Also known as: SCXE Index (Bloomberg) · SCXE (STOXX code)
Parent index: EURO STOXX ↗
At a glance
- Weighting schemeFree float market cap
- Review frequencyQuarterly
- Single cap20
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 10 fields | |||
| Framework applicability | applies to all STOXX, iSTOXX and customized indices calculated by STOXX | This universe and the following framework described in chapter 4 and 5 is used for all STOXX, iSTOXX and customized indices calculated by STOXX.Open p.29 ↗ |
The universe and the chapters 4 and 5 framework apply to all STOXX, iSTOXX and customized indices calculated by STOXX. |
| Index name | EURO STOXX Small | Eurozone EURO STOXX <Size>Open p.71 ↗ |
The official index name is EURO STOXX Small. |
| Administrator | STOXX Ltd. | The Guide to Reference Calculations used by STOXX Ltd. provides a detailed view of » definitions and formulas of the calculations as utilized in the reports, factsheets, indices and presentations produced by STOXXOpen p.11 ↗ |
STOXX Ltd. is the index-guide provider and administrator of the framework. |
| Index family | STOXX index guides | The STOXX Index Methodology guide contains the equity index specific rules regarding the » construction and derivation of the portfolio based indices, the individual component selection process and weighting schemesOpen p.11 ↗ |
The document is the STOXX family-level index methodology guide covering STOXX, iSTOXX and customized indices calculated by STOXX. |
| Parent index | EURO STOXX | All EURO STOXX size indices sum-up again to the parent index, the EURO STOXX.Open p.72 ↗ |
The EURO STOXX size indices combine to form their parent index, the EURO STOXX. |
| Base date | 1991-12-31 | Base value and date: 100 on December 31, 1991.Open p.70 ↗ |
The size indices have a base date of December 31, 1991. |
| Base value | 100 | Base value and date: 100 on December 31, 1991.Open p.70 ↗ |
The base value of the size indices is 100. |
| Currency | EUR, USD | Index types and currencies: Price, net return and gross return in EUR and USD.Open p.70 ↗ |
The size indices are published in EUR and USD. |
| Size segment | Small | The Size indices are fixed component indices that divide their benchmark index into three size categories by free-float market capitalization: Large, Mid and Small.Open p.70 ↗ |
The index targets the Small size category. |
| Index family type | Market cap | The STOXX Index Methodology guide contains the equity index specific rules regarding the » construction and derivation of the portfolio based indices, the individual component selection process and weighting schemesOpen p.11 ↗ |
The framework covers equity portfolio indices and their component selection and weighting schemes, rather than a single factor, ESG or thematic index family. |
| M2 Universe · 8 fields | |||
| Eligible universe | STOXX Global Equity Stock Universe | All common stocks and equities with similar characteristics from financial markets that provide realtime and historical component and currency pricing form the STOXX global equity universe.Open p.29 ↗ |
The eligible starting pool is the STOXX Global Equity Stock Universe. |
| Investable universe | listed fraction of the STOXX global equity universe | The STOXX investable universe is the fraction of the STOXX global equity universe listed on the following stock exchanges and countries: Western EuropeOpen p.29 ↗ |
The STOXX investable universe is the fraction of the global equity universe listed on the specified exchanges and countries. |
| Market segments reference | STOXX Eligible Market Segments Guide | The detailed disclosure of market segments per eligible exchanges is available in the STOXX Eligible Market Segments Guide available on www.stoxx.comOpen p.30 ↗ |
Detailed disclosure of eligible market segments is provided in the STOXX Eligible Market Segments Guide. |
| Markets | Eurozone countries | To obtain the EURO STOXX Large only the stocks with countries eligible for the Eurozone as defined in section 4.3 are chosen from the STOXX Europe Large 200.Open p.72 ↗ |
The EURO STOXX Small includes stocks from countries eligible for the Eurozone. |
| Exchanges | Athens Stock Exchange, NASDAQ Helsinki, EURONEXT Lisbon, Bolsa De Madrid, NASDAQ Iceland, EURONEXT Paris, EURONEXT Milan, NASDAQ Stockholm AB, Oslo Stock Exchange, Deutsche Boerse, EURONEXT Amsterdam, SIX Swiss Exchange, London Stock Exchange, EURONEXT Brussels, Vienna Stock Exchange, NASDAQ Copenhagen, EURONEXT Dublin, Belgrade Stock Exchange, Istanbul Stock Exchange, NASDAQ Vilnius, Bratislava Stock Exchange, Ljubljana Stock Exchange, Prague Stock Exchange, Bucharest Stock Exchange, Macedonian Stock Exchange, Warsaw Stock Exchange, Budapest Stock Exchange, Malta Stock Exchange, Zagreb Stock Exchange, NASDAQ Riga, Bulgarian Stock Exchange, Cyprus Stock Exchange, NASDAQ Tallinn AS, B3 S.A. - Brasil, Bolsa, Balcao, Mexican Stock Exchange, Texas Stock Exchange, NASDAQ, NYSE, Toronto Stock Exchange, Bolsa de Valores de Colombia, Buenos Aires Stock Exchange, Lima Stock Exchange, Santiago Stock Exchange, Australian Securities Exchange, New Zealand Exchange, Stock Exchange of Thailand, Bombay Stock Exchange, Pakistan Stock Exchange, Stock Exchange of Hong Kong, Bursa Malaysia, Philippine Stock Exchange, Taipei Exchange, Ho Chi Minh Stock Exchange, Shanghai Stock Exchange, Taiwan Stock Exchange, Korea Exchange, Shenzhen Stock Exchange, Tokyo Stock Exchange, Indonesia Stock Exchange, Singapore Exchange, Casablanca Stock Exchange, Johannesburg Stock Exchange, Egyptian Exchange, Nigerian Stock Exchange, Tunis Stock Exchange, Tel Aviv Stock Exchange | Athens Stock Exchange (GR) NASDAQ Helsinki (F) EURONEXT Lisbon (PT) Bolsa De Madrid (ES) NASDAQ Iceland (IS)Open p.29 ↗ |
