Stoxx index guide 20190830 - Indices | News
JANUARY 2020
STOXX? INDEX METHODOLOGY GUIDE (PORTFOLIO BASED INDICES)
STOXX INDEX METHODOLOGY GUIDE
CONTENTS
2/244
1. INTRODUCTION TO THE STOXX INDEX GUIDES 7
2. CHANGES TO THE GUIDE BOOK
8
HISTORY OF CHANGES TO THE STOXX EQUITY
METHODOLOGY GUIDE
8
3. GENERAL PRINCIPLES
13
INDEX RATIONALE
13
METHODOLOGY REVIEW POLICIES
13
INDEX TERMINATION POLICY
13
4. COVERAGE
14
STOXX GLOBAL EQUITY STOCK UNIVERSE
14
STOXX INVESTABLE UNIVERSE
14
COUNTRY AND REGIONAL CLASSIFICATIONS
15
4.3.1. OVERVIEW
15
4.3.2. COUNTRY SELECTION CRITERIA
15
4.3.3. REGIONAL SPECIFICS
17
5. INDEX CHARACTERISTICS
18
MARKET CAPITALIZATION-WEIGHTED INDICES AND PRICE-
WEIGHTED INDICES
18
SELECTION LISTS
18
INDEX REVIEW
18
BUFFERS
19
LIQUIDITY
19
STOCK CHARACTERISTICS
20
COUNTRY AND LISTING
20
CURRENCY
20
INDUSTRY CLASSIFICATION BENCHMARK (ICB) CODE20
CORPORATE ACTIONS
21
NUMBER OF SHARES
21
FREE-FLOAT FACTORS
21
WEIGHTING FACTOR
21
FREE-FLOAT MARKET CAPITALIZATION
21
CAPPING FACTORS
22
5.15.1. WEIGHTING CAP FACTORS
22
5.15.2. LIQUIDITY SCALING FACTORS
22
6. STOXX TOTAL MARKET INDICES (TMI) 24
TOTAL MARKET COUNTRY INDICES
24
6.1.1. OVERVIEW
24
6.1.2. INDEX REVIEW
24
6.1.3. ONGOING MAINTENANCE
25
TOTAL MARKET REGIONAL INDICES
27
6.2.1. OVERVIEW
27
6.2.2. INDEX REVIEW
28
6.2.3. ONGOING MAINTENANCE
28
TOTAL MARKET SIZE INDICES
29
6.3.1. OVERVIEW
29
6.3.2. INDEX REVIEW
29
6.3.3. ONGOING MAINTENANCE
30
7. STOXX BENCHMARK INDICES (BMI)
31
STOXX GLOBAL INDICES
31
7.1.1. OVERVIEW
31
7.1.2. INDEX REVIEW
32
7.1.3. ONGOING MAINTENANCE
34
STOXX GLOBAL 1800 AND DERIVED INDICES
35
7.2.1. OVERVIEW
35
7.2.2. INDEX REVIEW
35
7.2.3. ONGOING MAINTENANCE
37
SIZE INDICES BASED ON THE STOXX GLOBAL INDICES38
7.3.1. OVERVIEW
38
7.3.2. INDEX REVIEW
38
7.3.3. ONGOING MAINTENANCE
40
SECTOR INDICES BASED ON THE STOXX GLOBAL INDICES
41
7.4.1. OVERVIEW
41
7.4.2. INDEX REVIEW
41
7.4.3. ONGOING MAINTENANCE
42
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STOXX EUROPE 600 AND EURO STOXX SUPERSECTOR
INDICES: 30% / 15% CAPS
43
7.5.1. OVERVIEW
43
7.5.2. INDEX REVIEW
43
7.5.3. ONGOING MAINTENANCE
44
STOXX REGIONAL REAL ESTATE INDICES: 20% CAPS45
7.6.1. OVERVIEW
45
7.6.2. INDEX REVIEW
45
