Market Structure — ISS & STOXX Glossary
About This Section
This glossary covers exchanges, trading mechanisms, settlement, free float, market capitalization, liquidity, and sector/industry classification systems. Terms are sourced from STOXX and ISS Governance official documentation.
~60 terms across multiple sources.
A
Average Daily Trading Volume (ADTV)
▰▰ 18
Quote
“Volume is the fuel that drives the market.”
— Joseph Granville, New Strategy of Daily Stock Market Timing (1976)
The mean number of shares (or contracts) traded per day over a defined look-back period, typically three months. ADTV is a core input to liquidity screening in STOXX index methodologies.
Note
ADTV tells you how busy a stock is on a normal day. Index providers like STOXX use it to decide whether a stock trades frequently enough to be included in an index — if daily volume is too thin, large investors cannot enter or exit positions without moving the price.
Related Terms
Source excerpts (5)
INDEX REVIEW Component selection: There is a minimum liquidity requirement for components: to be eligible, the 3-month average daily trading volume has to be at least EUR 1 million. Components are selected based on the free-float market capitalization and a 10% buffer rule applies for the ranking
— Stoxx Index Guide (PDF), p. 93
08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 52-Week Low 11.93 The Western Union Company Shares Outstanding (M) 568.77 MSCI ACWI: IT Services (GICS: 451020) Average daily trading volume (prior mo) 9,045.45 S&P 500 As of April 1, 2013 (All currency in USD) FINANCIAL & OPERATIONAL PERFORMANCE Historical Performance (FY) Compared to Pee
71 nuJ 71 peS 71 ceD 81 raM 81 nuJ 81 peS 81 ceD 91 raM 91 nuJ 91 peS FIGURE 8:Number of days needed to fully trade out of eUr 1bn using 100% of the average daily trading volume Source: STOXX Ltd. STOXX Ltd. 9 EURO STOXX 50® ESG INDEX – INTEGRATING SUSTAINABILITY As can be seen from Figure 8, replacing stocks using
— Stoxx Research Euro Stoxx 50%C2%Ae Esg Integrating Sustainability (Septem… (PDF), p. 8
Components pass this test if the amount to be allocated does not exceed 2.5 times D the company’s average daily trading volume (ADTV) over the last three months. 3) For components which fail the liquidity test, a weight cap of 2.5 times the company’s three- I month ADTV is applied.
— Istoxx Index Guide (PDF), p. 991
full market capitalization (EUR 100 million for current components) - No more than 10 no-trade days in 3 months preceding the cutoff date - 3-months average daily trading volume (ADTV) of at least EUR 1 million (EUR 0.75 million for current components) If there are multiple listings of the same security selected, only the one with t
Ask Price
▰▰ 13
Quote
“Every seller has a price, every buyer has a limit.”
— Anonymous
The lowest price at which a seller is willing to sell a security at a given moment. In an order-driven market, the ask price sits on the sell side of the order book and, together with the bid price, defines the bid-ask spread.
Note
The ask price is what you pay when you buy a stock at market. If a STOXX index constituent has an ask of EUR 50.02 and a bid of EUR 50.00, buyers crossing the spread will execute at EUR 50.02. Index calculations typically use last-trade or mid-point prices rather than raw ask prices, but the ask is essential for understanding transaction costs.
Related Terms
Source excerpts (5)
2𝑡 2𝑡 The post-roll index level has to be equal to the pre-roll index level minus cost the of trading. Hereby 𝑃∗ refers to either the bid price 𝑃𝐵 or ask price 𝑃𝐴 depending on whether the corresponding 𝑥𝑡 𝑥𝑡 𝑥𝑡 contract has to be bought (at ask) or sold (at bid); details at the end of this section. 𝑃𝐵 = bid
— Stoxx Strategy Guide (PDF), p. 49
e within the established spreads for Eurex Market Makers (8% or up to 16% in stressed markets) • Mid-price is calculated as simple average of bid and ask price 1. https://www.stoxx.com/document/Resources/MarketConsultation/Market_Consultation_on_proposed_changes_to_the_EURO_STOXX_50_Volatility_(VSTOXX)_famil
— Vstoxx The European Volatility Gauge 202504 (PDF), p. 5
CURRENCY RATES All real-time indices use the following currency rates: • From 09:00 to 17:30 CET, the mid between the latest real-time bid and ask prices is used as the currency rate in order to calculate the indices for the Europe region. • From 00:00 to 22:00 CET, the mid between the latest real-tim
— Dax Equity Calculation Guide 20231002 (PDF), p. 9
l; equivalent xt to number of contracts of the same futures contract held on day t-1 post roll PB = bid price, last available at 22:00:00 CET xt PA = ask price, last available at 22:00:00 CET xt Determination of the Number of Contracts The target allocation (I) and self-financing (II) constraint equations ca
— Istoxx Index Guide (PDF), p. 866
and DAX® 50 ESG) are calculated • From 09:00 to 17:30 CET, the mid between in non-EUR currencies. The intraday currency the latest real-time bid and ask prices is conversion is based on the spot rates provided by used as the currency rate in order to Refinitiv, previously Financial and Risk business of calc
— Detailed Overview Of Equity Index Calculation Changes (PDF), p. 13
Auction (Opening/Closing)
▰▰▰▰ 61
Quote
“Going once, going twice — the auction is the purest form of price discovery.”
— Anonymous
A price-determination mechanism in which buy and sell orders are collected over a defined period and then matched at a single price that maximises executable volume. Opening auctions set the first traded price of the day; closing auctions set the official closing price used by index providers.
Note
Auctions matter enormously for index funds. The closing auction price on an exchange is typically the price STOXX uses for end-of-day index calculations. On rebalancing days, massive order flow concentrates in the closing auction as trackers adjust their portfolios, sometimes representing a significant share of a stock’s daily volume.
Related Terms
Source excerpts (5)
Significant negotiation “wins” can also signify the deal makers’ competency. The comprehensiveness of the sales process (e.g., full auction, partial auction, no auction) can also affect shareholder value; ▪ Conflicts of interest: Are insiders benefiting from the transaction disproportiona
— Sri Us Voting Guidelines (PDF), p. 63
Reynolds (62 ), who retired as CFO of CBS Corp. in 2009, held a num- tor of Energynet.com, an on-line oil and gas property auction service. He ber of executive positions within Viacom Inc., CBS, and its predecessor has been a director of SandRidge since 2011. Westinghouse Electri
In the event that a current last price available before the intraday auction is price is not available by the end of the calculation used for calculation. period, the last price available is used for calculation. On chaining d
— Detailed Overview Of Equity Index Calculation Changes (PDF), p. 13
X, MDAX, TecDAX, DivDAX and DAX 50 ESG a settlement price is calculated once a day, using the prices determined in the course of the midday intra-day auction on Xetra. If no price results from the midday intra-day auction for a company, the last price available before the intraday auction is used for calcu
— Dax Equity Calculation Guide 20231002 (PDF), p. 11
carpets, wallpaper, paint, home furniture, blinds and curtains, and building Improvement Retailers materials. Providers of consumer services such as auction houses, day-care centers, dry cleaners, schools, 5377 Specialized consumer rental companies, veterinary clinics, hair salons and providers of funeral
— Guide To Industry Classifications Used By Stoxx Ltd (PDF), p. 30
B
Bear Market
▰▰▰ 29
Quote
“The bear market is the time when you find out who’s been swimming naked.”
— Warren Buffett
A sustained decline in market prices, conventionally defined as a drop of 20% or more from a recent peak. Bear markets can affect index composition reviews as falling capitalisation pushes companies below size thresholds.
Note
A bear market is the opposite of good times for equity investors. When a STOXX index enters a bear market, constituent weights shift as different stocks fall at different rates, and companies near size-tier boundaries may be reclassified from mid-cap to small-cap at the next review.
Related Terms
Source excerpts (5)
9 the index plunged more than 20% from its Feb. 19, 2020 high, entering what is popularly considered a bear market. Chart 1 shows the performances of the European benchmark, the STOXX® Global 1800 Index, STOXX® North America 600 Index and STOXX® Asia/Pacific 600 I
— European Stocks Enter Bear Market | Blog posts | STOXX
OVERVIEW DAXplus Risk Trigger Germany measures the performance of the DAX index, but limits the losses in bear markets by shifting the equity investment into a money market investment in times of extreme volatilities.
— Dax Strategy Index Guide (PDF), p. 23
And they come after a 48% total rally in the past two years. Moreover, there have been two bear markets for the Emerging Markets 1500 Index since 2011, and both were followed by sharp recoveries. A universe of diverging economies Yet while emerging mar
— Sizing Up the Emerging Markets Sell-Off | Blog posts | STOXX
This was particularly true in the case study, which covered the 2008 bear market. It can also bring down hedging costs. The use of mathematical processes in advanced risk management systems and financial technology will likely con
— A Mathematical Approach to Risk Hedging That Works | Blog posts | STOXX
GmbH. MONTHLY INDEX NEWS / June 2022 Benchmark indices Key points Stocks tumbled in June, with the STOXX® Global 1800 index sliding into a bear market (a drop larger than 20% from its recent peak), on concern the world’s major economies may be headed for a recession while central banks are fighting
Bid Price
▰▰▰ 36
Quote
“The real price of everything is the toil and trouble of acquiring it.”
— Adam Smith, The Wealth of Nations (1776)
The highest price a buyer is willing to pay for a security at a given moment. The bid price appears on the buy side of the order book and represents the best available price for a seller executing immediately.
Note
The bid price is what you receive when you sell a stock at market. For highly liquid STOXX index constituents, the bid is usually only a fraction of a cent away from the ask. For less liquid names, the gap widens, increasing implicit trading costs for index-tracking funds.
Related Terms
Source excerpts (5)
1𝑡 1𝑡 1𝑡 2𝑡 2𝑡 2𝑡 2𝑡 The post-roll index level has to be equal to the pre-roll index level minus cost the of trading. Hereby 𝑃∗ refers to either the bid price 𝑃𝐵 or ask price 𝑃𝐴 depending on whether the corresponding 𝑥𝑡 𝑥𝑡 𝑥𝑡 contract has to be bought (at ask) or sold (at bid); details at the end of this se
— Stoxx Strategy Guide (PDF), p. 49
The specific criteria to be considered in evaluating these proposals include, but not limited, to the following: ▪ Eligibility; ▪ Vesting; ▪ Bid-price; ▪ Term of options; ▪ Cost of the program and impact of the TSOs on company’s total option expense; and ▪ Option repricing policy. Amendments to exis
— Sri Us Voting Guidelines (PDF), p. 54
f future x held at the end of day t before the roll; equivalent xt to number of contracts of the same futures contract held on day t-1 post roll PB = bid price, last available at 22:00:00 CET xt PA = ask price, last available at 22:00:00 CET xt Determination of the Number of Contracts The target allocation (
— Istoxx Index Guide (PDF), p. 866
The specific criteria to be considered in evaluating these proposals include, but not limited, to the following: › Eligibility; › Vesting; › Bid-price; › Term of options; › Cost of the program and impact of the TSOs on company’s total option expense › Option repricing policy. Amendments to existing
— 2017 Sustainability Us Voting Guidelines (PDF), p. 49
The specific criteria to be considered in evaluating these proposals include, but not limited, to the following: 1) Eligibility; 2) Vesting; 3) Bid-price; 4) Term of options; 5) Cost of the program and impact of the TSOs on company’s total option expense; 6) Option repricing policy. Amendments to exist
Bid-Ask Spread
▰▰ 7
Quote
“Transaction costs are the termites of investing.”
— John C. Bogle, The Little Book of Common Sense Investing (2007)
The difference between the highest bid price and the lowest ask price for a security. The spread is a key indicator of liquidity and transaction cost; tighter spreads signal greater liquidity.
Note
The bid-ask spread is the hidden cost of trading. When STOXX evaluates whether a stock is liquid enough for index inclusion, narrow spreads complement high volume as evidence that the stock can be traded efficiently. Wider spreads increase the cost of replicating an index.
Related Terms
Source excerpts (4)
most recent among traded, mid and daily settlement prices is taken • The price cannot be below 0.5 • Both, bid and ask price, must be available • The bid-ask spread must be within the established spreads for Eurex Market Makers (8% or up to 16% in stressed markets) • Mid-price is calculated as simple average of b
— Vstoxx The European Volatility Gauge 202504 (PDF), p. 5
both the bid and ask quotes are available and b. both the bid and ask quotes are equal to or greater than 0.1 points and c. the bid-ask spread does not exceed the following thresholds: i. normal market: 8% of bid quote, with a minimum of 1.2 points and a maximum of 18 points and ii.
— Stoxx Strategy Guide (PDF), p. 28
long position in constant-maturity one-month forward, one-month implied volatilities on the H underlying EURO STOXX 50 Index taking into account the bid-ask spread in the roll procedure. The index continuously rolls over on a daily basis from the first month VSTOXX Futures contract to the second month contract.