The document defines the investable universe by listing eligible stock exchanges across the covered countries and regions. |
| Security types | Common | All common stocks and equities with similar characteristics from financial markets that provide realtime and historical component and currency pricing form the STOXX global equity universe.Open p.29 ↗ |
The global equity universe consists of all common stocks and equities with similar characteristics. |
| Parent universe index | EURO STOXX | All EURO STOXX size indices sum-up again to the parent index, the EURO STOXX.Open p.72 ↗ |
The index is a size subset of the EURO STOXX parent index. |
| Exclusions | companies on the Hong Kong SFC high shareholding concentration list, Equity Investment Instruments, Non-equity Investment Instruments | Securities of companies included on the Hong Kong Securities and Futures Commission high shareholding concentration list (HK SFC list) are not eligible for STOXX Global Equity Stock Universe.Open p.33 ↗ |
Hong Kong SFC high-shareholding-concentration companies and ICB Equity or Non-equity Investment Instruments are excluded unless an individual methodology says otherwise. |
| M3 Eligibility screens · 11 fields | |||
| High concentration relisting conditions | public disclosure confirms a free-float increase of at least 25% aligned with HKEX listing rule 8.08, no further HK SFC announcement for one year after the company's last voluntary disclosure | The company public disclosure becomes available that confirms an increase in free float equal to at least 25% in alignment with the HKEX listing rule 8.08 minimum float requirement There is no further announcement issued by HK SFC for a period of 1 year after the company’s last voluntary disclosureOpen p.33 ↗ |
A removed high-shareholding-concentration security may be reconsidered at quarterly reviews if public disclosure confirms at least a 25% free-float increase and no further HK SFC announcement occurs for one year. |
| Free float factor formula | free_float_factor = (total_issued_shares - treasury_shares - strategic_shareholdings) / total_issued_shares | Free Float Factors = (Total Issued Shares5 – Treasury Shares6 – Strategic Shareholdings)/ Total Issued Shares5Open p.39 ↗ |
The free-float factor equals total issued shares less treasury shares and strategic shareholdings, divided by total issued shares. |
| Free float market capitalization | free_float_factor × full_market_capitalization | Free-float market capitalization = free-float factor × full market capitalizationOpen p.42 ↗ |
Free-float market capitalization is calculated as the free-float factor multiplied by full market capitalization. |
| Foreign ownership limit definition | cap on percentage of total shares that may be held by foreign investors | Foreign ownership limits (FOL’s) are imposed by local governments and are expressed as a cap on the percentage of the total number of shares that may be held by foreign investors.Open p.41 ↗ |
A foreign ownership limit is a regulatory cap on the percentage of total shares foreign investors may hold. |
| Foreign ownership limit hierarchy | company-specific foreign ownership limit, sector-specific foreign ownership limit | When determining FOL’s, STOXX firstly checks for company specific FOL’s, and if no such FOL’s apply, STOXX checks for sector specific FOL’s.Open p.41 ↗ |
STOXX first checks company-specific foreign ownership limits and, if none apply, checks sector-specific limits. |
| Foreign ownership limit update frequency | 4 times a year | The foreign ownership limits are updated quarterly. All public data, which is available to STOXX five trading days before the last trading day prior to the pre-review month, is considered for the determination of the foreign ownership limits.Open p.41 ↗ |
Foreign ownership limits are updated quarterly. |
| Foreign ownership limit missing data default | 1 | As a last resort, if data is missing, and no decision can be reached otherwise, foreign ownership limits are set equal to one.Open p.41 ↗ |
If foreign-ownership-limit data is missing and no case-by-case decision can be reached, the limit is set equal to one. |
| Foreign headroom | (foreign_ownership_limit - foreign_holdings) / foreign_ownership_limit | Foreign headroom (FHR) is defined as FHR = (foreign ownership limit – foreign holdings) / foreign ownership limitOpen p.42 ↗ |
Foreign headroom is foreign ownership limit minus foreign holdings, divided by foreign ownership limit. |
| Foreign headroom applicability | only for securities with known foreign ownership limits below 100% | The use of FHR makes sense only for securities whose FOL’s are known and smaller than 1 (100%). Some indices can impose FHR-related requirements for component selection.Open p.42 ↗ |
