| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| G1 Scope, precedence and principles · 3 fields | |||
| Publication location | https://www.stoxx.com/rulebooks | All guides are available for download on https://www.stoxx.com/rulebooks.Open p.3 ↗ |
All STOXX guides are available for download on the STOXX rulebooks webpage. |
| Covered indices | The guide covers reference definitions and formulas used in STOXX reports, factsheets, indices and presentations, not a specific index family. | 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.3 ↗ |
The Guide to Reference Calculations defines calculations used across STOXX reports, factsheets, indices and presentations. |
| Administrator | STOXX Ltd. | STOXX maintains and publishes several guides related to the construction, calculation and dissemination of its indices.Open p.3 ↗ |
STOXX Ltd. maintains and publishes the guide. |
| G2 Calculation and publication · 8 fields | |||
| Arithmetic returns default | Yes | Arithmetic and logarithmic returns can be calculated as shown below. Unless differently specified, arithmetic returns are the default calculation.Open p.6 ↗ |
Unless otherwise specified, arithmetic returns are the default return calculation. |
| Free float market capitalization weighting | q_i,t = s_i,t × ff_i,t × cf_i,t | Free-float market capitalization weighted index The weighting scheme reflects the free-float market share of the index constituents: 𝑞𝑖,𝑡= 𝑠𝑖,𝑡∙𝑓𝑓𝑖,𝑡∙𝑐𝑓𝑖,𝑡Open p.12 ↗ |
For free-float market-capitalization-weighted indices, index shares equal total shares multiplied by the free-float factor and capping factor. |
| Alternative weighting | q_i,t = wf_i,t × cf_i,t | Alternatively weighted index The index constituents are weighted proportionally to a metric specific to the index concept, e.g. dividend yield or inverse of volatility: 𝑞𝑖,𝑡= 𝑤𝑓𝑖,𝑡∙𝑐𝑓𝑖,𝑡Open p.12 ↗ |
For alternatively weighted indices, index shares equal the concept-specific weighting shares multiplied by the capping factor. |
| Annualized one way turnover | Annualized one-way turnover is based on quarterly review data, averaging available quarterly turnover values and scaling by four; if no preceding quarters are available, no annualized turnover is provided. | STOXX provides an annualized one-way turnover measure, based on quarterly data, i.e. on the quarterly Review events.Open p.14 ↗ |
STOXX calculates annualized one-way turnover from quarterly review events and provides none when there is no preceding quarterly data. |
| Historical dividend yield basis | 12M gross or net historical DPS converted to EUR is divided by the review cut-off share price converted to EUR; gross yield is before withholding tax and adjusted for corporate actions. | The 12M historical gross dividend yield is calculated before any applicable withholding tax. The 12M gross dividend yield is adjusted for corporate actions.Open p.17 ↗ |
The 12-month historical dividend yield uses currency-converted historical DPS divided by the currency-converted review cut-off share price, with gross yield calculated before withholding tax. |
| Formula type | Divisor | Divisor for 𝐼𝑛𝑑𝑒𝑥𝑅,𝑡 at time 𝑡 𝐷𝑡Open p.13 ↗ |
Index fundamental ratios use a divisor applied to aggregated constituent values adjusted by shares and exchange rates. |
| Return variants | PR, NTR, GTR | 𝑅 can take values 𝑃, 𝑁𝑅 and 𝐺𝑅 respectively for Price, Net Return and Gross Return variant.Open p.13 ↗ |
Index variants identified by the guide are Price, Net Return and Gross Return. |
| Dividend treatment | Dividend yield for net or gross return indices is measured as the total-return index's excess return relative to the corresponding price index. | For a Net or Gross Return index, the Dividend Yield is defined as its excess return as compared toOpen p.13 ↗ |
For net or gross return indices, dividend yield is defined as the excess return over the corresponding price index for the selected period. |
| G3 Prices and market data · 3 fields | |||
| Constituent close price definition | p_i,t is the close price of index constituent i at time t. | 𝑝𝑖,𝑡 Close price of index constituent 𝑖 at time 𝑡Open p.12 ↗ |
The general definitions identify constituent prices for fundamentals as close prices. |
| Historical dividend yield price | Closing share price at the review cut-off date, adjusted for corporate actions for yield calculation. | 𝑃𝑟𝑖𝑐𝑒𝑃𝑒𝑟𝑆ℎ𝑎𝑟𝑒𝑡 is the closing share price of the security at time 𝑡.Open p.17 ↗ |
Historical dividend yield uses the security's closing share price at the review cut-off date, adjusted for corporate actions. |
| Exchange rates | Source: WMR Closing Spot rates; Timing: 4 p.m. UK time; Purpose: Currency conversion for 12-month historical dividend yield | The FX rates are based of the WMR Closing Spot rates (4 p.m. UK time).Open p.17 ↗ |
For historical dividend yield, FX rates are WMR Closing Spot rates at 4 p.m. UK time. |
| G4 Corporate events · 8 fields | |||
| Historical dividends per share scope | Gross ordinary dividends with an official ex-date during the one-year period before the review cut-off date are considered; special dividends are excluded. | STOXX calculates the 12 months dividends per share figure within a time frame of one year prior to the review cut-off date and considers gross ordinary dividends with an official dividend ex-date within this time frame.Open p.16 ↗ |