— Istoxx Index Guide (PDF), p. 865
nts are fulfilled: 1) both the bid and ask quotes are available and 2) both the bid and ask quotes are equal to or greater than 0.1 points and 3) the bid-ask spread does not exceed the following thresholds: a. normal market: 8% of bid quote, with a minimum of 2 points and a maximum of 24 points and b.
Block Trade
▰ 1
A large privately negotiated transaction in securities that is executed outside the open order book, typically at or near the prevailing market price. Block trades are common among institutional investors managing index-tracking portfolios.
Note
Block trades allow large investors to move sizable positions without disrupting the open market. On STOXX index rebalancing days, asset managers may use block trades to efficiently adjust holdings in line with new index weights, avoiding the price impact that would result from placing the full order on the order book.
Related Terms
Source excerpts (1)
Hong Kong time to 10 p.m. Central European time. We have active liquidity providers showing prices on screen and offering block trades.” You mentioned that demand for this strategy started in Asia; is it coming from any specific type of investor? “Given the global and geopolitical i
— Q&A: New Eurex futures on STOXX Semiconductor 30 index as investment vehi…
Blue Chip
▰▰▰▰▰ 600
Quote
“Buy into a company because you want to own it, not because you want the stock to go up.”
— Warren Buffett
An informal term for shares of large, well-established, financially sound companies with a long track record of reliable performance. Blue-chip stocks are typically the core constituents of flagship indices such as the EURO STOXX 50 and DAX.
Note
Blue chips are the anchor stocks of major STOXX indices. They tend to have the largest free-float market capitalisation, the highest liquidity, and the greatest analyst coverage. The EURO STOXX 50, for example, is essentially a blue-chip index for the eurozone.
Related Terms
Source excerpts (5)
But how can they screen out the best assets in terms of quality, financial clout and commercial activity? In other words, tokens that are akin to the blue chips of the equity world. The STOXX® Digital Asset Blue Chip Index was introduced last year and provides several tools for investors in the crypto world.
— What makes a blue chip in the digital assets space? | Blog posts | STOXX
Zug, June 05, 2025 STOXX Changes composition of DAX Blue Chip Indices effective on June 23, 2025 Dear Customer, STOXX Ltd. today announced the new composition of DAX Blue Chip Indices as part of the regular revi
— Stoxx Components Changes Dax Blue Chip Indices 20250605 (PDF), p. 1
STOXX BLUE-CHIP INDICES STOXX BALKAN 50 EQUAL WEIGHT 9.5.1. OVERVIEW The STOXX Balkan 50 Equal Weight index represents blue-chip stocks from eight Balkan countries in terms of free-float market capitalization. Universe: The index universe is defined as the following eight Balka
— Stoxx Index Guide (PDF), p. 104
We are excited to be part of this trend by providing the STOXX Digital Asset Blue Chip Index to private bank Maerki Baumann. The index was co-developed with crypto-financial services provider Bitcoin Suisse.
— STOXX Digital Asset Blue Chip selected as underlying index by Swiss Private B…
with an index methodology designed to meet the robustness needs of today’s investors.” Axel Lomholt, General Manager at STOXX The STOXX Digital Asset Blue Chip Index tracks a diversified and high-quality basket of assets, utilizing crypto-native metrics to select those which serve as a reflection of the cryp
— STOXX licences first crypto Blue Chip Index, co-developed with Bitcoin Suisse…
Bull Market
▰▰▰▰ 60
Quote
“Bull markets are born on pessimism, grow on skepticism, mature on optimism, and die on euphoria.”
— Sir John Templeton
A sustained period of rising market prices, typically characterised by investor optimism and strong economic fundamentals. Bull markets can broaden index eligible universes as more companies exceed minimum capitalisation thresholds.
Note
A bull market is when equities are broadly climbing. During bull markets, STOXX indices tend to see more candidates meeting inclusion thresholds at review dates, and the selection process becomes more about ranking than about finding stocks that clear minimum bars.
Related Terms
Source excerpts (5)
Globally, passive assets gained almost 18% a year between 2014 and 2018, while active pools grew by 9.2%. As we travel the ninth year of the current bull market, the question is whether passive strategies will continue on this trajectory and what factors and markets will drive flows. Leap in ETF assets in rec
— Passive Strategies and the Ageing Bull Market | Blog posts | STOXX
That compares to a 6.4% retreat for the iSTOXX American Century Value gauge. With interest rates rising, trade tensions mounting, and an aging bull market, many investors could be eyeing a style strategy based on growth and value.
— An Enhanced Value Strategy | Blog posts | STOXX
16 its highest level ever (Chart 2). Chart 2 – DAX options Volatility in decline amid bull market The volatility spike came right on the heels of deep calm in equity markets.
— VSTOXX Jumps to Near Record Amid Unprecedented Sentiment Deterioration | STOXX
The above discussed vote outcomes, all of which occurred during the heart of the current bull market, do not support the notion that shareholders will become more critical of equity plan proposals if the bull market progresses. Comments on Proposed P
— Meridian Compensation Partners (PDF), p. 2
As a company would not shorten the term of an option to rein in compensation during, for example, a commodities bull market run, it is not expected to extend the term during a market downturn when shareholders suffer a decrease in share value. Dilution and Burn Rate Assess
C
Country Classification
▰▰▰▰ 108
The assignment of a security or market to a specific country based on its primary listing, domicile of incorporation, or principal place of business. STOXX uses country classification to determine index eligibility and regional index membership.
Note
Country classification answers the question “Where does this company belong?” A firm incorporated in Luxembourg but primarily listed in Frankfurt may be classified differently depending on the index provider’s rules. STOXX relies on country classification for its regional and single-country index families (e.g., STOXX Europe 600 vs. DAX).
Related Terms
Source excerpts (5)
r of Deutsche Boerse Group’s index business, and a global provider of innovative and tradable index concepts, today announced that it has changed its Country Classification model. As part of its continuous improvement process, STOXX has reviewed the existing Country Classification model.
— STOXX Changes Country Classification Model | Press releases | STOXX
019: Addition of STOXX Benchmark ESG-X Indices July 2019: Addition of EURO STOXX 50 ESG Index July 2019 (2): Clarification of treatment of changes in country classification or listing in section 5.7 July 2019 (3): Methodology update – Universe change for the STOXX Sub Balkan 30 Index August 2019: Addition of STOXX Global
— Stoxx Index Guide (PDF), p. 14
COVERAGE STOXX WORLD COUNTRY AND REGIONAL CLASSIFICATIONS 3.3.1. OVERVIEW The STOXX WORLD country classification model relies on a rules-based methodology. The criteria for the classification of a country as a developed, emerging or frontier market include macro
— Stoxx World Equity Index Guide (PDF), p. 8
trol of corruption and regulatory quality, and we review that restrictions on foreign investments fall within certain limits. Exhibit 2 – STOXX World country classification framework Finally, Serkan, what makes the STOXX World indices appealing to a modern-day global investor? In summary, the STOXX World indices offer fl
— Q&A: Building customized, sustainable portfolios based on the STOXX World…
The top 10 largest securities that are not already part R 209 The developed markets of Eurozone regional classification is based on the latest STOXX Country Classification A S T R U C iSTOXX® METHODOLOGY GUIDE 1023/1024 144. EURO iSTOXX 50 GLOBAL AI INFRASTRUCTURE TILTED INDEX of the EURO STOXX 50 Index are
Circuit Breaker
▰ 1
Quote
“Circuit breakers were born from the 1987 crash — the market’s way of saying ‘everyone take a breath.‘”
— Nicholas Brady, Report of the Presidential Task Force on Market Mechanisms (1988)
An automatic mechanism that temporarily halts or restricts trading on an exchange when prices move beyond predefined thresholds within a short period. Circuit breakers are designed to prevent panic-driven cascading sell-offs and give participants time to absorb information.
Note
Circuit breakers are the emergency brakes of a stock exchange. If a STOXX index constituent drops (or rises) too fast, the exchange can trigger a volatility interruption that pauses trading for a few minutes. During market-wide stress events, broader circuit breakers may halt all trading on an exchange simultaneously.
Related Terms
Source excerpts (1)
The metal is a key material across the entire chain of the electricity grid, including conductor lines, cables, transformers and circuit breakers. Power grids are already competing with factories, electric vehicles, electronics and clean energy applications for copper. BloombergNEF has forecas
— Q&A with BlackRock’s Moufti: AI as driver for ‘picks and shovels’ and cop…
Clearing (Market)
▰▰▰▰▰▰▰ 18,212
The post-trade process of reconciling and confirming the obligations of buyer and seller after a trade is executed, but before final settlement. In Europe, central counterparties (CCPs) such as Eurex Clearing interpose themselves between trading parties to manage counterparty risk.
Note
Clearing sits between trade execution and settlement. When a STOXX index futures contract is traded on Eurex, Eurex Clearing steps in as the buyer to every seller and the seller to every buyer, guaranteeing that both sides will fulfil their obligations even if one party defaults.
Related Terms
Source excerpts (5)
OVERVIEW The STOXX Balkan 50 Equal Weight index represents blue-chip stocks from eight Balkan countries in terms of free-float market capitalization. Universe: The index universe is defined as the following eight Balkan countries: Bulgaria, Croatia, Macedonia, Romania, Serbia, Slove
— Stoxx Index Guide (PDF), p. 104
This means that exchange rate fluctuations could have a negative or positive effect on returns. LIQUIDITY RISK – There is a risk associated with the markets to which the ETF is exposed. The price and the value of investments are linked to the liquidity risk of the underlying index components.
— Amundi and STOXX collaborate to launch Amundi ETF investing in the European d…
SVT can be expressed as both a dollar value and as a percentage of a company’s market value. Overall, the reasonableness of the cost of an equity plan is determined by comparing its SVT to an industry-specific, market value based allow
— Isscanadiancompensationfaqs (PDF), p. 18
Given this feedback, a double-triggered overboarding policy is deemed appropriate for the Canadian market. 5 “Overboarded” is defined as: a CEO of a public company who sits on more than 2 outside public company boards in addition to the company of w
— 2014Canadianpolicyupdates (PDF), p. 11
culating companies’ ADTV and market capitalization is the last trading day of the month prior to the month in which the index review takes place. The market capitalization used for selection is calculated as the average of the 20 trading days ending on the last trading day before the review month. 19 Amer
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 89
Correction
▰▰▰▰ 130
Quote
“A correction is a euphemism for losing a lot of money rapidly.”
— Nassim Nicholas Taleb, The Black Swan (2007)
A decline of 10% or more from a recent peak in a stock, index, or market, but less than the 20% threshold that defines a bear market. Corrections are considered normal, periodic resets within longer-term uptrends.
Note
A correction is the market taking a breather. For a STOXX index, a 10-15% pullback may not trigger any special index action, but it can shift the relative rankings of constituents and affect which stocks are near size-tier boundaries at the next review.
Related Terms
Source excerpts (5)
Incorrect real-time index values disseminated before the effective time of the correction are not restated. 4.2.2. NON RULE-BASED CORRECTION If the above-outlined rule-based error correction cannot be applied, relevant STOXX Committees assesses without undue delay: ▪ If and how the calcula
— Stoxx Digital Asset Guide (PDF), p. 17
25, 2021 DAX EQUITY INDEX METHODOLOGY GUIDE 109/120 15. APPENDIX Published Version 11.1.1 Dec. 22, 2020 − Correction of the tables in section 4.1 “Equity Index Rankings” Effective − Correction of references to section 11.3 “Sector Classification” Feb.
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 109
Please see ISS Review Process for India Issuers for this process. Proxy Alerts are used to communicate updates, adjournments, corrections and any vote recommendation changes to our clients. A proxy Alert is structured as an overlay on the original report; the first few pages show the u
— FAQs regarding ISS Proxy Research | ISS
DD File Name: DAXIndexReviewCalendar_YYYYMMDD With YYYYMMDD being the first trading day of the following month, or YYYYMMDD will be the date of the correction, in case of correction or addition of new indices intramonth for the STOXXIndexReviewCalendar/ DAXIndexReviewCalendar of the current month. File Ty
— Index Files Guide 20230619 (PDF), p. 75
TOXX Short-Term Futures Investable • November 2017 (2): Addition of index settlement value calculation for RVSTOXX (section 11) • March 2018: VSTOXX: Correction of non-visible characters and harmonization of formula notations in section 8.5; V-VSTOXX: correction of section’s 9.2.3 header and text to properly
Crash
▰▰ 10
Quote
“In a crisis, the weights of losses crush all rational calculations.”
— John Kenneth Galbraith, The Great Crash 1929 (1955)
A sudden, severe, and often unexpected decline in market prices, typically exceeding 20% over days or weeks. Market crashes stress-test index methodologies, particularly fast-entry and fast-exit rules, circuit breakers, and corporate action handling.