Foreign headroom is relevant only for securities whose known foreign ownership limit is below 100%. |
| Investment instruments exclusion | ICB 30204000 Equity Investment Instruments, ICB 30205000 Non-equity Investment Instruments | Effective with September 2020 review, unless, stated explicitly in the individual index methodologies differently all companies classified into the ICB categories 30204000 (Equity Investment Instruments) and 30205000 (Non-equity Investment Instruments) are not eligible for inclusion into the indices.Open p.38 ↗ |
Since the September 2020 review, ICB Equity Investment Instruments and Non-equity Investment Instruments are ineligible unless individual methodologies state otherwise. |
| Business or ESG exclusions | Securities of companies included on the Hong Kong Securities and Futures Commission high shareholding concentration list | Securities of companies included on the Hong Kong Securities and Futures Commission high shareholding concentration list (HK SFC list) are not eligible for STOXX Global Equity Stock Universe.Open p.33 ↗ |
Securities on the Hong Kong SFC high shareholding concentration list are not eligible for the STOXX Global Equity Stock Universe. |
| M4 Selection and constituent count · 4 fields | |||
| Country selection criteria | Countries are assessed using World Bank GNI per capita classification, three-year average market capitalisation percentile, and three-year average value-traded percentile. | Only countries that are classified as Advanced by the World Bank in terms of GNI per capita (GNI/n), are considered as eligible for Developed Market status by STOXX.Open p.30 ↗ |
Country classification eligibility uses World Bank Advanced status, market capitalisation at or above the 20th percentile, and liquidity thresholds at the 40th or 30th percentiles based on three-year averages. |
| Selection method | Rank by metric | After the review of the STOXX regional Benchmark Index has been conducted according to chapters 7.1 and 7.2, all components are ranked by the free-float market capitalization to produce the review selection list for the size indices.Open p.70 ↗ |
Components are selected by ranking benchmark-index components by free-float market capitalization. |
| Ranking metrics | Name: Free float market capitalization; Direction: Descending; Step order: 1 | all components are ranked by the free-float market capitalization to produce the review selection list for the size indices.Open p.70 ↗ |
All benchmark components are ranked by free-float market capitalization to form the size-index selection list. |
| Target constituent count | — | The sub-indices do not have a fixed number of constituents. Their constituent numbers depends on how their region is represented in the parent index.Open p.71 ↗ |
The derived EURO STOXX size index has no fixed constituent count because its count depends on Eurozone representation in the parent index. |
| M5 Weighting and capping · 18 fields | |||
| Weighting factor use in price weighted indices | Weighting factors replace shares times free float in price-weighted indices and may be based on criteria such as dividend data. | Weighting factors are applied in price-weighted indices instead of the factor “shares times free-float”. Weighting factors are calculated on the basis of other criteria like for example dividend data.Open p.42 ↗ |
Price-weighted indices use weighting factors rather than shares multiplied by free float, with factors based on criteria such as dividend data. |
| Benchmark index single cap (%) | 20% | Blue-chip indices are capped at 10% per component while some benchmark indices have a capping at 20%.Open p.42 ↗ |
Some benchmark indices have a 20% constituent cap. |
| Narrow universe largest cap (%) | 30% | For other indices, especially the STOXX capped Supersector indices, due to a narrow underlying universe and to reflect the market appropriately the indices are capped at 30% for largest and 15% for the second largest constituent.Open p.42 ↗ |
Certain capped Supersector indices cap the largest constituent at 30%. |
| Narrow universe second largest cap (%) | 15% | For other indices, especially the STOXX capped Supersector indices, due to a narrow underlying universe and to reflect the market appropriately the indices are capped at 30% for largest and 15% for the second largest constituent.Open p.42 ↗ |
Certain capped Supersector indices cap the second-largest constituent at 15%. |
| Group entity definition | Securities in the same Supersector or Industry 30%/15% index sharing the same Thomson Reuters QAD Ultimate Parent PermID are treated as one group entity. | If 2 or more securities within the same Supersector 30% / 15% or Industry 30% / 15% index share the same Thomson Reuters QAD Ultimate Parent ID, then they are considered a group entity for weighting cap factor purposes.Open p.44 ↗ |
A group entity consists of related companies identified by the same Thomson Reuters QAD Ultimate Parent PermID within a qualifying index. |
