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

STOXX INDEX METHODOLOGY GUIDE
9. STOXX BLUE-CHIP INDICES
9.5. STOXX BALKAN 50 EQUAL WEIGHT INDEX
9.5.1. OVERVIEW
The STOXX Balkan 50 Equal Weight index represents blue-chip stocks from eight Balkan countries.
Universe: The index universe is defined as the following eight Balkan countries: Bulgaria, Croatia,
Macedonia, Romania, Serbia, Slovenia Greece and Turkey.
Weighting scheme: Price-weighted.
Base value and date: 1,000 as of December 31, 2006.
Index types and currencies: Price, net return in EUR and USD.
9.5.2. INDEX REVIEW
Component selection:
STOXX Balkan 50 Equal Weight Index (5/3 - 15/7 buffer rule)
Target coverage: highest-ranked components in the STOXX Balkan Total Market Index; only the most liquid
stock class for each company in the STOXX Balkan TMI is included.
1. Selection process: For each country, companies are ranked by free-float market capitalization. The
highest-ranked components (20 companies from Greece and Turkey, 10 companies from Bulgaria,
Croatia, Macedonia, Romania, Serbia and Slovenia) are chosen for the selection list. The selection list of
each country is ranked first by free-float market capitalization and second by liquidity (average daily
traded value for the past three months). The final rank is calculated from the average of the two ranks. If
two or more companies have the same final ranking, then their free-float market capitalization is used
as a tie-breaker.
2. Selection list: The top five ranked stocks are selected for Greece and Turkey. The top three ranked stocks
are selected for all other countries. The remaining five stocks for Greece and Turkey are selected from
the highest remaining current stocks ranked between six and fifteen. The remaining two stocks for all
other countries are selected from the highest remaining current stocks ranked between four and seven.
If the number of stocks selected is still below ten for Greece and Turkey, and five for the other countries,
then the highest remaining stocks are selected until there are enough stocks.
In exceptional cases the STOXX management board can add stocks and remove them from the selection
list.
Review frequency: The index is reviewed annually in September based on the closing prices of the last
trading day of the previous month.
Weighting cap factors: All components are equal-weighted. The weighting cap factors are published on the
second Friday of the quarter, one week prior to quarterly review implementation using Thursdays’ closing
prices.
Weighting cap factor = (100,000,000,000 / closing price of the stock in EUR), rounded to integers.
Derived indices: Not applicable.
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