Note
A crash is the extreme scenario that index providers must plan for. STOXX methodologies include provisions for extraordinary events — such as suspensions, delistings, or exchange closures — that can accompany crashes. Historical crashes (1987, 2008, 2020) have shaped how modern index rules handle stressed markets.
Related Terms
Source excerpts (5)
Therefore the allocation to financial companies was minimized and the active allocation was negative years before the crash, as can be seen from Figures 9 and 10. In fact, looking at Figure 10, we see that the allocation to financials was at its absolute minimum when the f
— Stoxx Minvar Paper (PDF), p. 19
Driving optimism are hopes that the economy may rebound in a strong, or V-shaped, recovery after crashing since March. Europe led gains in the month. The pan-European STOXX® Europe 600 Index rose 3.1% when measured in euros, while the Eurozone’s EURO S
— Stocks Post Best Quarter Since 2009 in June on Economic Recovery Hopes | Blog…
The TIV spread can bridge the gap in helping understand the profile of historical returns without a crash course in statistics, balancing simplicity and insight.” We invite you to download the whitepaper to read about the calculation behind the TIV spread
— Measuring the difficulty of market timing | Blog posts | STOXX
The market is dominated by retail investors and has therefore been susceptible to bouts of volatility, in fact crashing in 2015.3 International investors can access it under special arrangements such as the Stock Connect program. Exhibit 1 – China A shares outperfor
— Chinese New Year Ushers in Celebration; Investors Have Plenty of Reasons to J…
rk lost 55% between July 2007 and March 2009 amid the fallout from the global banking crisis, and fell 39% in less than one month during the COVID-19 crash in February/March 2020. Those instances of turbulence were eventually left behind, and the DAX index has powered ahead each time. Different landscape
— DAX: 36 years tracking the German stock market’s eventful run | Blog posts |…
Custodian
▰▰▰▰ 78
Quote
“In trust is the beginning of all commerce.”
— Anonymous
A financial institution that holds and safeguards securities on behalf of investors. Custodians maintain records of ownership, process corporate actions, and facilitate settlement. In an index context, custodians report holdings data that feeds into free-float and ownership analysis.
Note
Custodians are the vaults of the financial world. When ISS or STOXX needs to determine who owns a company’s shares (to calculate free float or identify strategic holdings), custodian records and regulatory filings are key data sources. Global custodians like Clearstream (a Deutsche Borse Group subsidiary) are critical infrastructure.
Related Terms
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The new offering is the latest in ISS’ suite of outsourced solutions designed to assist custodians and intermediaries in meeting requirements under the EU Shareholder Rights Directive II (SRD II), the deadline for which is September 3. “ISS brings
— ISS Launches GPD Shareholder Identification Service Ahead of SRD II Deadline …
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— Intermediary Outsource Solutions | ISS
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— SRD II Compliant Global Proxy Distribution Services | ISS Exchange
effective, individualized service their clients demand. This one hour session covers: - An introduction to ISS and its range of premier solutions for custodians and intermediaries; - An update on recent governance initiatives affecting your clients; - The latest ISS product enhancements designed to help you
— Corp Governance Solutions for Custodians and Intermediaries
STRATEGIC SHAREHOLDINGS The “Strategic Shareholdings” are defined hereafter and split into 3 categories: Individuals & Employees, Entities, and Custodian, Nominees & Trustees Holdings. Shares held in lockup agreements are considered as “Strategic Shareholdings” if publicly available and if their combin
D
Depositary Receipt
▰▰▰▰ 77
A negotiable financial instrument issued by a depositary bank that represents shares in a foreign company. Common forms include American Depositary Receipts (ADRs) and Global Depositary Receipts (GDRs).
Note
A depositary receipt lets investors trade foreign shares on their home exchange without dealing with currency conversion or foreign settlement systems directly. STOXX indices may include or exclude depositary receipts depending on whether the underlying ordinary shares are already represented, to avoid double-counting.
Related Terms
Source excerpts (5)
Global Depositary Receipt (GDR) security is directly replicated from the underlying security. Shares held by Depository Bank to back the issuance of Depositary Receipts (such as ADRs and GDRs), are not classified as “Strategic Shareholdings”. 5.12.2.
— Stoxx Index Guide (PDF), p. 37
The index includes the components of the STOXX Emerging Markets Index without the Indian local listings; and additional Indian depositary receipts, that aim to compensate for the removed Indian local listings. Universe: The index universe is the STOXX Emerging Markets Index and the Indian compo
— Istoxx Index Guide (PDF), p. 736
tp://www.stoxx.com/indices/rulebooks.html STOXX WORLD EQUITY INDEX METHODOLOGY GUIDE 19/37 4. INDEX CHARACTERISTICS A number of shares for Depositary Receipt (DR) security is assigned by dividing the number of ordinary shares with the Depositary Receipt (DR) ratio. The number of shares is reviewed on a qua
— Stoxx World Equity Index Guide (PDF), p. 19
Taft- Hartley Advisory Services will vote AGAINST the introduction of depositary receipts and priority shares. Taft Hartley Advisory Services’ guidelines 2013 Taft-Hartley International Proxy Voting Guidelines - 58 - based on AFL-CIO prox
— 2013Isstafthartleyadvisoryservicesinternationalguidelines (PDF), p. 58
s of the plan, and where we deem it to be detrimental to shareholder value, we will consider a vote against the company’s representative director(s). Depositary Receipts and Priority Shares (The Netherlands) Depositary receipts are an especially common antitakeover defense among large Dutch companies.
— Taft Hartley Advisory Services International Guidelines (PDF), p. 45
Dual Listing
▰ 3
The admission of a company’s shares to trading on two or more stock exchanges, either through ordinary shares or depositary receipts. Dual listings can affect free-float calculations and liquidity aggregation in index construction.
Note
When a company lists on multiple exchanges, index providers must decide which listing counts as the “primary” one and how to aggregate trading volume. STOXX generally selects a single primary listing for index inclusion to prevent the same economic exposure from appearing twice.
Related Terms
Source excerpts (2)
ing for more than 10% of the STOXX Calendar trading days are excluded Min Number of Price Observations = Number of Trading Days × 0.9 Period Period - Dual listing: If a company is represented in the eligible universe by multiple listings, only the most liquid class is retained. If information for a security is
— Istoxx Index Guide (PDF), p. 728
value spread between two related securities. Each one of 42 indices1 in the family consists of two types of stock issued by one same company, such as dual listings or different share classes. Eurex launched futures on 22 of the indices at the end of June and plans to introduce eight more contracts early next ye
— Spread Ratio Indices Help Trade Relative Value Between Related Securities | B…
Eurex
▰▰▰▰▰ 635
Quote
“A marketplace is more than a place; it is a set of rules.”
— Anonymous
One of the world’s largest derivatives exchanges, operated by Deutsche Borse Group. Eurex provides a venue for trading futures and options on STOXX and DAX indices, individual equities, fixed income, and other asset classes.
Note
Eurex is where many STOXX index derivatives trade. If an asset manager wants to hedge exposure to the EURO STOXX 50, the futures and options contracts for that index are listed on Eurex. It plays a central role in European derivatives markets.
Related Terms
Source excerpts (5)
Qontigo Randolf Roth, Member of the Eurex Executive Board: “Sector derivatives are continuously thriving and growing. It is therefore important that Eurex’s sector offering allows market participants to gain exposure and manage risk across all sectors, including those newly introduced.” Updates and furt
— Qontigo And Eurex Respond To New Industry Classification | Press releases | S…
For ETRFs, these are calculated on a net-of-withholding-tax basis – using STOXX tax rates. The EDI rules also replicate the standard Eurex corporate actions methodology used for with respect to the underlying equity.” Finally, Stuart, what can we expect from the TRFs segment in the next
— Q&A with Eurex: Switching OTC swaps to a capital-efficient alternative un…
EURO STOXX 50 index Daily Options Michael: “This launch represents an initial step in establishing a range of shorter-dated options. As a first step, Eurex and the clients established the necessary infrastructure. Acceptance post-launch has been impressive with regards to both volume and the diverse clie
— 25 years forging better markets: Eurex and STOXX celebrate unique partnership…
In February 2020, sustainable investing will reach a new chapter when Eurex lists futures on the STOXX® USA 500 ESG-X Index. The STOXX USA 500 ESG-X Index is a benchmark for US equities that incorporates basic responsible exc
— Eurex Launches Futures on STOXX USA 500 ESG-X | Blog posts | STOXX
The inclusion of the Multi-Factor index represents an expansion into the quantitative investment strategy (QIS) index space. A direction that we at Eurex already looked towards with plans for systematic and custom index listings originating from our own members.” Hamish: “Investors continue to recogniz
— Q&A: What do Eurex’s new futures on STOXX Factor Indices offer? | Blog po…
Exchange
▰▰▰▰▰▰ 2,974
Quote
“The stock exchange is the one institution that exists to discover prices and allocate capital, and it does so through the mechanism of continuous trading.”
— Burton Malkiel, A Random Walk Down Wall Street (1973)
A regulated marketplace where securities, derivatives, commodities, or other financial instruments are bought and sold under a defined set of rules. In STOXX methodologies, only securities listed on eligible exchanges qualify for index inclusion.
Note
An exchange provides the infrastructure — order books, price discovery, clearing links — that makes orderly trading possible. STOXX maintains a list of eligible exchanges for each index family; a stock must be listed on one of those exchanges to be considered.
Related Terms
Source excerpts (5)
, and flawlessly execute your mandates, season after proxy season. With rich content, intuitive yet tailored workflows, and secure technologies, ProxyExchange is the preferred platform for the world’s leading institutional investors. DESIGN REIMAGINED ProxyExchange provides unmatched control, visibility, an
Bridging the governance community. An industry first, Governance Exchange provides subscribing members with the latest news and developments, in-depth reports on governance and compensation trends globally, frequent educati
With an easy-to-use library of over 30 report templates from vote history to accounts to board statistics and many more, ProxyExchange Reporting Module allows you to tell your stewardship story. Templates can be customized and then saved, scheduled, and shared. The videos below focus
— ProxyExchange Reporting Module | ISS
ISS EXCHANGE Enabling Proxy Voting. Anytime, Anywhere. Provide your clients with a simplified, mobile approach to proxy voting ISS Exchange solves the need for cu
— SRD II Compliant Global Proxy Distribution Services | ISS Exchange
Navigating the $2.3 Billion Foreign Exchange Benchmark Rate Antitrust Settlement As the market leader in helping institutional investors and pension funds maximize recoveries, Securities Class A
— Navigating the $2.3 Billion Foreign Exchange Benchmark Rate Antitrust Settlem…
Equity
▰▰▰▰▰▰▰ 9,873
Quote
“An equity share is a claim on real assets and future earnings — it is ownership in its purest financial form.”
— Benjamin Graham & David Dodd, Security Analysis (1934)
An ownership interest in a company, represented by shares of stock. Equity holders have a residual claim on the company’s assets after all debts are paid. STOXX equity indices track baskets of equity securities across regions, sectors, and size segments.
Note
Equity is the foundational asset class that STOXX indices measure. When someone says “equity index,” they mean an index composed of ownership stakes in companies — as opposed to fixed-income, commodity, or other asset classes. The STOXX index family is predominantly an equity index franchise.
Related Terms
Source excerpts (5)
How are performance-based equity awards defined? For the purposes of the CEO Performance-based Equity Factor, which assesses whether the CEO has received performance- based equity, a performance-based equity award is defined as any form of equity awar
— Canadian Equity Plan Scorecard Faq (PDF), p. 15
ADROOM (FHR) Foreign headroom (FHR) is defined as FHR = (foreign ownership limit – foreign holdings) / foreign ownership limit STOXX WORLD EQUITY INDEX METHODOLOGY GUIDE 20/37 4. INDEX CHARACTERISTICS If the foreign ownership limit is not strictly positive, then the FHR is set equal to zero. In
— Stoxx World Equity Index Guide (PDF), p. 20
Equity markets fell by 16% and took six months to recover. In a recent article, we analyzed what would happen to equity and multi-asset portfolios should a similar event unfold today. As long as a default can be avoided, it seems that for bond investors, AA+ is the new
— Amid a potential US default, equity investors’ message to Congress is, ‘Bette…
A company’s 3-year burn rate relative to that benchmark is a factor in the Equity Plan Scorecard. 14. How does ISS calculate the burn rate and annual stock price volatility? A company’s adjusted annual burn rate is calculated as fo
— 1 U.S. Equity Compensation Plans Faq Dec 2016 (PDF), p. 10
For each contract, STOXX provides an Equity Dividend Index (EDI) that reflects the total net-of-tax dividend per share paid by the underlying equity from a base date[1] and is used in the ETRF’s final settlement price. An ETRF offers a collateral-efficient, fully fungible and listed, synthetic rep
— Eurex, STOXX expand Equity and Basket Total Return Futures collaboration with…
F
Frankfurt Stock Exchange
▰▰▰▰▰ 206
Quote
“Whoever controls the marketplace controls the economy.”