| Group entity cap eligibility | Group-entity capping applies only when the index has at least five different Ultimate Parent IDs. | A potential capping where group entities are involved, shall only apply to indices where the index has 5 or more different Ultimate Parent IDs.Open p.44 ↗ |
The group-entity capping rule is limited to indices with five or more different Ultimate Parent IDs. |
| Intra quarter capping thresholds | For six or more constituents, intra-quarter capping triggers if the largest exceeds 35% or the second largest exceeds 20%; for four or five constituents, only a largest-constituent breach above 35% triggers it. | For indices comprising six or more constituents, an intra-quarter capping will be triggered if the largest company exceeds 35% or the second largest exceeds 20%. In respect of indices comprising five or four constituents, if the largest constituent exceeds 35%, then an intra-quarter capping shall be triggered.Open p.45 ↗ |
Intra-quarter capping is triggered by 35% for the largest constituent and 20% for the second-largest constituent in larger indices, and by 35% for the largest constituent in four- or five-constituent indices. |
| Intra quarter capping result | The largest constituent is capped at 30% and the remaining constituents are equally weighted. | The largest constituent’s weight will be capped at 30% and the remaining constituents will be equally weighted.Open p.45 ↗ |
Upon an intra-quarter trigger, the largest constituent is capped at 30% and all other constituents are equally weighted. |
| Intra quarter capping timetable | t: breach at market close, t+1: announcement after market close, t+3: implementation after market close, t+4: effective date | Date t: Weight exceeds 35% / 20% at the close of market Date t+1: Announcement of the new weighting cap factors (30% / 15%) after close of market Date t+3: Implementation of the new capping factors after close of market. Date t+4: Effective dateOpen p.45 ↗ |
An ordinary intra-quarter capping breach is observed at t, announced at t+1, implemented at t+3, and effective at t+4. |
| Anticipated corporate action capping timing | Announced immediately when a potential breach is detected, implemented two trading days later, and normally effective on the corporate action ex-date. | In case of a potential breach detected following an upcoming corporate action, the changes are announced immediately, implemented two trading days later and become effective on the ex-date of the corporate action event.Open p.46 ↗ |
Anticipated capping from corporate actions is announced immediately, implemented two trading days later, and generally effective on the corporate action ex-date. |
| Weighting scheme | Free float market cap | Weighting scheme: The indices are weighted according to free-float market capitalization.Open p.70 ↗ |
The size indices are weighted by free-float market capitalization. |
| Free float factor | Method: Free float | If a foreign ownership limit is available and it is smaller than 1 (100%) adjusted free float = min[free float, max(0, (foreign ownership limit – foreign holdings) ) ]; Otherwise adjusted free float = free floatOpen p.41 ↗ |
Where required, adjusted free float is the ordinary free float unless an applicable foreign ownership limit is smaller than 100%, in which case it is the lesser of free float and remaining foreign headroom. |
| Foreign ownership limit | Foreign-restriction-adjusted free float is implemented through a capping factor equal to foreign-restriction-adjusted free float divided by free float. | adjusted free float = min[free float, max(0, (foreign ownership limit – foreign holdings) ) ]; Otherwise adjusted free float = free floatOpen p.41 ↗ |
Foreign ownership restrictions are reflected by adjusting free float for remaining headroom and implementing that adjustment through a capping factor. |
| Weight cap | 20 | Weighting cap factors: 20% on a component level for the Europe, North America, Asia/Pacific, Eurozone and Eastern Europe regions.Open p.71 ↗ |
Eurozone size indices apply a 20% component-level weighting cap. |
| Group cap | Top n: 2; Aggregate (%): 30 | If a group entity, which is based on the aforementioned published list and within the Supersector 30% / 15% or Industry 30% / 15% index, has a combined uncapped weight above 30% as largest constituent or 15%, if not the largest, then the group entity will be capped to its 30% / 15% weight at the index review effective date.Open p.44 ↗ |
For specified 30%/15% capped indices, the largest group entity is capped at 30% and a non-largest group entity at 15% at the quarterly review. |
| Cap application timing | At review | The factor limits the maximum weighting for a stock at the time of the review. Weighting cap factors are updated during the regular quarterly index reviews and not adjusted for corporate actions.Open p.42 ↗ |
Weighting cap factors are applied at regular quarterly index reviews, while specific indices may also use explicit intra-quarter capping. |
| Divisor adjustment rule | See the STOXX Calculation Guide; weighting factors are adjusted for corporate actions, whereas weighting cap factors are not adjusted for corporate actions. | Weighting factors are adjusted for corporate actions. Please consult the STOXX Calculation Guide for further details.Open p.42 ↗ |