7.6.3. ONGOING MAINTENANCE
45
STOXX EMERGING MARKETS 800 LO
46
7.7.1. OVERVIEW
46
7.7.2. INDEX REVIEW
46
7.7.3. ONGOING MAINTENANCE
46
8. STOXX EQUAL WEIGHT INDICES
48
STOXX EQUAL WEIGHT INDICES
48
8.1.1. OVERVIEW
48
8.1.2. INDEX REVIEW
48
8.1.3. ONGOING MAINTENANCE
48
9. STOXX BLUE-CHIP INDICES
50
STOXX GLOBAL AND COUNTRY BLUE-CHIP INDICES 50
9.1.1. OVERVIEW
50
9.1.2. INDEX REVIEW
51
9.1.3. ONGOING MAINTENANCE
54
EURO STOXX 50
56
9.2.1. OVERVIEW
56
9.2.2. INDEX REVIEW
56
9.2.3. ONGOING MAINTENANCE
57
STOXX REGIONAL BLUE-CHIP INDICES
59
9.3.1. OVERVIEW
59
9.3.2. INDEX REVIEW
59
9.3.3. ONGOING MAINTENANCE
60
STOXX GLOBAL 150
62
9.4.1. OVERVIEW
62
9.4.2. INDEX REVIEW
62
9.4.3. ONGOING MAINTENANCE
62
STOXX BALKAN 50 EQUAL WEIGHT
63
9.5.1. OVERVIEW
63
9.5.2. INDEX REVIEW
63
9.5.3. ONGOING MAINTENANCE
64
STOXX CANADA 60
65
9.6.1. OVERVIEW
65
9.6.2. INDEX REVIEW
65
9.6.3. ONGOING MAINTENANCE
66
10. STOXX DIVIDEND INDICES
67
STOXX SELECT DIVIDEND INDICES
67
10.1.1. OVERVIEW
67
10.1.2. INDEX REVIEW
67
10.1.3. ONGOING MAINTENANCE
71
STOXX ASEAN-FIVE SELECT DIVIDEND 50
73
10.2.1. OVERVIEW
73
10.2.2. INDEX REVIEW
73
10.2.3. ONGOING MAINTENANCE
73
STOXX ASEAN SELECT DIVIDEND 30
75
10.3.1. OVERVIEW
75
10.3.2. INDEX REVIEW
75
10.3.3. ONGOING MAINTENANCE
76
STOXX MAXIMUM DIVIDEND INDICES
77
10.4.1. OVERVIEW
77
10.4.2. INDEX REVIEW
77
10.4.1. ONGOING MAINTENANCE
79
EURO STOXX QUALITY DIVIDEND 50
80
10.5.1. OVERVIEW
80
10.5.2. INDEX REVIEW
80
10.5.3. ONGOING MAINTENANCE
83
11. STOXX OPTIMISED INDICES
84
STOXX OPTIMISED INDICES BASED ON STOXX EUROPE 600
84
11.1.1. OVERVIEW
84
11.1.2. INDEX REVIEW
84
11.1.3. ONGOING MAINTENANCE
85
STOXX OPTIMISED COUNTRY INDICES
86
11.2.1. OVERVIEW
86
11.2.2. INDEX REVIEW
86
11.2.3. ONGOING MAINTENANCE
87
12. STOXX STYLE INDICES
88
STOXX TM STYLE INDICES
88
12.1.1. OVERVIEW
88
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12.1.2. INDEX REVIEW
88
12.1.3. ONGOING MAINTENANCE
90
STOXX STRONG STYLE INDICES
91
12.2.1. OVERVIEW
91
12.2.2. INDEX REVIEW
91
12.2.3. ONGOING MAINTENANCE
93
STOXX STRONG QUALITY
94
12.3.1. OVERVIEW
94
12.3.2. INDEX REVIEW
94
12.3.3. ONGOING MAINTENANCE
95
STOXX STRONG BALANCE SHEET
96
12.4.1. OVERVIEW
96
12.4.2. INDEX REVIEW
96
