Euro Stoxx 50

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EURO STOXX 50 Index
EURO STOXX 50.png
EURO STOXX 50 performance between 1986 and 2012
Foundation 26 February 1998
Operator STOXX
Exchanges {{{exchanges}}}
Constituents 50
Type Mega cap
Market cap €1.893 trillion (March 2014)[1]
Weighting
method
Free-float market capitalization
Related 
indices
STOXX Europe 50
Website stoxx.com

The EURO STOXX 50 is a stock index of Eurozone stocks designed by STOXX, an index provider owned by Deutsche Börse Group and SIX Group. According to STOXX, its goal is "to provide a blue-chip representation of Supersector leaders in the Eurozone". It is made up of fifty of the largest and most liquid stocks. The index futures and options on the EURO STOXX 50, traded on Eurex, are among the most liquid such products in Europe and the world.

The EURO STOXX 50 was introduced on February 26 1998. Its composition is reviewed annually in September. The index is available in several currency (EUR, USD, CAD, GBP, JPY) and return (Price, Net Return, Gross Return) variants combinations. Calculation takes place every 15 seconds between 09:00 CET and 18:00 CET for the EUR and USD variants of any return type, while the CAD, GBP and JPY variants are available as end-of-day calculation ony (18:00 CET).


The EURO STOXX 50 Index is derived from the 19 EURO STOXX regional Supersector indices and represents the largest super-sector leaders in the Eurozone in terms of free-float market capitalization. The index captures about 60% of the free-float market capitalization of the EURO STOXX Total Market Index (TMI), which in turn covers about 95% of the free-float market capitalizaion of the represented countries.

The EURO STOXX 50 serves as the basis for single sub-indices such as the EURO STOXX 50 ex Financials, which excludes all companies assigned to the ICB code 8000. It is one of the most liquid indices for the Eurozone: an ideal underlying for financial products or for benchmarking purposes. Additionally, the index serves as an underlying for many strategy indices, such as the EURO STOXX 50 Risk Control Indices. Buffers are used to achieve the fixed number of components and to maintain stability of the indices by reducing index composition changes. Selection methodology ensures a stable and up-to-date index composition. Fast-entry and fast-exit rules ensure the index accurately represents the performance of only the biggest and most liquid stocks.


Index formulas[edit]

The indices are calculated with the Laspeyres formula (see STOXX Calculation Guide), which measures price changes against a fixed base quantity weight. Each index has a unique index divisor (D t), which is adjusted to maintain the continuity of the index’s values across changes due to corporate actions.


1. FREE-FLOAT MARKET CAPITALIZATION WEIGHTED INDEX FORMULA

The indices are calculated according to the Laspeyres formula, which measures price changes against a fixed base quantity weight:

Index_t=\frac{\displaystyle \sum_{i=1}^n (p_{it}\cdot s_{it}\cdot ff_{it}\cdot cf_{it}\cdot x_{it})}{D_{t}}=\frac{M_{t}}{D_{t}}

Where:

t = Time the index is computed

n = Number of companies in the index

pit = Price of company (i) at time (t)

sit = Number of shares of company (i) at time (t)

ffit = Free float factor of company (i) at time (t)

cfit = Weighting cap factor of company (i) at time (t)

xit = Exchange rate from local currency into index currency for company (i) at time (t)

Mt = Free-float market capitalization of the index at time (t)

Dt = Divisor of the index at time (t)


2. INDEX DIVISOR CALCULATION

Changes in weights due to corporate actions are distributed proportionally across all index components. The index divisors are calculated as follows:

D_{t+1}=D_t \cdot \frac{\displaystyle \sum_{i=1}^n (p_{it}\cdot s_{it}\cdot ff_{it}\cdot cf_{it}\cdot x_{it})\pm \Delta MC_{t+1}}{\displaystyle \sum_{i=1}^n (p_{it}\cdot s_{it}\cdot ff_{it}\cdot cf_{it}\cdot x_{it})}

Where:

ΔMCt+1 = The difference between the closing market capitalization of the index and the adjusted closing market capitalization of the index: for companies with corporate actions effective at time (t+1), the free-float market capitalization is calculated with adjusted closing prices, the new number of shares at time (t+1) and the free-float factor at time (t+1) minus the free-float market capitalization calculated with closing prices, number of shares at time (t) and free-float factor at time (t).

See also[edit]

References[edit]

  1. ^ "EURO STOXX 50 website". STOXX. Retrieved 13 March 2014. 

External links[edit]