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BENCHMARK INDICES

STOXX Emerging Markets 800 LO

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Index Description

The STOXX Emerging Markets 800 LO (Liquidity Optimized) Index is derived from the STOXX® Emerging Markets 1500 Index. With a coverage of about 80% of emerging equity markets’ free-float market cap, the STOXX Emerging Markets 800 LO offers broad, yet liquid access to emerging markets, thus ensuring easy tradability. The weighting scheme aims to improve tradability further by underweighting companies that are illiquid relative to their market cap. The index represents large- and mid-capitalization companies across 20 countries: Brazil, Chile, China, Colombia, Egypt, Greece, India, Indonesia, Malaysia, Mexico, Pakistan, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, Turkey, and Vietnam.

Key facts

  • Broad and liquid benchmark for emerging markets with a fixed number of components
  • Improved tradability achieved by underweighting components that are illiquid relative to their market cap
  • Covers markets that are represented by their local shares traded on the respective local stock Exchange
  • Index components selected by free-float market cap and average daily traded value
  • Buffer rule to reduce turnover

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 Emerging Markets 800 LO 8,211.9 4,989.4 6.2 2.9 536.8 0.7 10.8 0.0 20.1
STOXX Emerging Markets Total Market 13,406.1 7,603.4 1.7 0.3 744.6 0.0 9.8 0.0 4.8

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 800 LO -3.7 5.7 11.8 4.0 28.3 N/A N/A 12.0 1.3 5.2
STOXX Emerging Markets Total Market -3.0 6.8 12.8 8.8 38.1 N/A N/A 13.0 2.9 6.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Emerging Markets 800 LO N/A N/A 14.3 15.4 17.5 N/A N/A 0.5 -0.1 0.2
STOXX Emerging Markets Total Market N/A N/A 12.9 14.2 16.8 N/A N/A 0.7 0.0 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Emerging Markets 800 LO 1.0 1.0 1.0 1.0 1.0 2.9 2.8 2.8 2.6 2.4
Index to benchmark Beta Annualized information ratio
STOXX Emerging Markets 800 LO 1.0 1.1 1.1 1.1 1.0 -2.8 -0.3 -0.3 -0.6 -0.7

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of November 29, 2024

BENCHMARK INDICES

STOXX Emerging Markets 800 LO

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 800 LO 13.1 11.7 11.9 11.9 1.5 3.1 0.8 24.5
STOXX Emerging Markets Total Market 14.7 13.4 12.9 12.9 1.7 2.7 0.7 15.6

Performance and annual returns

Methodology

The STOXX Emerging Markets 800 LO Index universe is defined by the STOXX Emerging Markets 1500 Index. All companies from the universe with an average daily traded value greater than or equal to EUR 0.5 million are eligible for inclusion in the index. The largest 800 companies are then selected, taking into account the 720/880 buffer rule.
The index is weighted by free-float market cap. A capping factor is applied in order to underweight companies that are illiquid relative to their market cap.
A detailed description of the index methodology can be accessed in the index rulebook:
http://www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0375727150 SX80EP .SX80EP
Gross Return EUR CH0375727143 SX80EGR .SX80EGR
Net Return EUR CH0375727192 SX80ER .SX80ER
Net Return USD CH0375727184 SX80EV .SX80EV
Gross Return USD CH0375727168 SX80EGV .SX80EGV
Price USD CH0375727176 SX80EL .SX80EL

Quick Facts

Weighting Free-float market cap
Cap Factor Liquidity optimized / 10%
No. of components 800
Review frequency Quarterly (Mar., Jun., Sep., Dec.)
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
TSMC Technology Taiwan 10.756%
Samsung Electronics Co Ltd Telecommunications South Korea 4.013%
CHINA CONSTRUCTION BANK CORP H Banks China 1.474%
Hon Hai Precision Industry Co Technology Taiwan 1.462%
SK HYNIX INC Technology South Korea 1.246%
MediaTek Inc Technology Taiwan 1.238%
ICBC H Banks China 0.938%
HDFC Bank Ltd Banks India 0.851%
BANK OF CHINA 'H' Banks China 0.777%
PING AN INSUR GP CO. OF CN 'H' Insurance China 0.748%

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.