— Anonymous
Germany’s principal securities exchange (Frankfurter Wertpapierborse), operated by Deutsche Borse Group. It is one of the largest exchanges in Europe by market capitalisation and the home exchange of the DAX index.
Note
Frankfurt Stock Exchange is the venue where most German blue-chip stocks are traded. Because Deutsche Borse Group also owns the STOXX index business (through Qontigo), there is a close operational relationship between the exchange and the indices that reference stocks listed there.
Related Terms
Source excerpts (5)
27 following the gas and engineering company’s announcement that it will delist its shares from the Frankfurt Stock Exchange (FSE) around March 1. A listing on the Frankfurt Stock Exchange’s Regulated Market is a basic criterion for inclusion in the German index, as detaile
— Linde to be removed from Germany’s DAX benchmark, STOXX indices on Feb. 27 | …
8 € B 4 The DAX is Germany’s main . 6 6 B € stock market index, tracking 4 . 3 B the 40 largest publicly 5 9 B € . 8 traded companies on the 5 4 . 4 Frankfurt Stock Exchange. € 4 € Source: STOXX. Data as of April 30th, 2025. DAX Valuation Is A forward price-to-earnings (P/E) ratio shows how a company’s current stock price
— Stoxx Infographic Dax 20250701 (PDF), p. 1
UBS Asset Management is the first firm to use the index as underlying for an investment product, an ETF that is listed on the Frankfurt Stock Exchange as of today. Two-step process for a combined strategy The EURO STOXX 50 ESG Index is made up of all EURO STOXX 50 components minus the 10% ESG laggar
— EURO STOXX 50 ESG Index – The Eurozone’s Sustainable Benchmark | Blog posts |…
OVERVIEW The DAXplus Family indices measure the performance of founder-dominated companies (“family enterprises”) that are listed on the Frankfurt Stock Exchange (FSE). The DAXplus Family was developed in cooperation with the Center for Entrepreneurial and Financial Studies (CEFS) at the Technical University o
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 85
The products will be distributed starting February 15 and will also be listed on the Frankfurt Stock Exchange (FSE) in April. The DAX 30 ESG is a benchmark of Germany’s large-caps with the highest ESG scores.
— DZ BANK to issue certificates on new DAX ESG benchmark | Blog posts | STOXX
Free Float
▰▰▰▰▰▰ 1,740
Quote
“The measure of a market is how freely its shares can change hands.”
— Anonymous
The proportion of a company’s total issued shares that are available for public trading, excluding strategic holdings, government stakes, treasury shares, and other locked-up shares. STOXX uses free-float factors to weight index constituents.
Note
Free float answers the question “How much of this company can the market actually buy and sell?” A company with 1 billion shares outstanding but 600 million held by a founding family has a free float of roughly 40%. STOXX multiplies market capitalisation by the free-float factor so that index weights reflect investable reality.
Related Terms
Source excerpts (5)
@qontigo.com Index Inquiries: Andreas von Brevern +49 (0) 69 211 14284 Due to the acquisition of Siltronic AG (DE000WAF3001) by GlobalWafers GmbH the free float of Siltronic AG changed by more than 10 percentage points. According to the Guide to the DAX Equity Indices, section 5.1.4., the company’s free float
— Extraordinary free float adjustment in MDAX and TecDAX - Feb. 15, 2021 | Pres…
The capping factor is defined as Capping factor = foreign restrictions adjusted free float / free float. STOXX INDEX METHODOLOGY GUIDE 42/639 5. INDEX CHARACTERISTICS By construction capping factor = 1 for securities without a fo
— Stoxx Index Guide (PDF), p. 41
LDINGS Shares of a company that are not assigned to the free float are known as “fixed holdings.” These cannot be freely traded by definition. 5.8.2. FREE FLOAT The term “free float” refers to freely tradable shares of a company that are not in fixed ownership. For all indices referenced in this guide except
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 18
This index represents the performance of the next 30 components from the EURO STOXX universe based on free-float market capitalization, after the exclusion of the current components of the EURO STOXX 50. Universe: The universe is defined as the composition of th
— Istoxx Index Guide (PDF), p. 395
Streubesitzanteil der Siltronic AG um mehr als 10 Prozentpunkte. Somit wird nach den Regeln des „Guide to the DAX Equity Indices“, Kapitel 5.1.4, der Free Float des Unternehmens in den Indizes von derzeit 43,08 Prozent auf 29,73 Prozent angepasst. Medienkontakt Andreas von Brevern +49 (0) 69 211 14284 Diese Ä
— Außerplanmäßige Free Float-Anpassung in MDAX und TecDAX | Press releases | STOXX
Free-Float Shares
▰ 5
The absolute number of shares classified as freely tradable in the open market, calculated as total shares outstanding minus restricted or strategically held shares.
Note
While free float is expressed as a percentage, free-float shares give you the actual share count. STOXX multiplies a stock’s price by its free-float shares to arrive at the free-float market capitalisation used for index weighting.
Related Terms
Source excerpts (4)
The annualized turnover ratio is defined as the median value of the daily traded volume10 to the FOR adjusted free-float shares ratio over the last 12 months prior to the cut-off date, multiplied by 25211.
— Stoxx World Equity Index Guide (PDF), p. 29
thin the first 40% pass the relative ADTV 6M screen. The annualized Turnover Ratio is defined as the median value of the daily traded volume to the free-float shares ratio over a specific period (the last 6 months or 12 months), multiplied by 252. A 5% buffer rule is applied to reduce the number of index component
— Stoxx Index Guide (PDF), p. 639
thin the first 40% pass the relative ADTV 6M screen. The annualized Turnover Ratio is defined as the median value of the daily traded volume to the free-float shares ratio over a specific period (the last 6 months or 12 months), multiplied by 252. A 5% buffer rule is applied to reduce the number of index component
— Stoxx Index Guide (PDF), p. 639
zed turnover ratio greater or equal to 10% are selected. The annualized turnover ratio is defined as the median value of the daily traded volume X to free-float shares ratio over the last 12 months, multiplied by 252. - Securities with a price greater than EUR 10’000 are excluded. - Next, after sorting securities by
Float
▰▰▰▰▰▰ 1,789
The total number of a company’s shares that are available for trading by the general public, often used interchangeably with free float. Float excludes restricted shares, insider holdings, and other locked-up blocks.
Note
Float is the everyday shorthand for free float. When traders say “the float is tight,” they mean there are relatively few shares available for public trading, which can amplify price moves. STOXX formalises this concept through its free-float factor, but in casual market discussion, “float” is the term you will hear most often.
Related Terms
Source excerpts (5)
(Zug, 9 November 2021) – Qontigo’s global index provider STOXX Ltd. has announced an unscheduled adjustment to the MDAX index. The free float of Zooplus AG changed by more than 10 percentage points. According to the Guide to the DAX Equity Indices, section 5.1.4., the company’s free float w
— Extraordinary free float adjustment in MDAX - Nov. 9, 2021 | Press releases |…
The capping factor is defined as Capping factor = foreign restrictions adjusted free float / free float. STOXX INDEX METHODOLOGY GUIDE 42/639 5. INDEX CHARACTERISTICS By construction capping factor = 1 for securities without a fo
— Stoxx Index Guide (PDF), p. 41
S Shares of a company that are not assigned to the free float are known as “fixed holdings.” These cannot be freely traded by definition. 5.8.2. FREE FLOAT The term “free float” refers to freely tradable shares of a company that are not in fixed ownership. For all indices referenced in this guide except
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 18
TURNOVER RATIO The annualized turnover ratio is defined as the median value of the daily traded volume to the free- float shares ratio over the previous 12 months, multiplied by 252. Index methodologies determine whether the free float should be without the adjustment fo
— Stoxx World Equity Index Guide (PDF), p. 17
XX World equity universe. mid-cap indices cover 85% of the investable universe. The weight of each component in the indices is determined by the free-float market 3 Emerging markets include Gulf Cooperation Countries capitalization.
G
GICS (Global Industry Classification Standard)
▰▰▰▰▰ 896
Quote
“To classify is to understand.”
— Carl Linnaeus (adapted)
A four-tiered sector classification system developed by MSCI and S&P Dow Jones Indices. GICS organises companies into 11 sectors, 25 industry groups, 74 industries, and 163 sub-industries. Some STOXX indices reference GICS for sector-based analysis and comparison.
Note
GICS is the industry taxonomy you hear about most often in the context of S&P and MSCI indices. Although STOXX primarily uses ICB (Industry Classification Benchmark), GICS is relevant when comparing STOXX indices against S&P or MSCI benchmarks or when investors map holdings across classification systems.
Related Terms
Source excerpts (5)
Sustained poor performance is measured by one-, three-, and five-year total shareholder returns in the bottom half of a company’s four-digit GICS industry group (Russell 3000 1 A “new nominee” is a director who is being presented for election by shareholders for the first time.
— Sustainability Us Voting Guidelines (PDF), p. 12
ult means that the CEO pay rank is below the average financial performance rank. Note that the FPA will not be applicable to subject companies in the GICS industry 601010 Real Estate Investment Trusts (REITs). Also, the methodology for EVA metrics excludes financial periods in which the company’s revenu
— Canada Executive Compensation Faq (PDF), p. 10
This FAQ is designed to answer the most frequently asked questions regarding how the adjustment to GICS structure will impact ISS analyses, and when those changes will be effective. Procedural Questions 1.
9 27. We do not use peer groups in our pay-setting process. We do operate in business lines beyond our primary GICS and would like to provide a list of representative peers as an input to ISS’ peer selection methodology.
— Us Peer Group Faq (PDF), p. 2
9 20. What is the minimum number of peers the model requires? … 9 21. What are GICS codes? Who can a company contact if it disagrees with the GICS classification it has been assigned? …
H
Halt (Trading)
▰▰▰▰▰▰ 2,573
Quote
“When you halt trading, you give the market time to digest information rather than react in panic.”
— SEC Chairman Arthur Levitt, Take On the Street (2002)
A temporary suspension of trading in a particular security or across an entire exchange, imposed by the exchange or a regulator. Trading halts are triggered by pending news, order imbalances, or regulatory concerns.
Note
A trading halt freezes all order matching for a security. When a STOXX index constituent is halted, the index calculator typically uses the last traded price until trading resumes. Prolonged halts may trigger special index treatment, such as using fair-value estimates or removing the stock if the halt extends beyond a defined period.
Related Terms
Source excerpts (5)
WAP) is defined as the sum of the product of execution price and volume of each trade for a stock during the calculation period, divided by the total trading volume of that stock during the calculation period. DAX EQUITY INDEX METHODOLOGY GUIDE 23/120 5. STOCK CHARACTERISTICS 5.12.1.
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 22
“Ineligible” refers to China A shares that are not eligible to “both buy and sell “on the Shanghai Connect Northbound Trading or on the Shenzhen Connect Northbound Trading schemes of the Stock Exchange of Hong-Kong. Fast entry: Not applicable. Spin-offs: Spin-offs are not ad
— Stoxx Index Guide (PDF), p. 427
Performance is measured across a 3-year or a 2-year period (depending on trading history and data availability), and the subject company is ranked against its ISS-selected peers across each of the applicable metrics.
— Pay For Performance Mechanics Dec 2016 (PDF), p. 11
TOXX 50 PROTECTIVE PUT 80% 18M 6/3 The Price version of the index combines the EURO STOXX 50 (Price) Index and a EURO STOXX 50 put option. On regular trading days the index is calculated as follows: ESTX50(𝑃) +𝑃 PP(𝑃) = 𝑡 𝑡 ⋅PP(𝑃) 𝑡 ESTX50(𝑃) +𝑃 ROLL ROLL 0 On rolling days the index is calculated as follow
— Stoxx Strategy Guide (PDF), p. 16
14, the short end of the VSTOXX® Index futures’ term structure curve has been in backwardation every trading day since Feb. 24. Backwardation may be defined in many ways. In this case, backwardation is defined as comparing spot VSTOXX to the first three mont
— VSTOXX Backwardation Streaks and Short Volatility Trades | STOXX
I
ICB (Industry Classification Benchmark)
▰▰▰▰▰▰ 1,065
A comprehensive classification system maintained by FTSE Russell that categorises companies into 11 industries, 20 supersectors, 45 sectors, and 173 subsectors. STOXX uses ICB as its primary sector classification framework for index construction and sector indices.
Note
ICB is the classification backbone behind STOXX sector indices. When you see a “STOXX Europe 600 Banks” index, the constituent selection relies on ICB codes to identify which companies are classified as banks. ICB was originally developed by Dow Jones and FTSE and is now maintained by FTSE Russell.
