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STRATEGY INDICES

STOXX Emerging Markets ex PK Select 100 EUR

Index Description

The STOXX Emerging Markets ex PK Select 100 Index is part of the STOXX Select family of indices which captures the performance of stocks with low volatility and high dividends, derived from established STOXX benchmark indices. The component selection process first excludes all stocks whose previous 3- and 12-month historical volatilities are the highest. Among the remaining stocks, the stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

Key facts

  • Balanced approach between the different screenings.
  • Lower volatility stocks receive the highest weights.
  • Liquid benchmark.
  • Improved tradability.

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
STOXX Emerging Markets ex PK Select 100 EUR N/A 1.0 0.0 0.0 0.0 0.0 2.3 0.7 141.5
STOXX Emerging Markets 1500 10,681.9 6,247.8 4.2 1.5 540.1 0.3 8.6 0.0 5.4

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
STOXX Emerging Markets ex PK Select 100 EUR 3.4 8.2 21.1 29.2 40.7 N/A N/A 21.7 9.0 7.2
STOXX Emerging Markets 1500 2.7 5.5 19.3 15.3 39.9 N/A N/A 19.8 4.9 7.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Emerging Markets ex PK Select 100 EUR N/A N/A 9.4 11.4 13.4 N/A N/A 1.8 0.6 0.5
STOXX Emerging Markets 1500 N/A N/A 10.5 13.0 15.9 N/A N/A 1.5 0.3 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Emerging Markets ex PK Select 100 EUR 0.8 0.8 0.9 0.9 0.9 6.7 6.3 5.3 6.4 7.3
Index to benchmark Beta Annualized information ratio
STOXX Emerging Markets ex PK Select 100 EUR 0.6 0.8 0.8 0.8 0.7 1.3 1.6 0.2 0.5 -0.1

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of March 29, 2024

STRATEGY INDICES

STOXX Emerging Markets ex PK Select 100 EUR

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
STOXX Emerging Markets ex PK Select 100 EUR 7.7 7.6 7.6 7.6 0.8 7.4 0.6 8.8
STOXX Emerging Markets 1500 16.2 13.3 14.3 14.3 1.6 3.5 0.8 20.2

Performance and annual returns

Methodology

The base universe is defined by the STOXX Emerging Markets 1500, excluding Pakistani stocks. All stocks in it are screened for 12-month historical daily pricing data and 12-month historical dividend yield. If one or both values are not available for a stock, the company is removed from the base universe.

All remaining stocks are then ranked in ascending order in terms of volatility (maximum between the 3-month and 12-month historical volatility calculated in the currency of the Select index) and all stocks which do not belong to the top x% are excluded (x being calculated as the square root of the number of stocks in the base universe divided by the target number of stocks in the Select index).

All remaining stocks are then ranked in descending order in terms of 12-month historical dividend yield and the top x% are selected to be included in the Select index. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The composition is reviewed quarterly.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0375115182 EMXPSEP .EMXPSEP
Gross Return EUR CH0375115141 EMXPSEGR .EMXPSEGR
Net Return EUR CH0375115158 EMXPSER .EMXPSER

Quick Facts

Weighting The base universe is defined by the STOXX® Emerging Markets 1500, excluding Pakistani stocks. All stocks in it are screened for 12-month historical daily pricing data and 12-month historical dividend yield. If one or both values are not available for a stock, the company is removed from the base universe. All remaining stocks are then ranked in ascending order in terms of volatility (maximum between the 3-month and 12-month historical volatility calculated in the currency of the Select index) and all stocks which do not belong to the top x% are excluded (x being calculated as the square root of the number of stocks in the base universe divided by the target number of stocks in the Select index). All remaining stocks are then ranked in descending order in terms of 12-month historical dividend yield and the top x% are selected to be included in the Select index. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The composition is reviewed quarterly.
Cap Factor 10%
No. of components 100
Review frequency Quarterly
Calculation/distribution Price: realtime (every 15 seconds); net and gross return: end-of-day
Calculation hours Realtime: 00:01�22:00 CET End-of-day: 22:00 CET
Base value/base date 100 as of Jun. 18, 2007
History Available from Jun. 18, 2007
Inception date Aug. 9, 2017
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

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

STRATEGY INDICES

STOXX Emerging Markets ex PK Select 100 EUR

Top 10 Components4

Company Supersector Country Weight
Huaku Real Estate Taiwan 2.323%
Malayan Banking Bhd Banks Malaysia 1.874%
Hon Hai Precision Industry Co Technology Taiwan 1.653%
RHB BANK BHD Banks Malaysia 1.646%
Formosa Plastics Corp Industrial Goods and Services Taiwan 1.398%
TISCO FINANCIAL GROUP Banks Thailand 1.371%
MONETA MONEY BANK Banks Czech Republic 1.351%
Catcher Tech Technology Taiwan 1.271%
Transcend Info Technology Taiwan 1.245%
Ta Chen Basic Resources Taiwan 1.227%

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

4Based on the composition as of March 29, 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.