The methodology refers to the STOXX Calculation Guide for weighting-factor details and states that weighting factors are adjusted for corporate actions while cap factors are not. |
| Shares outstanding | Outstanding number of shares, reviewed quarterly and adjusted for corporate actions. | Ordinary adjustments: The free float factors and outstanding number of shares are reviewed on a quarterly basis based on the most recent available data.From STOXX Calculation Guide ↗ |
The number of outstanding shares is used for market-capitalisation and dividend-point calculations and is reviewed quarterly. |
| M6 Review and rebalance schedule · 6 fields | |||
| Review frequency | Quarterly | The implementation (“the rebalancing”) is usually conducted quarterly after the close every third Friday in March, June, September and December and effective the next trading day.Open p.34 ↗ |
Indices are reviewed and rebalanced on a regular quarterly schedule. |
| Review types | Scheduled review | all indices are reviewed on a regular basis to ensure a transparent and up-to-date index basket.Open p.34 ↗ |
The document describes regular scheduled index reviews; no separate annual, semi-annual, quarterly review type or ad hoc review type is specified. |
| Review months | March, June, September, December | after the close every third Friday in March, June, September and December and effective the next trading day.Open p.34 ↗ |
Quarterly implementation occurs in March, June, September, and December. |
| Data cutoff rule | after the parent benchmark review | After the review of the STOXX regional Benchmark Index has been conducted according to chapters 7.1 and 7.2, all components are ranked by the free-float market capitalization to produce the review selection list for the size indices.Open p.70 ↗ |
The size-index selection list is produced after the relevant STOXX regional benchmark index has been reviewed. |
| Effective date rule | Changes are implemented after the close of the third Friday of March, June, September, and December and become effective the next trading day; if the implementation day is a non-trading day, dates are moved one trading day earlier. | If the implementation day is a non-trading day then all dates will be preponed by one trading day accordingly. The review effective day remains the next trading day following the implementation day.Open p.34 ↗ |
Changes take effect on the next trading day after implementation after the close of the third Friday, with dates advanced one trading day if the implementation day is not a trading day. |
| Rebalance frequency | Quarterly | The implementation (“the rebalancing”) is usually conducted quarterly after the close every third Friday in March, June, September and December and effective the next trading day.Open p.34 ↗ |
Rebalancing is usually conducted quarterly. |
| M8 Corporate actions, IPOs, ad-hoc changes · 7 fields | |||
| Fast exit | Not applicable | Fast exit: Not applicable.Open p.72 ↗ |
Fast exit is not applicable to the size indices. |
| Fast entry | Not applicable | Fast entry: Not applicable.Open p.72 ↗ |
Fast entry is not applicable to the size indices. |
| Replacement policy | Highest ranked non component | To maintain the number of components constant, a deleted stock is replaced by the highest ranked non-component on the selection list.Open p.72 ↗ |
A deleted stock is replaced by the highest-ranked non-component on the selection list to keep component count constant. |
| Merger spinoff rules | All parent-index changes also apply to the size indices. | Spin-offs: All changes affecting the parent index also apply for the size indices.Open p.72 ↗ |
All changes affecting the parent index, including spin-offs, also apply to the size indices. |
| Corporate actions guide ref | STOXX Calculation Guide | Please consult to the STOXX Calculation Guide for the detailed treatments.Open p.38 ↗ |
The document refers to the STOXX Calculation Guide for detailed corporate-action treatments. |
| Deletion price | Generally the last traded price is used; if unavailable, OTC price or an artificial close of 0.0000001 local currency is used; merger targets may use an artificial acquisition-terms price. | Generally, the non-surviving stock(s) are deleted at the last traded price of the security. If any nonsurviving stock is not trading anymore (delisted or suspended before its deletion), a new artificial price based on the acquisition/merger terms is calculatedFrom STOXX Calculation Guide ↗ |
Deletion prices follow the traded-price hierarchy, with artificial prices for non-trading merger securities and a minimum nominal price when no price exists. |
| Share or float change threshold | Share count change: 10; Free float factor change percentage points: 5; Free float adjusted shares change: 10 | Changes greater than ± 10% to the number of shares from one trading day to the next are announced immediately, implemented two trading days later and effective the next trading day after implementation.From STOXX Calculation Guide ↗ |
Share-count or free-float-adjusted share changes above ±10%, or free-float factor changes above ±5 percentage points, receive extraordinary two-trading-day implementation; smaller changes wait for the quarterly review. |