Related Terms
Source excerpts (5)
OXX 50, 𝑖 as of the cutoff date N number of constituents in the EURO iSTOXX Megatrends Select 30 Index (30) b. Industry For each industry j of the 11 ICB Industries, a maximum number of components is calculated as follows and rounded to the nearest integer: L =(SX5E +10%)∗N j j where: L maximum number
— Istoxx Index Guide (PDF), p. 593
view, the STOXX Canada 60 Index represents the performance of the 60 largest Canadian companies by free-float market capitalization from among the 11 ICB Industries. It is an industry neutral index and is derived from the STOXX Canada 240 index. Universe: The index universe is defined as the new compos
— Stoxx Index Guide (PDF), p. 106
Subsequently, in the integration phase, these securities are replaced by securities belonging to the eUrO STOXX index from the same iCB supersector that have higher eSG scores (Figure2). FIGURE 2:eUrO STOXX 50®eSG methodology ® ® EURO STOXX 50 EURO STOXX EURO STOXX 50 ESG Eligible sec
— Stoxx Research Euro Stoxx 50%C2%Ae Esg Integrating Sustainability (Septem… (PDF), p. 4
It provides as well referential information related to each constituent, such as SEDOL code, ICB classification, shares, free-float and close prices in the major currency versions.
— Index Files Guide 20230619 (PDF), p. 13
Also on Sep. 21, Eurex will introduce futures and options on the new STOXX Supersector indices. For all communication circulars around the ICB classification change, including a complete list of indices affected, please visit our methodology announcements here. Blue-chip indices Other indice
— STOXX Indices Incorporate New ICB Framework | Blog posts | STOXX
Investable Market
▰▰ 6
Quote
“Not everything that exists is available, and not everything available is worth buying.”
— Anonymous
The universe of securities that meet minimum requirements for liquidity, free float, and market capitalisation, making them practically accessible to institutional investors. STOXX defines investable markets through its eligibility screens.
Note
Not every listed stock is investable in a meaningful sense. A company trading three times a week with a USD 5 million free-float market cap is technically public, but impractical for large funds. STOXX’s investable market definition filters out such securities so that indices represent portfolios investors can actually replicate.
Related Terms
Source excerpts (5)
d its market reach.” STOXX is the administrator of all DAX indices, including the MDAX. Figure 1: Performance MDAX: Key performance in numbers Highly investable market There are currently four ETFs tracking the MDAX, the first of which launched in 2001, and two funds following sustainable versions of the mid-cap ind
— MDAX index: 30 years benchmarking Germany’s Mittelstand | Blog posts | STOXX
All compliant global 2 The indices provide broad coverage of the world’s equities, as well as Depository Receipts, are investable market capitalization; combined large and included in the STOXX World equity universe. mid-cap indices cover 85% of the investable universe. The weight of e
— Stoxx World Equity 2022 12 (PDF), p. 2
X USA 500 Index covers the largest 500 companies in the US, offering diversified industry allocation and representing more than 80% of the underlying investable market. STOXX USA 500 Loading… Updated upon page load and reflects the latest available data with a 15 minute delay. Discover more STOXX® USA 500 ESG-X The
— STOXX 500 Index USA - Qontigo
rket cap weighted index designed to represent the performance of the Large and Mid-Cap companies from Developed Markets covering approximately 85% of investable market capitalization. Weighting scheme: The final index weights are the result of an optimization process.
— Stoxx Index Guide (PDF), p. 606
ive coverage with a diversified allocation across 17 countries and 11 industries within Europe’s developed economies, representing nearly 90% of that investable market. Stuart Heath, Director, Equity & Index Product Design at Eurex: “STOXX Europe 600 is the de facto broadest representation of the European market and
— STOXX Europe 600 ecosystem grows with new Total Return Futures | Press releas…
L
Large-Cap
▰▰▰ 45
Quote
“Large-cap stocks are the bedrock of most portfolios — they offer liquidity, analyst coverage, and institutional ownership that smaller companies cannot match.”
— Jeremy Siegel, Stocks for the Long Run (1994)
A classification for companies with the highest free-float market capitalisation within a given index universe, typically the top tier by size. In the STOXX Total Market Index framework, large-cap generally covers the top portion of the investable market.
Note
Large-cap stocks are the household names — the biggest companies by market value. In a STOXX context, the EURO STOXX 50 is effectively a large-cap index for the eurozone. Large-cap thresholds vary by region and index family.
Related Terms
Source excerpts (5)
For a description of the selection methodology and the review calendar, please click here. Liquid stocks with a large-cap tilt Feedback from market participants indicated that a flagship sustainable index should be liquid and diversified, and include an ESG strategy elem
— Introducing the DAX 50 ESG Index | STOXX
Last July, they owned the biggest value in overseas equities since at least 2005, according to Japan’s Ministry of Finance.2 A large-cap focus and liquidity filters The EURO STOXX 50 provides a representation of industry leaders in the Eurozone, currently drawing constituents from eigh
— Nomura AM lists currency-hedged EURO STOXX 50, DAX ETFs in Tokyo | Blog posts…
The lower thresholds reflect increasing investor scrutiny regarding the escalating quantum of CEO pay among large-cap companies. Beginning with the 2021 proxy season, the MOM high concern threshold for S&P 500 companies has been lowered from 3.33x to 3.00x the peer m
— Pay For Performance Mechanics (PDF), p. 11
It is believed that by 2016, many of the mid-cap companies will follow the lead of the large-caps, and the number of companies affected by this policy will be significantly reduced. Consideration was given to specifying that companies should appo
Index relative to its benchmark.6 An established family of indices in Europe The STOXX USA 500 ESG-X Index offers exposure to a liquid universe of US large-capitalization stocks that observes basic responsible parameters. The index is designed from a common rules framework and infrastructure of established b
— The Effect of ESG Exclusions on US Stocks | Blog posts | STOXX
Liquidity
▰▰▰▰▰▰ 1,048
Quote
“Liquidity is a coward — it disappears at the first sign of trouble.”
— Nassim Nicholas Taleb, The Black Swan (2007)
The ease with which a security can be bought or sold in the market without causing a significant movement in its price. STOXX measures liquidity through metrics such as Average Daily Trading Volume (ADTV) and turnover velocity.
Note
Liquidity is the lifeblood of index replicability. If a stock in an index is illiquid, funds tracking that index will incur high transaction costs or slippage when rebalancing. STOXX therefore applies liquidity screens during index reviews to ensure all constituents trade actively enough.
Related Terms
Source excerpts (5)
In this paper, we evaluate the EURO STOXX 50® ESG Index’s liquidity and tradability characteristics compared to its benchmark, and make an estimation of execution cost of switching from the benchmark to the index.
— EURO STOXX 50® ESG: Liquidity and Tradability Characteristics | Whitepapers |…
YΔLev =Leverage −Leverage t0 t0 t−1 iSTOXX® METHODOLOGY GUIDE 76/1024 8. iSTOXX QUALITY INCOME INDICES - Positive or zero 1-year growth in Liquidity Ratio (1YΔLR). The LR is calculated as the ratio of current assets to current liabilities (also called current ratio) 1YΔLR =current ratio −current r
— Istoxx Index Guide (PDF), p. 76
This is the same data point used for the ‘Weighted Days to Trade’ constraint in the minimum variance and factor indices. To assess the impact of the liquidity-focused elements of the methodology, we also include a test version where we remove liquidity and weight diversification constraints. Chart 3 We obse
— STOXX Factor Indices – Q1 2020 Review | STOXX
This means that exchange rate fluctuations could have a negative or positive effect on returns. LIQUIDITY RISK – There is a risk associated with the markets to which the ETF is exposed.
— Amundi and STOXX collaborate to launch Amundi ETF investing in the European d…
The EURO STOXX 50 and DAX indices additionally filter stocks through a minimum liquidity threshold. The composition of both indices is determined by a clear and well-publicized criterion — market capitalization — offering index trackers s
— Nomura AM lists currency-hedged EURO STOXX 50, DAX ETFs in Tokyo | Blog posts…
Liquidity Screening
▰▰▰ 41
The process of applying minimum thresholds for trading activity (such as ADTV or turnover velocity) to filter out insufficiently liquid securities from an index universe. STOXX applies liquidity screening at regular index reviews.
Note
Liquidity screening is the gate that keeps thinly traded stocks out of an index. During quarterly or semi-annual reviews, STOXX checks each candidate stock against its liquidity criteria. Stocks that fall below the threshold are either excluded from entry or, if already in the index, may be removed subject to buffer rules.
Related Terms
Source excerpts (5)
The detailed review schedule is published on the STOXX website.3 2F2F LIQUIDITY During the period review processes liquidity screenings are applied as defined in the specific index methodology sections (e.g.
— Stoxx Index Guide (PDF), p. 33
In order to calculate this ratio, Net Income data for at least three out of five periods should be available. For non-components a liquidity screening applies. Companies need to ranked within the top 80% by liquidity to be eligible. iSTOXX® METHODOLOGY GUIDE 237/1024 10.
— Istoxx Index Guide (PDF), p. 236
AVERAGE DAILY TRADED VALUE (ADTV) During the period review processes liquidity screening is applied as defined in the specific index methodology sections (e.g. companies must have a minimum Average Daily Traded Value over a given time per
— Stoxx World Equity Index Guide (PDF), p. 17
on 4.3 of the STOXX Index Methodology Guide. The Czech Republic will no longer be classified as a developed market because it did not meet the market liquidity screening requirement for developed market. The total value of shares traded was within the 30th percentile and the 40th percentile. Hungary will be classified
— STOXX Announces Results Of Annual Emerging And Developed Markets Classificati…
criterion, will not be classified.The average data of the last three consecutive years are used in order to avoid short-term fluctuations. | | 2.b | Liquidity Screening (Source: World Bank)The total value of shares traded must be higher than USD 15 billion.
— STOXX Changes Country Classification Model | Press releases | STOXX
Limit Order
▰ 1
An order to buy or sell a security at a specified price or better. A buy limit order executes only at the limit price or lower; a sell limit order executes only at the limit price or higher. Limit orders populate the order book and provide liquidity.
Note
A limit order gives the trader price control at the expense of execution certainty. Index fund managers often use limit orders during rebalancing to avoid paying more than a target price for new constituents. In contrast to market orders, limit orders can sit unfilled on the order book until the price reaches the specified level.
Related Terms
Source excerpts (1)
sing market value of the position’s constituents. Finally, Eurex futures have on-screen prices provided by market makers, which allows users to leave limit orders at set spread levels. “Trading through on-exchange futures eases execution, brings down costs and provides an FX-neutral exposure,” Raulet at Eurex
— Spread Ratio Indices Help Trade Relative Value Between Related Securities | B…
Long Position
▰▰▰▰ 59
Owning a security outright, or having a net positive exposure to it, with the expectation that its price will rise. Most index-tracking funds hold long positions in every constituent of the index they replicate.
Note
A long position is the most basic form of equity exposure. When a fund tracks the EURO STOXX 50, it holds long positions in all 50 constituent stocks in proportion to their index weights. The concept of being “long” contrasts with short selling, where an investor profits from price declines.
Related Terms
Source excerpts (5)
023 Volatility Strategy indices Key points The VSTOXX® Short-Term Futures and VSTOXX® Mid-Term Futures indices, which track the return from a rolling long position in VSTOXX futures contracts on Eurex, fell in the month that ended. The EURO STOXX 50® Investable Volatility index, which measures forward implied vo
— Monthly Index News December 2023 (PDF), p. 37
OVERVIEW The STOXX Futures Roll indices are designed to reflect the returns generated over time through notional investments in a long position in a series of STOXX index futures contracts. The excess return index replicates the financial outcome of a portfolio rolling the 1st nearby STOXX in
— Stoxx Strategy Guide (PDF), p. 67
It involves buying a put option while simultaneously purchasing the option’s underlying. The index is based on the DAX-index and a long position in a DAX put option traded at Eurex. Base value and dates: 100 on December 31, 1992. DAX STRATEGY INDEX GUIDE 9/57 3.
— Dax Strategy Index Guide (PDF), p. 8
Gianluca Oderda at Ersel Asset Management has argued that an optimal portfolio can be constructed by long positions in four non-market-cap-weighted schemes: a global minimum-variance portfolio, an equal-weight portfolio, a risk parity portfolio and a dividend-weig
— What’s Behind the Edge in Equal-Weight Strategies? | Blog posts | STOXX
hareholder approval to amend the company’s certificate of incorporation to add right permitting shareholders who have held at least a 20 percent “net long position” in the company’s shares for at least one year to call a special meeting of stockholders.
M
Market Capitalization
▰▰▰▰▰▰ 1,883
Quote
“In the short run, the market is a voting machine, but in the long run it is a weighing machine.”
— Benjamin Graham, The Intelligent Investor (1949)
The total market value of a company’s outstanding shares, calculated as the share price multiplied by the number of shares outstanding. In STOXX index methodologies, free-float market capitalisation (price multiplied by free-float shares) is the standard weighting measure.
