Stoxx launches Stoxx+ Global Max Traded 200 Index
Stoxx has launched the Stoxx+ Global Max Traded 200 Index, which applies a set of screens to ensure that only the largest and most frequently traded companies worldwide are included.
The index is geared towards active trading purposes and has been designed to act both as a proper benchmark for actively managed funds, and to underlie exchange-traded funds and other investable products.
“The Stoxx+ Global Max Traded 200 Index is the newest addition to our suite of sophisticated index concepts which are branded Stoxx+. The new index offers market participants an innovative and rules-based tool to participate from the performance of the 200 most traded companies worldwide,” says Hartmut Graf (pictured), chief executive officer, Stoxx. “By splitting the global equity market into three time zones and including a fixed number of companies from each of those, the index also ensures high global diversification.”
To be included in the index, companies must pass a set of screens. To enhance liquidity and tradability of the new index, the index universe - the Stoxx Global Total Market Index – is screened for a minimum free-float market capitalisation of EUR5m, as well as a three-month average daily trading value (ADTV3M) of at least EUR25m. Next, all countries, and thus the companies listed there, are grouped into three major time zones (TZ) to ensure the representation of global companies and high diversification in the index: TZ 1 includes all countries using GMT-1 to +4, TZ 2 all those that use GMT+5 to +12, and TZ 3 includes all countries which use GMT-2 to -11. For each of the three time zones, the top 50 companies by ADTV3M are selected as index components. The remaining 50 stocks are selected by maximum ADTV3M only, irrespective of their time zone.
The index is reviewed annually in September and rebalanced quarterly. It is weighted by free-float market capitalisation, and single index components’ weights are capped at 10 per cent at each quarterly rebalancing. All companies on the relevant selection list, as well as IPO stocks, are also reviewed for fast entries and fast exits at this time.
The index is available in price, net and gross return versions, and is calculated in Euro and US Dollars. Daily history is available back to 30 September 2002.
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