50, STOXX Asia/Pacific 50 and STOXX North America 50 apply. Spin-offs: The rules of the STOXX Europe 50, STOXX Asia/Pacific 50 and STOXX North America 50 apply. 45/99
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