Note
Market capitalisation is the most fundamental size metric in equity indexing. STOXX almost always uses the free-float-adjusted version so that index weights reflect the portion of each company that the market can actually trade, rather than the total theoretical value.
Related Terms
Source excerpts (5)
OVERVIEW The STOXX Balkan 50 Equal Weight index represents blue-chip stocks from eight Balkan countries in terms of free-float market capitalization. Universe: The index universe is defined as the following eight Balkan countries: Bulgaria, Croatia, Macedonia, Romania, Serbia, Slovenia Greece and
— Stoxx Index Guide (PDF), p. 104
culating companies’ ADTV and market capitalization is the last trading day of the month prior to the month in which the index review takes place. The market capitalization used for selection is calculated as the average of the 20 trading days ending on the last trading day before the review month. 19 American Depository
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 89
Global and regional indices. Key benefits Reach The indices track the most important global and regional markets with a proven, objective methodology Market capitalization based The indices are weighted according to free-float market capitalization Transparency Index calculation and changes to the index composition foll
Companies smaller than 100 million in revenue (assets). 2. Market capitalization (in millions) Companies are classified into market capitalization buckets as follows: Bucket Low end High end Micro 0 200 Small 200 1,000 Mid 1,000 1
— 2015 Us Comp Faqs (PDF), p. 25
FactSet Thematic Indices methodology as per the OC determination in May 2018 » June 2018: Rule clarification: Chapter 12 iSTOXX MUTB Indices: change market capitalization to free-float market capitalization » June 2018 (2): Addition of EURO iSTOXX 25 Challengers Equal Weight and EURO iSTOXX 25 Challengers Equal Weight
Micro-Cap
▰ 2
Quote
“Small and micro-cap stocks are where the inefficiencies live — less coverage, more mispricing, more opportunity.”
— Joel Greenblatt, The Little Book That Beats the Market (2005)
A classification for companies at the smallest end of the market capitalisation spectrum, below the small-cap threshold. Micro-cap stocks are often excluded from standard benchmark indices due to liquidity constraints.
Note
Micro-cap stocks sit at the tail end of the size distribution. They appear in broad total-market indices but are typically absent from headline benchmarks like the STOXX Europe 600. Their inclusion or exclusion has a minimal effect on index performance but matters for completeness-oriented investors.
Related Terms
Source excerpts (2)
You are going to see a lot of growth there, and consequently a lot of unlisted micro-caps coming to the market, and the small-caps that we own, hopefully becoming the large-caps of the future.
— Q&A with Invesco: Modernizing thematic strategies in fast-changing techno…
However, progress at small-cap firms has stalled, while there appears to be a resurgence of classified boards at micro-cap companies. In light of a surge in restrictive governance structures at younger firms, such as dual-class shares and classified boards, investors real
Mid-Cap
▰▰▰▰ 118
Quote
“The middle ground is not the safest; it is the least understood.”
— Anonymous
A classification for companies that fall between large-cap and small-cap thresholds in terms of free-float market capitalisation. STOXX mid-cap indices capture this segment of the market.
Note
Mid-cap companies are the “middle children” of the equity market — large enough to be liquid and well-followed, but small enough to offer growth potential that mega-caps may lack. STOXX publishes dedicated mid-cap indices (e.g., STOXX Europe Mid 200) for investors targeting this segment.
Related Terms
Source excerpts (5)
The STOXX Developed World Universal Index is a market cap weighted index designed to represent the performance of the Large and Mid-Cap companies from Developed Markets covering approximately 85% of investable market capitalization. Weighting scheme: The final index weights are the re
— Stoxx Index Guide (PDF), p. 606
As is our normal practice, ISS will to the 2009 MiddleNext Code, which specifically communicate in advance the exact nature of the targets small- and mid-caps and does not changes in the scope of say-on-pay analysis for recommend any vote on compensation. In the 2015.
— Issfranceremunerationfaq (PDF), p. 5
2/24 Monthly Index News / January 2026 Featured index The MDAX®, the mid-cap index viewed as a public-market proxy for Germany’s Mittelstand1, turned 30 on January 19. The anniversary came amid surging inflows into MDAX ETFs2,
— Monthly Index News January 2026 (PDF), p. 4
rld’s equities, as well as Depository Receipts, are investable market capitalization; combined large and included in the STOXX World equity universe. mid-cap indices cover 85% of the investable universe. The weight of each component in the indices is determined by the free-float market 3 Emerging markets i
— Stoxx World Equity 2022 12 (PDF), p. 2
In both cases, free shares shall remain subject to performance criteria for all beneficiaries. Finally, for large- and mid-cap companies, the company’s average three-year unadjusted burn rate (or, if lower, the maximum volume per year implied by the proposal made at the gener
Market Maker
▰▰▰ 28
Quote
“Markets are never wrong; opinions often are.”
— Jesse Livermore, Reminiscences of a Stock Operator (1923)
A firm or individual that continuously quotes both bid and ask prices for a security, standing ready to buy or sell at those prices. Market makers provide liquidity and help ensure orderly trading, particularly for less actively traded index constituents.
Note
Market makers are the lubricant of the order book. On exchanges like Xetra, designated sponsors (a form of market maker) are required for certain securities to maintain minimum quote sizes and maximum spreads. Their presence improves the liquidity metrics that STOXX evaluates when screening stocks for index inclusion.
Related Terms
Source excerpts (5)
We are very happy to be part of this STOXX and Eurex initiative. What does having a market maker mean for the contracts? What are the benefits? Market makers provide constant liquidity, which is crucial for a robust trading ecosystem.
— Q&A: IMC Trading’s Van Leeuwen on ESG Futures | Blog posts | STOXX
en • The price cannot be below 0.5 • Both, bid and ask price, must be available • The bid-ask spread must be within the established spreads for Eurex Market Makers (8% or up to 16% in stressed markets) • Mid-price is calculated as simple average of bid and ask price 1.
— Vstoxx The European Volatility Gauge 202504 (PDF), p. 5
This means for exchanges to launch ESG products with competitive fee and rebate schemes, based on end-investor demand and for market makers, including Optiver, to support these products through liquidity provisions and building trust in the market. 1 Optiver is a leading technology-drive
— ESG Futures — How Is the Industry Tracking in the ESG Transition? | Blog post…
All of this brings liquidity to the market. The more liquid the market is, the more confident the market makers, the investors, the hedgers, the speculators will be to shift these trillions. Thanks to STOXX, we now have listed ESG futures,5 which is a big mile
— Q&A: CDP’s Babikian on Climate Action, Investor Duty | Blog posts | STOXX
Pulse Online also talked to Rick van Leeuwen, Head of Institutional Trading at market-maker IMC Trading, and Magnus Linder, Head of Derivatives at Swedbank Robur. We also published an article by Inderpal Gujral, Head of Product at STOXX, abo
— Q&A: Eurex’s Michael Peters on ESG Futures | Blog posts | STOXX
Market Order
▰ 1
An order to buy or sell a security immediately at the best available price. Market orders guarantee execution but not the price at which the trade will be filled.
Note
A market order is the simplest way to get into or out of a position right now. For highly liquid STOXX blue chips, a market order will typically fill at or very near the displayed bid or ask. For less liquid constituents, the execution price may deviate noticeably from the last traded price, particularly for large order sizes.
Related Terms
Source excerpts (1)
Research™ LM Research™ LiquidMetrix financial market data research is based upon our sophisticated advanced analytics and in-depth database of Global Market order books and trade data. LiquidMetrix Webinar on Achieving Greater Efficiencies in Trading How do Outsourced Trading Desks help their buy-side clients w
O
Order Book
▰▰▰ 40
Quote
“Transparency is the currency of trust.”
— Anonymous
The electronic record of all outstanding buy and sell orders for a security, organised by price level. The order book shows the depth of supply and demand and is the mechanism through which price discovery occurs on modern exchanges.
Note
The order book is the central nervous system of an exchange. It shows how many shares are available at each price level on both the bid and ask sides. For STOXX index constituents, deep order books signal healthy liquidity, while thin books raise concerns about replicability and transaction costs for index-tracking funds.
Related Terms
Source excerpts (5)
A requirement for aggregating order book volumes is that the companies that no longer exist are no actively traded on any stock exchange. The order book volumes are then aggregated retroactively at this point. 5.13.3. AVERAGE DAILY TRADED VALUE Average daily traded value refers to the average of the d
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 24
AX 50 ESG Index selects the 50 largest and most liquid securities that rank highest in the quantitative criteria of free float market capitalization, order book volume and ESG score. For more information on the selection methodology, visit the Guide to the DAX Equity Indices, page 37.
— STOXX ESG Indices: Enhancing the Profile of Sustainable Portfolios | Blog pos…
the Quotation Board segment is taken Rankings volume in the Quotation Board segment is not taken SDAX, TecDAX into account for the calculation of the Order Book into account for the calculation of the Order Book Volume. Volume. DAXsupersector Capping 10% capping limit on component level 3.
— Overview Of Methodology Changes Valid From 18 Of March 2024 (PDF), p. 5
ses, the derivative instruments are evaluated on the basis of other levels of the input data hierarchy, such as best bid/ask quotes from the exchange order book or official exchange daily/final settlement prices, as detailed in the individual index methodology. S TOXX® STRATEGY INDEX GUIDE 12/99 59
— Stoxx Strategy Guide (PDF), p. 11
enchmark Robust and diverse buy-side and end-investor demand coupled with good product design and competitive exchange commercials help build healthy order books which attract liquidity to trade on-screen. To assess order book health – comparing on- vs.
— ESG Futures — How Is the Industry Tracking in the ESG Transition? | Blog post…
Over-the-Counter (OTC)
▰▰ 15
Quote
“The less transparent the market, the more advantage to the professional.”
— George Soros
Trading that occurs directly between two parties without the supervision of a formal exchange. OTC markets handle a wide range of instruments including bonds, derivatives, and some equities. Securities traded exclusively OTC are generally excluded from STOXX indices.
Note
OTC trading happens off-exchange, often via dealer networks or bilateral agreements. STOXX index methodologies typically require that eligible securities be listed on a regulated exchange, which means purely OTC-traded instruments do not qualify. However, some post-trade reporting of exchange-listed stocks occurs OTC (e.g., systematic internaliser trades in Europe).
Related Terms
Source excerpts (5)
Traditionally, they have been implemented with futures, certificates and over-the-counter instruments such as CFDs. Pursuing the strategies through an ETP, however, brings cost, risk and operational benefits. Among those benefits, an ETP d
— Leverage Shares expands suite of single-stock short and leveraged ETPs tracki…
Eurex in 2016, are relatively new derivative products but growing in popularity as an efficient, exchange-traded and centrally cleared alternative to over-the-counter (OTC) total return swaps. On January 31, the exchange will add 40 new TRFs on single stocks, expanding the roster of available products to around 290 compa
— Q&A with Eurex: Switching OTC swaps to a capital-efficient alternative un…
XPDD) - Euro Short Term Rate (€STR) | Having a TRF that’s traded on a regulated exchange and centrally cleared is also an advantageous alternative to over-the-counter derivatives at a time when the latter have been subject to increasingly demanding regulation, according to Eurex.
— STOXX Europe 600 index underlies new Total Return Futures on Eurex | Blog pos…
derive the majority of their revenue from either the sale or licensing of these drugs and diagnostic tools. 20103015 Manufacturers of prescription or over-the-counter drugs, such as aspirin, cold remedies and birth Pharmaceuticals control pills.
— Guide To Industry Classifications Used By Stoxx Ltd (PDF), p. 13
ts into passive products. Historically, slow traction behind fixed-income ETFs was blamed on the idiosyncrasies of the bond market, in particular its over-the-counter nature and the lack of liquidity in some segments. Price discovery shortfalls made it challenging to determine index levels and fostered the idea tha
— Passive Strategies and the Ageing Bull Market | Blog posts | STOXX
P
Primary Listing
▰▰ 9
Quote
“Home is where the heart is, and where the listing begins.”
— Anonymous
The stock exchange on which a company’s shares are principally admitted to trading and where the majority of trading volume typically occurs. STOXX uses the primary listing to determine a security’s eligible price and exchange for index purposes.
Note
For dual-listed companies, the primary listing is the “home” exchange that STOXX treats as authoritative for pricing and liquidity measurement. Getting this designation right matters because it determines which price feed drives the index calculation.
Related Terms
Source excerpts (5)
The assignment is generally based on the country of incorporation and the primary listing of the security, with the primary listing determined by liquidity. In cases where the country of incorporation differs from the country of the primar
— Stoxx Index Guide (PDF), p. 34
The assignment is generally based on the country of incorporation and the primary listing of the security, with the primary listing determined by liquidity. In cases where the country of incorporation differs from the country of the primar
— Stoxx Index Guide (PDF), p. 34
The country nationality (i.e. the country the stock is assigned to) and listing is based on the country of incorporation, the primary listing and the country with the largest trading volume. American and depositary receipts (e.g.
