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BLUE CHIP INDICES

SDAX

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Index Description

SDAX tracks the performance of German small-sized companies, so called small caps. The SDAX contains 70 companies listed on the Regulated Market of Frankfurter Wertpapierboerse (FWB, the Frankfurt Stock Exchange), which fulfill certain quality requirements and follow the 40 DAX companies and 50 MDAX companies in terms of free float market capitalization. Similar to DAX, the SDAX is primarily calculated as a performance index, thus fully reflecting the actual performance of an investment in the index portfolio.

Key facts

  • SDAX is the defining index for German small caps, it serves as underlying for financial products (options, futures, ETFs, structured products) and for benchmarking purposes
  • Index calculation and index composition is determined on the basis of a clear and publicly available set of rules.
  • To be eligible for index inclusion, companies must fulfill a set of basic criteria. The selection of index components is based on free float market capitalization.
  • The index composition is reviewed quarterly in March, June, September and December.
  • Index components are capped at a maximum weight of 15% on a quarterly basis.

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
SDAX 92.3 37.4 0.5 0.4 1.4 0.2 3.8 0.5 34.7
Regulated Market All Share 2,414.4 1,786.7 4.6 0.2 244.0 0.0 13.7 N/A N/A

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
SDAX 1.5 -3.4 44.8 N/A N/A N/A N/A 45.9 N/A N/A
Regulated Market All Share 2.1 12.2 15.7 18.4 N/A N/A N/A 16.0 5.8 N/A
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
SDAX N/A N/A 43.5 43.5 43.5 N/A N/A 0.8 0.8 0.8
Regulated Market All Share N/A N/A 11.8 17.0 16.1 N/A N/A 1.0 0.2 0.4
Index to benchmark Correlation Tracking error (%)
SDAX 0.9 0.8 0.2 0.2 0.2 8.7 8.4 42.2 42.2 42.2
Index to benchmark Beta Annualized information ratio
SDAX 1.0 1.1 0.9 0.4 0.5 -0.9 -2.0 0.5 0.5 0.5

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of November 29, 2024

BLUE CHIP INDICES

SDAX

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
SDAX 42.1 15.5 13.4 13.4 1.0 43.7 0.4 57.3
Regulated Market All Share 18.4 13.7 15.5 15.5 1.5 2.6 0.7 -2.2

Performance and annual returns

Methodology

To be considered for SDAX admission, companies must fulfil the following basic criteria: an existing listing on the Regulated Market of the FWB Frankfurt Stock Exchange, continuous trading on Xetra®, minimum free float of 10%, legal headquarters or operating headquarters in Germany, timely publication of audited Annual Financial Report, half-yearly Financial Reports and Quarterly Statements, and no declared departures by the company from recommendations C.10, D.9 and D.8 of the German Corporate Governance Code. Furthermore, a company that is not an index component yet, must satisfy the following minimum liquidity requirement: minimum order book volume over the last 12 months of 1 bn EUR or turnover rate of 20%. A company that is already an index component must have a minimum order book volume over the last 12 months of at least 0.8 bn EUR or show a turnover rate of 10% at monthly selection list cut-off date in order to remain in the index. The selection of index components is based on free float market capitalization.

The detailed SDAX index methodology can be found in the DAX Equity Index Methodology Guide.

The detailed index calculation formula can be found in the DAX Equity Index Calculation Guide.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Total Return EUR DE0009653386 SDYP SDYP INDEX .SDAXI
Price EUR DE0009653394 SDXK SDXK INDEX .SDAXIP
Net Return EUR DE000A0Z3NE4 SDAXNR SDAXNR INDEX .SDAXIN

Quick Facts

Weighting Free-float market cap
Cap Factor 0.15
No. of components 70
Review frequency Quarterly
Calculation/distribution realtime, 60 sec
Calculation hours 9:00 - 18:00 CET
Base value/base date 1,000 as of Dec. 30, 2015
History tbc
Inception date Nov. 30, 2016
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
AUTO1 GROUP Retail Germany 3.836%
EVOTEC Health Care Germany 3.511%
DEUTSCHE WOHNEN BR.SHS. Real Estate Germany 3.480%
DWS GROUP GMBH & CO. KGAA Financial Services Germany 3.271%
ATOSS SOFTWARE Technology Germany 3.007%
FLATEXDEGIRO N Financial Services Germany 2.931%
DUERR Industrial Goods and Services Germany 2.844%
FIELMANN GROUP Retail Germany 2.377%
SIXT Consumer Products and Services Germany 2.362%
SCHAEFFLER AG Automobiles and Parts Germany 2.350%

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

4Based on the composition as of November 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.

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.