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BENCHMARK INDICES

STOXX US Mid and Small Cap

Index Description

The STOXX US Mid and Small Cap Index is a market cap weighted index designed to represent the performance of the Mid and Small Cap companies from US covering approximately 30% of investable market capitalization. STOXX US Mid and Small Cap Index is suitable for global investment products which include funds, exchange traded funds, and derivatives and can also be used for further building block approach strategies when appropriate. It follows a robust and modular framework which enables investors to utilize this index for a variety of investment objectives whilst using a consistent approach. It is derived from the STOXX World Equity Index series and its countries follow the STOXX World Country Classification Framework.

Key facts

  • Broad, yet liquid coverage of Mid and Small cap companies that supports clients' global investment decisions whilst avoiding home biases.
  • A consistent and transparent methodology which fully embraces global standards of governance.
  • Can serve as a basis for numerous derived strategies.
  • Constructed using STOXX World Methodology.
  • Its countries follow the STOXX World Country classification framework.

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX US Mid and Small Cap 9,477.7 8,857.8 4.3 2.0 50.7 0.0 0.6 0.0 5.8
STOXX US All Cap 42,854.5 40,791.4 17.4 2.5 2,513.4 0.0 6.2 0.0 2.2

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 US Mid and Small Cap -5.8 -3.0 -3.7 13.4 31.1 N/A N/A -3.7 4.3 5.6
STOXX US All Cap -2.7 9.3 8.1 27.1 58.5 N/A N/A 8.1 8.3 9.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX US Mid and Small Cap N/A N/A 18.6 20.8 24.5 N/A N/A -0.4 0.2 0.2
STOXX US All Cap N/A N/A 16.1 18.4 22.2 N/A N/A 0.3 0.4 0.4
Index to benchmark Correlation Tracking error (%)
STOXX US Mid and Small Cap 0.9 0.9 0.9 0.9 1.0 8.4 6.7 6.4 6.8 6.9
Index to benchmark Beta Annualized information ratio
STOXX US Mid and Small Cap 1.1 1.1 1.1 1.1 1.1 -4.5 -2.1 -1.8 -0.5 -0.5

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

2Based on EURIBOR1M

(USD, Net Return), all data as of October 31, 2023

BENCHMARK INDICES

STOXX US Mid and Small Cap

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 US Mid and Small Cap 30.8 18.4 14.8 14.8 2.2 1.1 1.2 8.4
STOXX US All Cap 25.5 19.7 20.4 20.4 0.1 1.2 2.0 18.6

Performance and annual returns

Methodology

The STOXX US Mid and Small Cap Index is a market cap weighted index designed to represent the performance of the Mid and Small Cap companies from US covering approximately 30% of investable market capitalization. STOXX US Mid and Small Cap Index is suitable for global investment products which include funds, exchange traded funds, and derivatives and can also be used for further building block approach strategies when appropriate. It follows a robust and modular framework which enables investors to utilize this index for a variety of investment objectives whilst using a consistent approach. It is derived from the STOXX World Equity Index series and its countries follow the STOXX World Country Classification Framework.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1213349397 SWUSMSR .SWUSMSR
Gross Return EUR CH1213349405 SWUSMSGR .SWUSMSGR
Price EUR CH1213349413 SWUSMSP .SWUSMSP
Net Return USD CH1213349363 SWUSMSV .SWUSMSV
Gross Return USD CH1213349371 SWUSMSGV .SWUSMSGV
Price USD CH1213349389 SWUSMSL .SWUSMSL

Quick Facts

Weighting Free-float market capitalization
Cap Factor N/A
No. of components Variable
Review frequency Semi Annual
Calculation/distribution Realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 1000 as of March. 21, 1997
History Available from Mar. 21, 1997
Inception date November. 16, 2022
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://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.

BENCHMARK INDICES

STOXX US Mid and Small Cap

Top 10 Components4

Company Supersector Country Weight
ARTHUR J GALLAGHER Insurance USA 0.573%
PG&E Utilities USA 0.473%
COPART Consumer Products and Services USA 0.469%
Hess Corp. Energy USA 0.453%
OLD DOMINION FGT. LINES Industrial Goods and Services USA 0.439%
Constellation Energy Utilities USA 0.410%
Halliburton Co. Energy USA 0.399%
BAKER HUGHES Energy USA 0.392%
REALTY INCOME Real Estate USA 0.379%
Fastenal Co. Basic Resources USA 0.376%

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

4Based on the composition as of October 31, 2023

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.