— Stoxx World Equity Index Guide (PDF), p. 18
ess of the outstanding shares not be adopted for Singapore companies or, at a minimum, be inapplicable to Singapore companies with their exclusive or primary listing is on a major US stock exchange. Kind regards, Rebecca
d that the latter account for at least 75% of the liquidity of the shares represented. If companies’ shares are listed on more than one exchange, the primary listing is used for DAXglobal Gold Miners. Companies from the parent indices that have been attributed to an eligible country are eligible for inclusion if t
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 97
Primary Market
▰▰ 13
Quote
“All creation starts from a first offering.”
— Anonymous
The country or exchange jurisdiction designated as a security’s home market for index classification purposes. The primary market drives country assignment, currency denomination, and eligibility for regional indices.
Note
Primary market is closely related to primary listing but operates at the country level rather than the exchange level. A company’s primary market determines whether it appears in, say, a German index or a French index within the STOXX family.
Related Terms
Source excerpts (5)
A company will be deleted from the index based on the traded stock price on its primary market, if available, or else the OTC stock price; if neither price is available, the company will be deleted at close in local currency of 0.0000001. A com
— Detailed Overview Of Equity Index Calculation Changes (PDF), p. 37
Most investor respondents had a market focus that goes beyond their own home country. % of Investor % of Non-Investor Respondents to Respondents to Primary Market of Focus (as declared by respondent) Online Survey Online Survey Global (including most or all of the regions listed 55% 15% below) U.S.
— 2019 2020 Iss Policy Survey Results Report (PDF), p. 4
rting.html 7 See the EU Regulated Market and the follow-up obligations for the Regulated Market (https://www.deutsche-boerse-cash- market.com/dbcm-en/primary-market/being-public/ipo-line-being-public/regulated-market/!ipo-21956-60156) 8 This provision also applies to small supervisory boards as defined by section
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 15
s of another market (listing, incorporation, or national code) may be evaluated under the policy of the relevant market, regardless of the “assigned” primary market coverage. ISSGOVERNANCE.COM 7 of 75 UNITED STATES PROXY VOTING GUIDELINES 1.
— Us Voting Guidelines (PDF), p. 7
Many respondents, however, have a focus that goes beyond their own home country or domicile. Primary Market of Focus Investor Non-Investor Global (most or all of the below) 47% 19% U.S. 35% 63% Canada 4% 6% Europe 8% 4% U.K.
Q
Qontigo
▰▰▰▰▰▰ 1,597
A Deutsche Borse Group company that combines the STOXX index business with the DAX indices and the Axioma analytics platform. Qontigo is the entity responsible for index design, calculation, governance, and licensing of STOXX and DAX index families.
Note
Qontigo is the brand name under which STOXX indices are developed and maintained. When you read a STOXX methodology document, Qontigo is the legal entity behind it. It was formed in 2019 by merging the STOXX, DAX, and Axioma businesses within Deutsche Borse Group.
Related Terms
Source excerpts (5)
“That means that we want to optimize around sustainability too.” This reality is captured in Qontigo’s new tagline – ‘Optimizing Impact.’ The phrase reflects the overarching objective across Qontigo’s products and solutions, as well as the ethos guid
— Qontigo Summit Addresses Ascent of Sustainability in Investments, Need to Opt…
It is the first DAX ETF listing in the Japanese market. Media Contact General Inquiries: media@qontigo.com Index Inquiries: Andreas von Brevern +49 (0) 69 211 14284 “We are proud to have launched these ETFs with Qontigo.
— Qontigo licenses DAX and EURO STOXX 50 to Nomura Asset Management | Press rel…
The NZFSPA is accredited by the UN Race to Zero campaign and is a member of the Glasgow Financial Alliance for Net Zero. Qontigo’s commitment to NZFSPA underscores its dedication to the net zero transition for both the company’s own business operations and in enabling Qontigo’s
— Qontigo joins the Net Zero Financial Services Providers Alliance with a commi…
Our suite of dedicated ESG and sustainability indices will facilitate this change.” Rodolphe Bocquet, Global Head of Sustainable Investing of Qontigo Qontigo maintains a close dialog with clients and provides support and education on their sustainable investments.
— Qontigo Becomes a Principles for Responsible Investment Signatory | Press rel…
XX and DAX brands) with Axioma’s best-of-breed portfolio-construction and risk-analytics tools was announced. Out of this combination, a new company, Qontigo, was launched in September 2019. Qontigo is a financial intelligence innovator and leader in the modernization of investment management, from risk to
— Qontigo’s STOXX Named ‘Best European Index Provider’ by ETF Express | STOXX
R
Regulated Market
▰▰▰▰ 184
A multilateral trading system operated or managed by a market operator that meets the regulatory requirements of the jurisdiction in which it operates (e.g., MiFID II in Europe). STOXX requires that eligible securities be listed on a regulated market.
Note
A regulated market is an exchange that operates under an official regulatory framework, providing investor protections such as disclosure requirements and fair-access rules. STOXX’s insistence on regulated-market listings ensures that index constituents meet baseline transparency and governance standards.
Related Terms
Source excerpts (5)
1, 2010), Italian European Shareholder Rights Directive (effective since Nov. 1, 2010), Italian issuers whose shares are listed on the Italian regulated market Mercato issuers whose shares are listed on the Italian regulated market Mercato Telematico Azionario must publish the various lists 21 days in advanc
— Emea Policy Updates (PDF), p. 20
It therefore measures the performance of the entire German stock market and is ideal for use in analysis. Universe: Regulated Market All Share. Weighting scheme: The index is free-float market capitalization weighted. Capping: Not applicable. Base value and dates: 100 on December 3
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 26
Whenever possible, we will monitor actual share issuances to assure that the company is not abusing the privilege. For French companies listed on a regulated market, Public Fund Advisory Services will generally vote against any general authorities impacting the share capital (i.e.
— Public Fund International Voting Guidelines (PDF), p. 21
AX index. Media Contact Sarah Ball Executive Director, Communications press@iss-stoxx.com METRO AG (St) will leave the SDAX due to delisting from the regulated market as defined in chapter 8.5.3 of the DAX Equity Index Calculation Guide (DELISTINGS). The following change will be made in SDAX: | Deletion | Addition
— Unscheduled component change in SDAX (April 14, 2025) | Press releases | STOXX
’s Prime Standard, a premium segment with higher transparency duties than the General Standard segment, is being removed in favor of a listing on the Regulated Market of the Exchange. However, the key requirement of the Prime Standard to publish quarterly statements, half-yearly financial reports and audited annual
Rally
▰▰▰▰▰▰▰ 11,382
Quote
“Be fearful when others are greedy, and greedy when others are fearful.”
— Warren Buffett
A sustained increase in the prices of securities or a market index, often following a period of decline or consolidation. Rallies can be broad-based (affecting entire indices) or sector-specific.
Note
A rally is a period when the market climbs with conviction. For STOXX indices, a broad rally lifts the aggregate index level and often compresses the performance dispersion among constituents. Sharp rallies can also affect index reviews if previously marginal stocks surge past capitalisation thresholds.
Related Terms
Source excerpts (5)
May after the US and China agreed to pause import tariffs as both nations negotiate a reduction in trade costs. European indices extended this year’s rally on expectations the region may be spared the worst effects of increased export duties to the US. The STOXX® World AC index climbed 5.8% in dollars la
— Global indices jump in May amid thaw in trade tensions; European stocks exten…
In addition, director tenure typically runs longer, board refreshment is generally slower, and boardrooms are less diverse at controlled companies. The study, Controlled Companies in the Standard & Poor’s 1500: A Follow-up Review of
— Controlled Companies Generally Underperform And Boards Less Diverse, New Stud…
This year’s record-setting rally in gold and silver has put specialized mining stocks on course for their strongest year ever, fueled by expectations of a major earnings windfall. Tw
— Gold, silver mining shares poised for biggest annual surge amid metals rally …
- Factors shown are the standard Axioma style factors. Note: cumulative factor exposures of a strategy relative to a benchmark do not generally add to zero as it is measured in terms of risk allocation.. STOXX LIMITED 9 STOXX MINIMUM VARIANCE INDICES 3 Why minimum variance portfolio
— Stoxx Minvar Paper (PDF), p. 8
Her outlook helped calm some investors’ concerns that policymakers around the world may halt the equities rally by lifting borrowing costs. Volatility rises The EURO STOXX 50® Volatility (VSTOXX®) Index, which tracks EURO STOXX 50 options prices, fell to 17.6 a
— Stocks resume rally in October amid strong earnings season | Blog posts | STOXX
S
Sector
▰▰▰▰▰▰ 3,190
Quote
“Sector rotation is the market’s way of telling you where the economy is headed next.”
— Sam Stovall, Standard & Poor’s Guide to Sector Investing (1996)
A grouping of companies that operate in the same area of the economy, defined by an industry classification system such as ICB. STOXX publishes sector indices (e.g., STOXX Europe 600 Technology) that track specific economic segments.
Note
A sector is a broad economic category — Banks, Technology, Health Care, and so on. STOXX sector indices allow investors to gain targeted exposure to one part of the economy or to analyse how different parts of the market are performing relative to each other.
Related Terms
Source excerpts (5)
The global financial crisis significantly changed the industry composition of European equities, enhancing sector diversification relative to the market’s own history and to other major regions. At the core of this change is the banking sector, whose members have
— A Decade of Changing Sector Exposure for European Equities | Blog posts | STOXX
We think this is an efficient alternative to buying technology-sector or country indices, or single stocks. Moreover, STOXX is a leader in sector and thematic strategies. The top components in the index reads like a list of industry bellwethers: TSMC, Broadcom, ASML, Nvidia, Advanced Micro Devi
— Q&A: New Eurex futures on STOXX Semiconductor 30 index as investment vehi…
(ISS). “This report provides investors with an overview of risks and opportunities across all sectors in relation to a low carbon transition,” said Dr. Kevin Schaefers, Co-Founder, FERI Cognitive Finance Institute.
— New Report on Risks and Opportunities of the Low Carbon Transition for Invest…
Scale segment of Frankfurt Stock Exchange are included in DAX Sector All indices on the basis of their sector affiliation. There are two types of DAX Sector All indices: the DAXsector All and DAXsubsector All indices. These contain all companies assigned to the sector or subsector concerned, based on the
— DAXsector All Automobile - STOXX
Open interest stood at 1.6 million futures and a record 10.4 million options contracts. Chart 1 – Volume and open interest in EURO STOXX Sector Index futures and options The role of banks As Chart 1 shows, activity around EURO STOXX Sector Index derivatives has thrived in recent years. Future
— STOXX Sector Index Derivatives Trading Thrives | Blog posts | STOXX
Sector Classification
▰▰▰▰ 52
The process of assigning each company to a specific sector, supersector, and subsector within an industry classification taxonomy. STOXX relies on ICB sector classification to build its sector index families.
Note
Sector classification is the act of labelling a company — deciding, for example, that a fintech firm belongs under “Financial Services” rather than “Technology.” These decisions directly affect which sector index a stock appears in and can influence portfolio construction when investors use sector-based strategies.
Related Terms
Source excerpts (5)
DAX EQUITY INDUSTRY CLASSIFICATION The following section describes the sector classification used in DAX Equity Indices and maintained by STOXX. The tables should be read in conjunction with the methodology guides listed in Section 1. 5.1.
— Guide To Industry Classifications Used By Stoxx Ltd (PDF), p. 37
ts investment focus), the company will be reclassified on the next quarterly review implementation date. The cutoff date for extraordinary changes in sector classifications is the cutoff date for the March, June and December selection lists. Extraordinary changes in sector classifications are also made in the Scale segm
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 13
Can you explain that? “What many of our Defense indices have in common is the ICB Aerospace & Defense sector classification as a starting point — a backstop if you want. From there, we have drilled down further to achieve a basket of stocks that is even more closely aligne
— How to target Europe’s booming defense stocks with thematic indices | Blog po…
B/P, Fwd S/P, Fwd E/P, Fwd EBITDA/EV, OCF/P and FCF/P) are discretized in 25 equal sized buckets based on their ICB supersector classification. Discrete scores range from -12 to 12. Scores are then averaged to arrive at a final Value Score. Any companies that meet the following conditions ar
— Istoxx Index Guide (PDF), p. 371
ER (Netherlands, Construction & Materials, BOSN.AS) | | IMMOFINANZ (Austria, Real Estate, IMFI.VI) | SPRINGER (AXEL) (Germany, Media, SPRGn.DE) | The sector classification for the STOXX Europe 600 Index component Iliad (France, Technology) will change to Telecommunications. The sector classification for the STOXX Europe
— STOXX Changes Composition Of Benchmark Indices - Sep. 2, 2019 | Press release…
Settlement
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Quote
“A deal is not done until the money has changed hands.”