| M9 Calculation and return variants · 11 fields | |||
| Weighting reference | Free-float market capitalization determines constituent weights in free-float market-capitalization-weighted indices; price-weighted indices use price and another appropriate weighting factor, with formulas in the STOXX Calculation Guide. | The Free-Float Market Capitalization determines the weights of each constituent in Free-Float Market Capitalization weighted indices. Price-weighted indices are weighted by the price and another appropriate weighting factor.Open p.34 ↗ |
Constituent weights are based on free-float market capitalization, while price-weighted indices use price plus another appropriate weighting factor; the calculation formula is in the STOXX Calculation Guide. |
| Return variants | PR, NTR, GTR | Index types and currencies: Price, net return and gross return in EUR and USD.Open p.70 ↗ |
The size indices are available as price, net return and gross return indices. |
| Formula type | Divisor | The indices are calculated with the Laspeyres formula, which measures price changes against a fixed base quantity weight. Each index has a unique index divisor, which is adjusted to maintain the continuity of the index’s values across changes due to corporate actions.From STOXX Calculation Guide ↗ |
Indices use the Laspeyres formula with a unique divisor adjusted for corporate-action changes. |
| Price source | Thomson Reuters stock prices; first traded price for opens, current traded price intraday, and last traded or auction price for closes, with the previous close or adjusted price when no trade exists. | The data hierarchy used to process stock prices and calculate the STOXX equity indices are as follows. All data are provided by Thomson Reuters.From STOXX Calculation Guide ↗ |
All equity-index stock prices are provided by Thomson Reuters and follow the opening, intraday and closing price hierarchy. |
| Calculation frequency | Real time interval seconds: 15; End of day: Yes | Real-time indices: Calculated and disseminated every 15 seconds during the index dissemination period. End-of-day indices: Calculated and disseminated once a day at the end of the index dissemination period.From STOXX Calculation Guide ↗ |
Real-time indices are calculated and disseminated every 15 seconds, while end-of-day indices are calculated once at the end of the dissemination period. |
| Precision | 2 | Index values: rounded to two decimal places for disseminationFrom STOXX Calculation Guide ↗ |
Published index values are rounded to two decimal places. |
| Withholding tax basis | Country-specific withholding tax rates, with company-specific exceptions when STOXX becomes aware of confirmed deviating tax treatment. | Withholding taxes are considered for all corporate actions and dividends where applicable and defined per country. If STOXX becomes aware of an exception on the taxation; e.g. in case a company confirms a deviating tax treatment the exception will be used for the index calculation.From STOXX Calculation Guide ↗ |
Withholding taxes are applied where applicable according to country, except that a confirmed company-specific deviating tax treatment is used. |
| Dividend treatment | Dividends are neglected in price indices, fully reinvested in gross-return indices, and reinvested after withholding taxes in net-return indices. | Dividend payments are invested in return indices only and neglected in price indices. Return indices are available as gross-return versions, calculated with a full dividend re-investment and as net-return investment, where dividends minus the withholding taxes are invested.From STOXX Calculation Guide ↗ |
Cash dividends affect return indices only: gross return reinvestes the full dividend and net return reinvestes the dividend less withholding tax. |
| Divisor adjustment | regular cash dividends in return indices, special cash dividends, splits and reverse splits, rights issues, stock dividends, return of capital and share consolidation, share repurchases and self-tenders, spin-offs, combined stock distributions and rights offerings, company additions and deletions, free float and share changes, mergers and takeovers | Divisor Cash distributions that are within the scope of the regular dividend policy decreases or that the company defines as a regular distribution.From STOXX Calculation Guide ↗ |
Corporate actions, additions and deletions, and free-float or share changes determine divisor adjustments according to their specific rules. |
| Market disruption rule | Limitations, including market disruption, exchange closure, data insufficiency and unforeseeable events, are assessed by the IGC, which may rectify them through temporary methodology deviations or cancel a review. | market disruption which results in the performance of the index being unable to be tracked; » events with a market impact that by their nature could reasonably not be foreseen, or » events whose impact on an index or the economic reality the index intends to represent, cannot be determined in advance.From STOXX Calculation Guide ↗ |
