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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 11,586.1 10,845.0 5.3 2.4 53.8 0.0 0.5 0.0 5.7
STOXX US All Cap 52,049.3 49,675.5 21.5 3.0 3,074.3 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 5.6 3.1 12.2 6.0 52.6 N/A N/A 12.2 1.9 8.8
STOXX US All Cap 5.3 6.5 28.4 29.6 87.3 N/A N/A 28.3 9.0 13.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX US Mid and Small Cap N/A N/A 16.7 20.7 24.3 N/A N/A 0.4 0.0 0.3
STOXX US All Cap N/A N/A 12.9 18.2 21.8 N/A N/A 1.6 0.4 0.5
Index to benchmark Correlation Tracking error (%)
STOXX US Mid and Small Cap 0.8 0.9 0.9 0.9 1.0 8.7 7.6 7.9 6.9 7.2
Index to benchmark Beta Annualized information ratio
STOXX US Mid and Small Cap 1.0 1.1 1.2 1.1 1.1 0.4 -2.6 -1.7 -0.9 -0.5

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

2Based on EURIBOR1M

(USD, Net Return), all data as of February 29, 2024

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 36.0 21.0 19.2 19.2 2.6 1.3 1.5 28.1
STOXX US All Cap 29.2 21.9 24.7 24.7 4.2 1.4 2.5 32.3

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.

BENCHMARK INDICES

STOXX US Mid and Small Cap

Top 10 Components4

Company Supersector Country Weight
Constellation Energy Utilities USA 0.496%
ARTHUR J GALLAGHER Insurance USA 0.486%
PALANTIR TECHNOLOGIES A Technology USA 0.451%
COPART Consumer Products and Services USA 0.443%
UNITED RENTALS Industrial Goods and Services USA 0.433%
D.R. Horton Inc. Consumer Products and Services USA 0.428%
OLD DOMINION FGT. LINES Industrial Goods and Services USA 0.421%
ONEOK Inc. Energy USA 0.403%
W.W. Grainger Inc. Industrial Goods and Services USA 0.403%
PG&E Utilities USA 0.402%

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

4Based on the composition as of February 29, 2024