12.4.3. ONGOING MAINTENANCE
97
13. STOXX THEME INDICES
98
STOXX EUROPE IPO INDICES
98
13.1.1. OVERVIEW
98
13.1.2. INDEX REVIEW
98
13.1.3. ONGOING MAINTENANCE
98
STOXX EUROPE FOOTBALL INDEX
99
13.2.1. OVERVIEW
99
13.2.2. INDEX REVIEW
99
13.2.3. ONGOING MAINTENANCE
99
STOXX GLOBAL INFRASTRUCTURE INDICES
100
13.3.1. OVERVIEW
100
13.3.2. INDEX REVIEW
100
13.3.3. ONGOING MAINTENANCE
101
STOXX GLOBAL BROAD INFRASTRUCTURE
103
13.4.1. OVERVIEW
103
13.4.2. INDEX REVIEW
103
13.4.3. CAPPING PROCEDURE
104
13.4.4. ONGOING MAINTENANCE
105
STOXX GLOBAL 3D PRINTING INDEX FAMILY
106
13.5.1. OVERVIEW
106
13.5.2. INDEX REVIEW
106
13.5.3. ONGOING MAINTENANCE
107
STOXX ACTIVIST INDEX
108
13.6.1. OVERVIEW
108
13.6.2. INDEX REVIEW
108
13.6.3. ONGOING MAINTENANCE
109
STOXX LOW CARBON
110
13.7.1. OVERVIEW
110
13.7.2. INDEX REVIEW
110
13.7.3. ONGOING MAINTENANCE
114
STOXX CLIMATE IMPACT AND CLIMATE AWARENESS115
13.8.1. OVERVIEW
115
13.8.2. INDEX REVIEW
116
13.8.3. ONGOING MAINTENANCE
118
14. STOXX SUSTAINABILITY INDICES
119
STOXX EUROPE SUSTAINABILITY INDICES
119
14.1.1. OVERVIEW
119
14.1.2. INDEX REVIEW
119
14.1.3. ONGOING MAINTENANCE
120
STOXX EUROPE SUSTAINABILITY EX AGTAF/ EX AGTAFA 121
14.2.1. OVERVIEW
121
14.2.2. INDEX REVIEW
121
14.2.3. ONGOING MAINTENANCE
121
STOXX SUSTAINABILITY BLUE-CHIPS
122
14.3.1. OVERVIEW
122
14.3.2. INDEX REVIEW
122
14.3.3. ONGOING MAINTENANCE
122
STOXX ESG IMPACT INDICES
123
14.4.1. OVERVIEW
123
14.4.2. INDEX REVIEW
123
14.4.3. ONGOING MAINTENANCE
124
STOXX REGIONAL INDUSTRY NEUTRAL ESG AND STOXX
REGIONAL EXCLUDING TOBACCO INDUSTRY NEUTRAL ESG
INDICES
125
14.5.1. OVERVIEW
125
14.5.2. INDEX REVIEW
125
14.5.3. ONGOING MAINTENANCE
128
STOXX EUROPE 600 ESG-X INDEX
129
14.6.1. OVERVIEW
129
14.6.2. INDEX REVIEW
129
14.6.3. ONGOING MAINTENANCE
130
STOXX BENCHMARK ESG-X INDICES
131
14.7.1. OVERVIEW
131
14.7.2. INDEX REVIEW
132
14.7.3. ONGOING MAINTENANCE
133
EURO STOXX 50 ESG INDEX
134
14.8.1. OVERVIEW
134
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14.8.2. INDEX REVIEW
134
14.8.3. ONGOING MAINTENANCE
136
STOXX BENCHMARK ESG-X EX NUCLEAR POWER INDICES
137
14.9.1. OVERVIEW
137
14.9.2. INDEX REVIEW
137
14.9.3. ONGOING MAINTENANCE
138
15. STOXX FAITH-BASED INDICES
139