When market disruption or another limitation prevents normal calculation, the IGC decides whether and how to deviate from the methodology while the limitation persists. |
| Recalculation policy | Previous incorrect values or input data are amended only when needed for subsequent index calculations, and incorrect real-time values disseminated before correction are not restated; non-rule-based restatement requires committee assessment. | STOXX Ltd. amends without undue delay previous incorrect index values or input data only if they are required for the subsequent index values calculation. Incorrect real-time index values disseminated before the effective time of the correction are not restated.From STOXX Calculation Guide ↗ |
History is generally not restated for real-time errors, while committees may order restatement when rule-based correction is unavailable and replication is no longer possible. |
| M10 Governance, change policy, disclosure · 9 fields | |||
| Oversight body | Index Operations Committee, Index Management Committee, Index Governance Committee, Product Initiation Committee, Product Approval Committee, Oversight Committee, Management Board | The following committees (hereafter also referred to as “STOXX Committee(s)”) are involved in the decision-making process relevant for the indices governed by this Guide: Index Operations Committee (IOC), ▪ Index Management Committee (IMC), ▪ Index Governance Committee (IGC). ▪ Product Initiation Committee (PIC) ▪ Product Approval Committee (PAC) ▪ Oversight Committee (OC) ▪ Management Board (MB) ▪From STOXX Calculation Guide ↗ |
STOXX committees and the Management Board participate in governance and decision-making. |
| Discretion points | index termination, cessation or transition, non-rule-based calculation-error correction, Limitations, annual methodology review schedule, ad hoc methodology reviews, materiality determination, consultation-period deviations, deciding whether material changes become effective, additional consultations, extreme or exceptional market conditions, periodic methodology reviews and rule changes, control-framework review, outsourcing and incident oversight, input-data monitoring, special index-review cases, complex corporate actions, Complaints, periodic reporting, significant or critical benchmark threshold changes | The following table provides an overview of the cases in which STOXX Committees may exercise discretion regarding the index methodology, its limitations and its application:From STOXX Calculation Guide ↗ |
The guide lists committee discretion over index reviews, limitations, errors, corporate actions, consultations, materiality, cessation, oversight and exceptional market conditions. |
| Methodology review frequency | Annual, ad_hoc upon limitation | In order to ensure the index integrity is maintained, the methodology is reviewed annually and ad hoc if a Limitation has occurred.From STOXX Calculation Guide ↗ |
Methodologies are reviewed annually and on an ad hoc basis when a limitation has occurred. |
| External review | Material methodology changes require consultation with reasonably affected stakeholders; non-material changes are announced without consultation. | As described in the STOXX Changes to Methodology Policy, prior to proposed material changes to the index methodology, a consultation will be performed.From STOXX Calculation Guide ↗ |
STOXX consults subscribers and investors, publicly or on a restricted basis, before deciding material changes. |
| Material change definition | A material change includes a substantial change in index objective or represented market/economic reality, or a substantial change to calculation formulas, constituent rules, weighting rules, or corporate-action treatment that alters the index's overall concept or nature. | A change to an index methodology shall be considered material in the event of: a) a substantial change in the index objective or market/economic reality the index aims to represent (e.g. market leader components vs. mid cap companies), orFrom STOXX Calculation Guide ↗ |
Material changes alter the index objective, represented reality, or core calculation, constituent, weighting or corporate-action methodology; clarifications and application of existing principles are generally non-material. |
| Consultation procedure | Consultation is public on the STOXX website or restricted by email to known stakeholders and explains the proposed changes, rationale, questions, feedback deadline, implementation timeline, contacts and definitions; feedback is published with a summary response subject to confidentiality. | either via public consultation open to the entire market and performed via STOXX website; or, when the relevant Stakeholders are known, on a restricted basis directly on the Stakeholders e-mail address.From STOXX Calculation Guide ↗ |
STOXX conducts written stakeholder consultations, considers feedback without being bound by it, and may repeat, shorten or extend the consultation. |