— Proverb
The process by which a securities transaction is finalised: the buyer receives the securities and the seller receives payment. Settlement cycles (e.g., T+2) vary by market and can affect index rebalancing logistics.
Note
Settlement is the back-office conclusion of a trade. When STOXX schedules an index rebalancing, it must account for the settlement cycle so that index-tracking funds can execute trades and have them settle by the effective date. In Europe, most equity markets operate on a T+2 settlement cycle.
Related Terms
Source excerpts (5)
), the flagship gauge for European volatility, is being adjusted to strengthen the index’s trading ecosystem. All indices in the VSTOXX family have a settlement level that is calculated on the 30th calendar day preceding the expiry of VSTOXX options on Eurex.[1] A settlement level is calculated as the arithme
— VSTOXX daily settlement price window expanded to enhance volatility trading |…
Both settlements were large enough to qualify for the list of the top 100 largest U.S. class action settlements approved since the passage of the Private Securities Litigation Reform Act of 1995. The 2019 total represents a significant decrease compared with 2
— U.S. Class Action Settlements Tallied $3.17 Billion in 2019, New Report Finds…
NOTABLE CASES Wilmington Trust Shareholder Settlement Legally Set at 210 Million (10
— Wilmington Trust Shareholder Settlement Legally Set at $210 Million | ISS
Allegedly, they suffered losses as a result of the significant fall of the stock price after the market became aware of the true situation of Fortis. SETTLEMENT NOTES On July 13, 2018, the Amsterdam Court of Appeals officially declared the Fortis settlement entered into between Ageas, Stichting FORsettlement
— Europe’s Largest Court-Approved Securities Case Settlement Ageas (f/k/a Forti…
In fact, in terms of investor recoveries, this specific F/X case will likely be the largest antitrust settlement with a claim deadline date during the 2018 calendar. Here are a few specific – and critically important – facts surrounding this settlement: Case Sta
— Navigating the $2.3 Billion Foreign Exchange Benchmark Rate Antitrust Settlem…
Small-Cap
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Quote
“Over long periods, small stocks have delivered a premium over large stocks — but the ride is rougher.”
— Rolf Banz, discoverer of the size effect (1981)
A classification for companies in the lower tier of market capitalisation within an index universe, above micro-cap but below mid-cap thresholds. The STOXX Europe Small 200 is an example of a small-cap index.
Note
Small-cap stocks offer exposure to smaller, often faster-growing companies. They tend to be less liquid and more volatile than large-caps. In STOXX’s European index framework, the Small 200 captures companies ranked below the top 400 by free-float market capitalisation.
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Source excerpts (5)
O STOXX® Multi Premia® and Single Premium Indices outperformed the market during January. Again, it was the size factor – which seeks to exploit the ‘small-cap’ premium – that performed best during the month among the index family. The indices integrate the academic research-based methodology of STOXX’s part
— Monthly Index News January 2019 (PDF), p. 6
Because the range and scope of positive returns more than offset those of negative returns, small-cap stocks are more accretive to the portfolio than large-cap stocks over time. Academia has also in recent years identified fundamental risk factors as
— What’s Behind the Edge in Equal-Weight Strategies? | Blog posts | STOXX
DAX BLUE-CHIP INDICES 7.2.1. OVERVIEW DAX All Cap The DAX All Cap measures the combined performance of the German large-, mid- and small-cap segment. It comprises the 40 companies from DAX, the 50 companies from MDAX and the 70 companies from SDAX. DAX LargeMid Cap The DAX LargeMid Cap mea
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 39
Increased diversification limits idiosyncratic risks and improves long-term risk-adjusted returns. “The second driver of outperformance is the small-cap premium. The weight attributed to small caps is much higher in the Equal Weight version versus the market-cap-weighted benchmark.
— Ossiam’s Lacroix: Maximizing the benefits of an ESG index strategy with an eq…
For example, an equal-weighted portfolio is a roundabout way of getting a small-cap bias. We think that the explicit targeting of factors in a multifactor portfolio is a sensible evolution of multifactor investing. Now, there are a l
— BlackRock’s Jamie Forbes: Implementing ‘evolutionary’ factor advancements in …
Short Selling
▰ 1
Quote
“He who sells what isn’t his’n must buy it back or go to prison.”
— Daniel Drew
The practice of selling a security that the seller does not own, typically by borrowing shares, with the intention of buying them back later at a lower price. Short selling is regulated and, in some European markets, subject to disclosure requirements and temporary bans during periods of stress.
Note
Short selling allows investors to profit from declining prices. While STOXX indices themselves are long-only constructs, short selling of index constituents is a critical market activity that affects price discovery and liquidity. Short-selling bans (as seen during the 2020 COVID crisis in some European markets) can distort index constituent pricing and trading volumes.
Related Terms
Source excerpts (1)
nd USD. The index base value is 10’000 as of December 30, 2016. The pre-roll index level is calculated to replicate the performance of a hypothetical short selling of the contracts as 𝐼𝑉𝑃𝑟𝑒 =𝐼𝑉𝑃𝑜𝑠𝑡+𝐶𝑃𝑟𝑒(𝑃𝑀−𝑃𝑀 )+𝐶𝑃𝑟𝑒(𝑃𝑀−𝑃𝑀 ) 𝑡 𝑡−1 1𝑡 1𝑡 1,𝑡−1 2𝑡 2𝑡 2,𝑡−1 𝐶𝑃𝑟𝑒 = number of contracts of future x held at the end of d
Stock
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Quote
“Behind every stock is a company — find out what it’s doing.”
— Peter Lynch, One Up on Wall Street (1989)
A type of security that represents an ownership share in a corporation. Stocks are the fundamental building blocks of equity indices. Each STOXX index constituent is an individual stock (or depositary receipt representing a stock) that meets the index’s eligibility criteria.
Note
Stock is the most basic unit of equity investing. When a data engineer works with STOXX index data, each row in a constituent file typically represents one stock, identified by its ISIN, SEDOL, or ticker. The stock’s price, shares outstanding, and free-float factor are the core inputs to index weight calculations.
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Source excerpts (5)
Figure 2 shows the DAX ESG Target’s active return in a dotted line. ‘Specific returns’ refers to the idiosyncratic component from each stock’s return that can’t be explained by a style factor. The study shows that the DAX ESG Target’s exposure to specific risks consistently outweighs its e
— DAX ESG Target: An optimal solution to risk, return and impact in German stoc…
A higher VSTOXX reading suggests investors are paying up for puts that offer insurance against stock price drops. The VDAX-New®, which measures volatility in German equities, climbed to 16.6 from 14.5 in August. Oil shares buck trend Energy stocks we
— Stocks extend drop in September on ‘higher-for-longer’ rates concern | Blog p…
UBS, which represents nearly 18% of the index, was the second-largest negative contributor. Two of the largest stocks in the index — Deutsche Börse and London Stock Exchange (each weighing 10% in the index) — offset some of the overall losses. Figure 6: Contribution
— European financial stocks hit hardest by banking turmoil | Blog posts | STOXX
In short, equity prices have plummeted during the recent crisis but, unlike the GFC, the sell-off does not appear to have targeted specific groups of stocks by risk characteristics. Riskier stocks remain cheaper than others. This relationship has not changed materially in recent months and has certainly
— Risky Stocks Are Getting Cheaper… But They Haven’t Reached 2008 Crisis Levels…
Qontigo has introduced the iSTOXX Single Stock Decrement Indices, an innovative suite designed to underlie structured products. The family initially consists of 69 indices that replicate the gross
— STOXX Introduces Innovative Single Stock Indices Designed for Citi | Blog pos…
Supersector
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A grouping level in the ICB classification hierarchy that sits between Industry (the broadest level) and Sector. ICB defines 20 supersectors, and STOXX publishes supersector indices such as EURO STOXX Banks.
Note
Supersectors provide a middle layer of granularity. They are broader than sectors but narrower than the top-level industry grouping. The EURO STOXX supersector indices are among the most widely followed benchmarks for European sector analysis.
Related Terms
Source excerpts (5)
of Frankfurt Stock Exchange are included in DAX sector indices based on their sector affiliation. There are three types of DAX sector indices: the DAXsupersector, DAXsector and DAXsubsector. These comprise all companies assigned to the supersector, sector or subsector concerned, based on the DAX Industry Class
— DAXsupersector Basic Materials - STOXX
The VDAX-New®, which measures volatility in German equities, rose to 19.1 from 18.6 in January. Automobiles Supersector leads again The STOXX® Global 1800 Automobiles & Parts index came out on top among 20 Supersectors in the STOXX Global 1800 for a second consecutive
— STOXX Global 1800 index drops in February; European stocks buck trend | Blog …
STOXX Global 150 Blue-Chip Index is a combination of the regional STOXX Blue-Chip indices for North America, Asia Pacific and Europe which cover the supersector leaders of the respective region in terms of free-float market capitalization. Universe: The index universe is defined as all stocks of the developed
— Stoxx Index Guide (PDF), p. 103
F/EVIC[14] values across sectors (higher PDF values indicate a higher level of impact on biodiversity). Figure 2 – Negative impact on biodiversity by Supersector As the chart shows, there are significant disparities in the biodiversity impact of Supersectors.
— World, investors gear up action to combat biodiversity loss and related risks…
Overall, the Supersector distribution shows a highly diversified index. Figure 4: Supersector weightings Asia’s growth story With a population of 1.4 billion, a rising middle class and an increasingly important position as a global services an
— Indian stocks shine bright, outperforming Asian markets | Blog posts | STOXX
T
Trading Volume
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Quote
“Markets speak loudest when they speak in volume.”
— Anonymous
The total number of shares (or contracts) traded during a given period. Trading volume is a raw input to liquidity measures such as ADTV and turnover velocity used in STOXX index eligibility screening.
Note
Trading volume is the simplest count of activity — how many shares changed hands. On its own it does not tell you much about liquidity quality, but averaged over time (ADTV) or normalised by shares outstanding (turnover velocity), it becomes a powerful screening tool.
Related Terms
Source excerpts (5)
WAP) is defined as the sum of the product of execution price and volume of each trade for a stock during the calculation period, divided by the total trading volume of that stock during the calculation period. DAX EQUITY INDEX METHODOLOGY GUIDE 23/120 5. STOCK CHARACTERISTICS 5.12.1.
— Dax Equity Index Methodology Guide 5526498614 (PDF), p. 22
Open interest in the contracts stood at 2.1 million at the end of December. Figure 1 – Trading volume and open interest on EURO STOXX 50 Dividend options [1] Mid-curve options is the generic name for listed options that expire into an underlying futur
— Eurex introduces options on EURO STOXX 50 index dividend futures, expanding p…
A Volume Adjustment Factor (vi,e) is computed per asset, per exchange by comparing the monthly trading volume on the specific exchange to the total monthly trading volume across all eligible exchanges.
— Stoxx Digital Asset Guide (PDF), p. 9
INDEX REVIEW Component selection: There is a minimum liquidity requirement for components: to be eligible, the 3-month average daily trading volume has to be at least EUR 1 million. Components are selected based on the free-float market capitalization and a 10% buffer rule applies for the ranking
— Stoxx Index Guide (PDF), p. 93
The CMFIB requires the stock swap ratio between listed companies to be determined by a specific formula which is based on the historical prices and trading volumes. ISS’ 2014 Korea Proxy Voting Summary Guidelines - 7 - Transparency. Inclusiveness.
Tick Size
▰ 2
The minimum price increment at which a security can trade on an exchange. Tick sizes are set by the exchange or regulator and vary by price level and instrument type. Smaller tick sizes allow finer price discovery but can reduce displayed liquidity at each price level.
Note
Tick size determines the granularity of the order book. A stock trading at EUR 50 might have a tick size of EUR 0.01, meaning the next possible price is EUR 50.01 or EUR 49.99. For STOXX index constituents, tick size regimes affect bid-ask spreads and, indirectly, the transaction costs of replicating an index.
Related Terms
Source excerpts (2)
in section 0). 𝑖 o 𝑆 is the Euro Stoxx 50 close value at Entry Date. 𝐸𝑛𝑡𝑟𝑦 o 𝑇𝐸𝑛𝑡𝑟𝑦 is the Option Entry Date. 𝑖 o 𝑇𝑖𝑐𝑘 𝑆𝑖𝑧𝑒 is 0.10 EUR, the minimum tick size as specified by Eurex 34.1.1.3. OPTION PORTFOLIO LEVEL The Option Portfolio Level is the current value of the Option portfolio and is defined as: 𝑂𝑃𝐿
— Istoxx Index Guide (PDF), p. 410
en at 1 tick wide, the cost of trading would be more than twice as high compared to the benchmark. One takeaway of this is that Eurex could lower the tick size to reduce the cost of trading, but overall this is a tricky problem as liquidity providers are able to tighten their spreads as volume and liquidity
— ESG Futures — How Is the Industry Tracking in the ESG Transition? | Blog post…