STOXX EUROPE CHRISTIAN INDEX
139
15.1.1. OVERVIEW
139
15.1.2. INDEX REVIEW
139
15.1.3. ONGOING MAINTENANCE
140
16. STOXX RISK BASED INDICES
141
STOXX MINIMUM VARIANCE AND MINIMUM VARIANCE
UNCONSTRAINED INDICES
141
16.1.1. OVERVIEW
141
16.1.2. INDEX REVIEW
141
16.1.3. ONGOING MAINTENANCE
144
STOXX CHINA A 900 MINIMUM VARIANCE UNCONSTRAINED
AM
145
16.2.1. OVERVIEW
145
16.2.2. INDEX REVIEW
145
16.2.3. ONGOING MAINTENANCE
145
STOXX LOW RISK WEIGHTED
147
16.3.1. OVERVIEW
147
16.3.2. INDEX REVIEW
147
16.3.3. ONGOING MAINTENANCE
147
STOXX EUROPE LOW BETA HIGH DIVIDEND 50
149
16.4.1. OVERVIEW
149
16.4.2. INDEX REVIEW
149
16.4.3. ONGOING MAINTENANCE
150
STOXX SHARPE RATIO INDICES
151
16.5.1. OVERVIEW
151
16.5.2. INDEX REVIEW
151
16.5.3. ONGOING MAINTENANCE
152
STOXX SELECT INDICES
153
16.6.1. STANDARD STOXX SELECT INDICES
153
16.6.1.1. OVERVIEW
153
16.6.1.2. INDEX REVIEW
154
16.6.1.3. ONGOING MAINTENANCE156
16.6.2.
STOXX LOW CARBON SELECT INDICES
157
16.6.2.1. OVERVIEW
157
16.6.2.1. INDEX REVIEW
157
16.6.2.2. ONGOING MAINTENANCE159
STOXX DIVERSIFICATION SELECT INDICES
160
16.7.1. STANDARD STOXX DIVERSIFICATION SELECT
INDICES
16.7.1.1. 16.7.1.2. 16.7.1.3.
160
OVERVIEW
160
INDEX REVIEW
161
ONGOING MAINTENANCE162
16.7.2. STOXX LOW CARBON DIVERSIFICATION SELECT
INDICES
16.7.2.1. 16.7.2.1. 16.7.2.1.
163
OVERVIEW
163
INDEX REVIEW
163
ONGOING MAINTENANCE165
EURO STOXX ESG-X & EX NUCLEAR POWER SINGLE FACTOR
INDICES
166
16.8.1. OVERVIEW
166
16.8.2. INDEX REVIEW
166
16.8.3. ONGOING MAINTENANCE
172
EURO STOXX ESG-X & EX NUCLEAR POWER MINIMUM
VARIANCE UNCONSTRAINED INDEX
173
16.9.1. OVERVIEW
173
16.9.2. INDEX REVIEW
173
16.9.3. ONGOING MAINTENANCE
176
STOXX GLOBAL LOW RISK WEIGHTED DIVERSIFIED
200 INDEX
177
16.10.1. OVERVIEW
177
16.10.2. INDEX REVIEW
177
16.10.3. ONGOING MAINTENANCE
179
17. STOXX EXPOSURE INDICES
180
STOXX TRUE EXPOSURE INDICES
180
17.1.1. OVERVIEW
180
17.1.2. INDEX REVIEW
180
17.1.3. ONGOING MAINTENANCE
181
17.1.4. EXPOSURE PARAMETER
181
STOXX INTERNATIONAL EXPOSURE INDICES
186
17.2.1. OVERVIEW
186
17.2.2. INDEX REVIEW
186
17.2.3. ONGOING MAINTENANCE
187
17.2.4. EXPOSURE PARAMETER
187
STOXX EMERGING MARKETS EXPOSED INDICES 191
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