| Error correction policy | Errors known before 15:30 CET are corrected without delay on the same dissemination day where feasible; errors known at or after 15:30 are aimed to be corrected by the end of the next dissemination day. | STOXX Ltd. corrects a Calculation Error without delay on the dissemination day it occurred, provided that STOXX Ltd. becomes aware of such Calculation Error before 15:30 CET of that dissemination day and insofar as technically and operationally feasible.From STOXX Calculation Guide ↗ |
Calculation errors follow a rule-based same-day or next-dissemination-day correction process depending on the 15:30 CET awareness cut-off. |
| Change announcement | STOXX website, Announcements, press releases, email notifications, data vendors, Deutsche Börse Consolidated Exchange Feed | Notifications are sent out for short-term corporate actions and dividend changes, the periodic review announcements, index calculation and production issues and errors, new index launches and general information from STOXX.From STOXX Calculation Guide ↗ |
STOXX discloses index data and changes through its website, announcements, press releases, email notifications, data vendors and CEF. |
| Cessation policy | An index cessation or transition may arise when a limitation cannot be addressed by a methodology review. | If a Limitation cannot be addressed with a methodology review, this may give rise to an index cessation or index transition.From STOXX Calculation Guide ↗ |
If a limitation cannot be resolved through methodology review, it may lead to index cessation or transition. |
Open points · 36Model-written, for reference
- 1No specific official index name, short name, index code, ISIN, vendor tickers, launch date, base date, base value or currency is stated for this family-level guide.
- 2No benchmark regulation status, market classification, size segment or factor exposure is stated.
- 3No minimum trading-history requirement is stated.
- 4No numerical liquidity screen, average daily turnover threshold, liquidity window or existing-constituent liquidity buffer is stated.
- 5No numerical minimum size screen or rank threshold is stated.
- 6No general minimum free-float percentage is stated apart from the conditional 25% Hong Kong high-shareholding-concentration relisting condition.
- 7No minimum foreign headroom requirement is stated; the text only defines foreign headroom and notes some indices may impose requirements.
- 8No minimum voting rights, minimum share price, financial-health screens or general suspension rule is stated.
- 9No general extreme-price screen is stated.
- 10No general constituent selection method, ranking metric, fixed constituent count, tie-break rule, industry neutrality rule, or reserve-list rule is stated; the country selection criteria apply to country classification rather than constituent selection.
- 11The supplied FREE FLOAT FACTORS and CAPPING FACTORS section bodies contain no substantive rules beyond their headings.
- 12No general shares-outstanding source or update schedule is stated.
- 13No explicit divisor formula or continuity rule for weight resets is stated; the document refers to the STOXX Calculation Guide.
- 14The exact default weighting scheme for all indices is not stated; the supplied text describes price-weighted indices and free-float-related mechanics for specific methodologies.
- 15No data cut-off or review reference-date rule is stated.
- 16No announcement timing or publication channel for review results is stated.
- 17No rank buffer, size-segment buffer, liquidity buffer for existing constituents, or maximum turnover per review is stated.
- 18No fast-entry rule for large new listings is stated.
- 19No ad hoc deletion triggers, replacement policy, or deletion price is stated.
- 20No share or free-float change implementation threshold is stated.
- 21No weight reset frequency for capped or factor weights is stated.
- 22The provided corporate-actions section refers to the STOXX Calculation Guide but does not specify merger, acquisition, or spin-off treatments directly.
- 23M9 does not state the index calculation formula type as divisor, chain-linked, or base-value.
- 24M9 does not identify the price source or treatment when no trade occurs.
- 25M9 does not specify real-time or end-of-day calculation frequency.
- 26M9 does not state published index-level precision.
- 27M9 does not list price, gross total return, or net total return variants.
- 28M9 does not specify withholding-tax basis or dividend treatment.
- 29M9 does not list divisor-adjustment events.
- 30M9 does not describe market-disruption handling.
- 31M9 does not describe recalculation or correction policy.
- 32The supplied sections do not provide the ISIN, Bloomberg ID BBG000QHHM60, Refinitiv code, or the SCXE ticker; the data vendor code sheet is referenced but not included.
- 33The exact Eurozone country list for EURO STOXX Small is incorporated by reference to section 4.3, which is not included.
- 34The exact number of EURO STOXX Small constituents is not fixed and depends on Eurozone representation in the parent index.
- 35The supplied text does not specify an index-specific Small rank buffer for the EURO STOXX index; its buffer table covers STOXX Europe 600, STOXX Eastern Europe 300, and STOXX USA 900 only.
- 36Not coveredM7 Buffers and turnover control: not covered by this edition
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