Historical DPS includes gross ordinary dividends with official ex-dates in the one-year lookback window and excludes special dividends. |
| Ordinary dividend definition | Ordinary dividends are paid from regular profit or accumulated earnings and include cash dividends, cash-with-stock alternatives, stock-with-cash alternatives, capital returns from share capital or capital reserves, and variable ordinary dividends. | Ordinary dividends are defined as those paid from regular profit or accumulated earnings. Ordinary dividends include Cash Dividends, Cash with Stock alternative dividends and Stock with Cash alternative dividends.Open p.16 ↗ |
Ordinary dividends include regular cash, mixed cash/stock, variable, and qualifying capital-return distributions. |
| Dividend period extension | For regular payers, STOXX may extend the cut-off date up to one month beyond the last ex-date to include a regular dividend shifted slightly, but not for companies with no dividend history. | STOXX may extend the cut-off date up to one month from the last ex-date into the future to include such dividends.Open p.16 ↗ |
The DPS lookback window may be extended by up to one month for a regular dividend, except for companies with no dividend history. |
| US canada dividend annualization | For US and Canadian companies, the latest regular dividend is multiplied by the regular payment frequency; irregular and variable payments are not annualized. | For US and Canadian companies, the regular dividend payments are annualized by multiplying the latest dividend payment by the frequency of the regular payments (see case 6).Open p.16 ↗ |
US and Canadian regular dividends are annualized by payment frequency, while irregular and variable payments are added without annualization. |
| Dividend cancellation treatment | If a future dividend is cancelled before the review cut-off, dividends already paid with qualifying ex-dates are included; for annual payers, the previous annual dividend is not included. | In case of a cancellation of a future dividend announced prior to the review cut-off date, dividends already paid with an ex-date within the time frame of one year prior to the review cut-off date are includedOpen p.16 ↗ |
Dividend cancellations do not remove already-paid qualifying dividends, subject to the special rule for annual-paying companies. |
| Dividend frequency change treatment | Only dividends with official ex-dates during the one-year lookback are considered on a frequency change; when both prior annual and new semi-annual dividends fall in the window, the annual amount is divided by the new frequency and added. | If the dividend payment frequency changes, only dividends with an official dividend ex-date within a time frame of one year prior to the review cut-off date are considered.Open p.17 ↗ |
A dividend frequency change limits DPS to ex-dates in the lookback and prorates an overlapping annual dividend by the new payment frequency. |
| Historical dps example | Gross dps: 5.4; Net dps: 4.374; Currency: EUR | Case 16: Based on the dividend payment schedule as shown on the table below, the 12M historical gross DPS is computed as follows: 1.2 + 1.2 + 3 = 5.4 EUR / Net DPS: 0.972 + 0.972 + 2.43 = 4.374 EUROpen p.24 ↗ |
In the frequency-change example, the historical 12-month gross DPS totals 5.40 euros and net DPS totals 4.374 euros. |
| Adtv corporate action adjusted shares | ADTV uses available prices, traded quantities and exchange rates over the selected calendar period, with an adjustment for non-trading days processed by country. | Security ADTVs are processed by country. For each security 𝑖 belonging to the observed country 𝑐, all prices and traded quantities available during the selected calendar period are takenOpen p.14 ↗ |
Security ADTV is calculated by country from traded value records over a selected calendar period and adjusted for non-trading days. |
Open points · 12Model-written, for reference
- 1No explicit precedence rule stating whether this reference calculations guide or an index-specific methodology prevails was found.
- 2No stated list of guiding principles such as representativeness, investability, or transparency was found.
- 3No printed rulebook version label was found texts.
- 4No effective date for this guide version was found texts.
- 5No real-time calculation frequency, calculation schedule, publication precision, publication currency, or publication channels were found.
- 6No general divisor adjustment formula or list of divisor-adjusting corporate-action events was found.
- 7No rules for the price-index treatment of cash dividends, bonus issues, splits, rights issues, placements, conversions, capital reductions, mergers, spin-offs, IPOs, suspensions, risk warnings, delisting, bankruptcy, or listing transfers were found.
- 8No rules identifying the primary exchange or data vendor for security prices or the treatment of suspended or untraded securities were found.
- 9Not coveredG5 Shares, free float and weight factors: not covered by this edition
- 10Not coveredG6 Disruption, emergencies and corrections: not covered by this edition
- 11Not coveredG7 Review and constituent changes: not covered by this edition
- 12Not coveredG8 Governance, changes and termination: not covered by this edition
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