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STYLE INDICES

EURO STOXX Total Market Value

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Index Description

The STOXX Total Market (TM) Style indices are designed to enable investors to monitor the performance of Eurozone and European countries with similar growth and similar value characteristics. The index series also comprises large, mid and small Style indices. The indices are based on how securties score with respect to six factors. The six factors that are applied to define a company's style designation are condensed into a single style score, leading to a number that measures a company's style purity. Index components are weighted by free-float market cap.

Key facts

  • The indices enable investors to monitor the performance of European and Eurozone companies with similar style characteristics

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX Total Market Value 3,083.9 2,328.4 6.4 1.0 140.3 0.0 6.0 0.0 30.1
EURO STOXX 7,650.4 5,543.6 18.7 7.0 297.9 1.4 5.4 0.0 3.3

Supersector weighting (top 10)

Country weighting

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
EURO STOXX Total Market Value 1.3 12.5 18.3 28.5 46.4 N/A N/A 18.6 8.8 8.0
EURO STOXX 1.0 11.4 20.0 22.5 50.0 N/A N/A 20.4 7.1 8.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Total Market Value N/A N/A 11.4 16.2 21.4 N/A N/A 1.2 0.4 0.3
EURO STOXX N/A N/A 12.1 16.9 19.7 N/A N/A 1.3 0.3 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX Total Market Value 0.9 0.9 0.9 0.9 0.9 8.0 6.5 6.0 6.5 7.3
Index to benchmark Beta Annualized information ratio
EURO STOXX Total Market Value 0.7 0.8 0.8 0.9 1.0 0.3 0.2 -0.3 0.2 -0.1

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Net Return), all data as of September 30, 2024

STYLE INDICES

EURO STOXX Total Market Value

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
EURO STOXX Total Market Value -0.1 9.0 8.9 8.6 1.0 4.6 0.6 15.4
EURO STOXX 17.0 14.0 15.0 13.8 1.8 2.9 1.2 18.7

Performance and annual returns

Methodology

The style characteristics of each stock are determined by analyzing six factors:
projected price-to-earnings ratio, trailing price-to-earnings ratio, price-to-book ratio projected earnings growth, trailing earnings growth, dividend yield.
The qualifying STOXX Europe TMI Large stocks are ranked according to six factors. For each stock the values of the six factors are z-scored for normalization. A multivariate cluster analysis is conducted to produce five clusters: Strong growth (SG) and weak growth (WG), strong value (SV) and weak value (WV) and neutral (NT). The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0012351588 STVE STVE INDEX .STVE
Net Return EUR CH0012351596 STVT STVT INDEX .STVT
Net Return USD CH0012351620 STVU STVU INDEX .STVU
Price USD CH0012351612 STVK STVK INDEX .STVK

Quick Facts

Weighting Free-float market cap
Cap Factor No
No. of components Variable
Review frequency Semi-annually (Mar. and Sep.)
Calculation/distribution Price (EUR): realtime (every 15 seconds) Net return (EUR/USD): end-of-day
Calculation hours Realtime: 9:00 am - 6:00 pm CET End-of-day:6:00 pmCET
Base value/base date 1,000 on Jun. 30, 1997
History Available daily back to Jun. 30, 1997
Inception date Jul. 18, 2001

Top 10 Components4

Company Supersector Country Weight
TOTALENERGIES Energy France 6.023%
ALLIANZ Insurance Germany 4.962%
BCO SANTANDER Banks Spain 3.061%
BNP PARIBAS Banks France 2.822%
UNICREDIT Banks Italy 2.767%
AXA Insurance France 2.736%
INTESA SANPAOLO Banks Italy 2.659%
VINCI Construction and Materials France 2.657%
BCO BILBAO VIZCAYA ARGENTARIA Banks Spain 2.403%
ENEL Utilities Italy 2.394%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of September 30, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.