DIVIDEND INDICES STOXX® NORTH AMERICA MAXIMUM …

[Pages:3]DIVIDEND INDICES

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STOXX? NORTH AMERICA MAXIMUM DIVIDEND 40

INDEX

Index description

The STOXX? North America Maximum Dividend 40 Index is designed to maximize the dividend yield of the index portfolio. The index comprises 40 stocks from the STOXX? North America 600 Index with the highest expected dividend yield. The dividend yield is calculated on the basis of a three-month dividend forecast and the closing price of the securities at the time of selection. The index family covers the Global, North America, Europe, Asia/Pacific and Japan regions.

Key facts

? Quarterly review to track as closely as possible the performance of the highest dividend-yielding companies and to take into account the fact that dividend payments take place frequently throughout the year in North America

? Portfolio is screened for liquidity based on two criteria: index constituents must have a three-month average daily trading volume (3-month ADTV) of at least 4 million euros and stocks are selected on the basis of their liquidityadjusted dividend yield

? Well-diversified, due to 10% component capping

? Weighting of single components is based on their expected liquidityadjusted dividend yield: the higher the dividend yield of a company and the higher its liquidity, the higher its weighting in the index

Descriptive statistics

Index

STOXX North America Maximum Dividend 40 Index STOXX North America 600 Index

Supersector weighting (top 10)

Market cap (EUR bn.)

Components (EUR bn.)

Full N/A 38,301.4

Free-float 1.1

36,609.2

Mean 0.0

61.0

Median Largest Smallest

0.0

0.0

0.0

27.5 2,158.2

8.2

Country weighting

Component weight (%)

Largest 4.5 5.9

Smallest 1.6 0.0

Turnover (%) Last 12 months

106.8 4.1

Risk and return figures1

Index returns

STOXX North America Maximum Dividend 40 Index STOXX North America 600 Index Index volatility and risk STOXX North America Maximum Dividend 40 Index STOXX North America 600 Index Index to benchmark STOXX North America Maximum Dividend 40 Index Index to benchmark

STOXX North America Maximum Dividend 40 Index

Last month 5.0 7.1

13.0 12.1

0.4

0.4

1 For information on data calculation, please refer to STOXX calculation reference guide. 2 Based on EURIBOR1M

YTD 37.6 29.5

14.8 13.5

0.6

0.7

Return (%)

1Y

3Y

5Y Last month

58.1

25.0

43.9

N/A

43.1

74.9

119.8

N/A

Annualized volatility (%)

19.7

30.0

24.6

N/A

13.4

23.4

20.0

N/A

Correlation

0.5

0.8

0.8

Beta

13.7

0.8

1.1

1.0

-1.8

YTD N/A N/A

N/A N/A

12.4

0.6

Annualized return (%)

1Y

3Y

5Y

59.2

7.8

7.7

43.9

20.8

17.3

Annualized Sharpe ratio2

2.4

0.3

0.3

2.6

0.8

0.8

Tracking error (%)

17.0

16.7

13.8

Annualized information ratio

0.6

-0.7

-0.6

(EUR, net return), all data as of Oct. 29, 2021

STOXX Ltd. is part of Qontigo

DIVIDEND INDICES

STOXX? NORTH AMERICA MAXIMUM DIVIDEND 40 INDEX

Fundamentals (for last 12 months)

Index

STOXX North America Maximum Dividend 40 Index STOXX North America 600 Index

Performance and annual returns4

Price/earnings incl. negative

Trailing 20.2 29.4

Projected 12.3 23.2

Price/earnings excl. negative

Trailing 16.5 25.5

Projected 12.3 22.0

Methodology

Price/ book

Trailing 1.9 0.1

Dividend yield (%) 3

Trailing

5.5 1.5

Price/ sales

Trailing 1.6 3.5

2

Price/ cash flow

Trailing 9.9

30.6

The index universe consists of all components of the STOXX? North America 600 Index. Only 40 companies that have the highest expected dividend yield and will pay a dividend within the forthcoming adjustment period are chosen for inclusion. Liquidity (measured by Average Daily Traded Value) and market capitalization filters are applied. The expected dividend yield is determined by the announced amount, the estimated dividends and the closing price of the stock on the last trading day of January, April, July and October. The resulting composition is effective on the third Friday of March, June, September and December. The detailed methodology including the calculation formula can be found in our rulebook: indices/rulebooks.html

Versions and symbols

Index

ISIN

Symbol

Bloomberg

Reuters

Net Return EUR

CH0186208846 SXA1MDR

SXA1MDR INDEX .SXA1MDR

Net Return EUR

CH0186208846 SXA1MDR

SXA1MDR INDEX .SXA1MDR

Price

EUR

CH0186208168 SXA1MDP

SXA1MDP INDEX .SXA1MDP

Price

EUR

CH0186208168 SXA1MDP

SXA1MDP INDEX .SXA1MDP

Net Return USD

CH0186208986 SXA1MDV

SXA1MDV INDEX .SXA1MDV

Net Return USD

CH0186208986 SXA1MDV

SXA1MDV INDEX .SXA1MDV

Price

USD

CH0186208903 SXA1MDL

SXA1MDL INDEX .SXA1MDL

Price

USD

CH0186208903 SXA1MDL

SXA1MDL INDEX .SXA1MDL

Complete list available here: data/vendor_codes.html

Quick facts

Weighting

Adjusted dividend yield

Cap factor

10%

No. of components

40

Review frequency

Quarterly (March, June, September, December). Semi-annually in

To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

STOXX customer support P +41 43 430 7272 customersupport@

DISCLAIMER

STOXX, Deutsche B?rse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche B?rse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche B?rse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX? indices, DAX? indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche B?rse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical

constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be

interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX? Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection,

weighting schemes and personalized calculation methodologies.

3 Net dividend yield is calculated as net return index return minus price index return 4 STOXX data from Mar. 23, 2004 to Oct. 29, 2021

(EUR, net return), all data as of Oct. 29, 2021

DIVIDEND INDICES

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STOXX? NORTH AMERICA MAXIMUM DIVIDEND 40 INDEX

Top 10 Components5

Company

Exxon Mobil Corp. Devon Energy Corp. AT&T Inc. Chevron Corp. Valero Energy Corp. Enbridge Inc. PHILLIPS 66 ABBVIE Verizon Communications Inc. MARATHON PETROLEUM

5 Based on the composition as of Oct. 29, 2021

Supersector

Energy Energy Telecommunications Energy Energy Energy Energy Health Care Telecommunications Energy

Country

United States United States United States United States United States Canada United States United States United States United States

Weight (%)

4.51 4.28 4.14 3.91 3.69 2.94 2.90 2.73 2.68 2.67

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