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Emix Europe Index
- 1. The EMIX Europe Index Series Oneliquid,investibleindex
- 2. “Sinceweacquiredourindex business inautumn2013we havebeencarefullyassessing thebenchmarkingneeds ofthe financial industry.Wehave identifiedapressingneed amonginvestors foraccess to costeffective,robustindices whicharesuitedtotoday’s investmentenvironment.The inclusionofsmallercompanies inour indices offers amore completerepresentationofthe Europeanmarketthroughan investable,liquidindex.” Sui Chung, Managing Director, Euromoney Indices.
- 3. The EMIX Europe constituents at a glance Introducing EMIX Europe TheEMIXEuropeIndexSeriesisanewbenchmarkseriesfromEuromoney Indices designedtoaddressinvestmentmanagers’ needsto diversify into smallercompanies inordertoaccessattractivegrowthopportunitiesacrossthecontinent. Bycombininglargecapsandinvestiblemidandsmallcaps, EMIXEuropecaptures90% ofEurope’smarketcapitalisation,andbringsto theindustry auniquethreedimensional approachtoindexing: • A unique index construction methodology comprising a mix of large and liquid mid and small sized caps • A commitment to delivering better value for money, with a transparent and clear pricing structure • A barrier-free licence, giving greater flexibility to use the indexes with no additional fees Companiesintheindexseries 647 * Revenues €9.7 trillion** Countriescovered 16 Profits €591 billion** Marketcapitalisation €8.0 trillion* Tax paid €285 billion** Employees 27 million** Data history available back to 2006 * Asat22September2014 **Basedonthelastfinancialyearavailable
- 4. Defining the EMIX Europe liquid universe AllEuromoneyindices arederivedfromtheEMIXLiquidUniverse.Thisuniversecovers99.95%oftheworld’s marketcapitalisation,screenedforfreefloat,foreigninvestorlimitsandliquidity.Themostliquidlineofeach companyis includedintheuniversewhichinmostcaseswillbetheprimarylisting,butliquiddepositaryreceipts arealso includedwheretheunderlyingstockisunlistedorunavailabletoforeigninvestors. Combining the elements to create EMIX Europe Large caps together with liquid mid and small caps Thelargecapstocks fromEurope(exUK)andfromtheUKareincludedinEMIXEuropeandarecombined withthelargestEuropemidandsmallcapstocks,ensuringthat35%oftheEuromoneySmallerEuropean Companies Indexis capturedandthateachselectedstocksatisfiestheminimumliquidityrequirement. Establishing a minimum ADTVrequirement By employingastrictminimumaveragedailytradedvalue(ADTV)filter,EuromoneyIndicesensuresthat35%of theEuropemidandsmallcaps arerepresentedwithoutreducingtheoverallliquidity.Thisisachievedbysetting theminimumliquidityrequirementformidandsmallcapsattheleveloftheleastliquidlargecapconstituent. ThelargecapEuropestocks andthemostliquid35%oftheEuropemidandsmallcapstocksarerepresented intheEMIX EuropeIndex,themainindexintheseries.Theindexisrebalancedeveryquarter,withamajor rebalancetakingplaceinSeptemberwhenthemonthlyADTVofeverylargecapconstituentoftheindexis establishedforthepreceding12months,andeachindividualobservationisrankedbytradedvaluewiththe bottom1percentbeingdiscardedas outliers.The99thpercentileofADTVobservationsisthentakenasa measureofthelowestacceptablelevelofliquidityforaconstituentoftheEMIXEuropeIndex.Thisisknown astheMinimumADTVRequirement,andallpotentiallarge,midandsmallcapconstituentsmustfulfilthis requirementtoentertheindex. The EMIX Europe Index constituents in summary • 350 largecapEurope(exUK)stocks • Circa120largeUKstocks withamarketcapitalisationequaltoorabovethesmallest largecapEurope(exUK)stock • Circa 170Europemidandsmallcapstocksthat - meettheMinimumADTVRequirement - capture35%ofthecapitalisationoftheEuromoneySmallerEuropeanCompaniesIndex Building the structure of EMIX Europe Europe (ex UK) large caps • Companies fromtheliquiduniversethatare domiciledinEurope(exUK)arerankedin descendingorderofmarketcapitalisation • 350 stocks captureatleast85%ofthetotal investibleEuropeanequitymarkethistorically • The350largeststocks bymarketcapareselected aslargecapconstituents oftheEMIX Europe Index Europe (ex UK) mid and small caps • Thenext1000companies(rankedbymarket capitalisation)fromtheliquiduniversethatare domiciledinEurope(exUK)areextractedtoform constituentsoftheEuromoney Smaller European Companies (ex UK) Index UK large caps • Companies fromtheliquiduniversethatare domiciledintheUKarerankedindescendingorder ofmarketcapitalisation • Thecompanywhosemarketcapitalisationmatches the 350thEurope(exUK)companybecomesthe cut-offpointforlargecapinclusion • AllUKcompanies withamarketcapabovethiscut offpointaredefinedas UKlargecaps • Circa120UKlargecapstocks enterthe EMIX Europe Index UK mid and small caps • Thenext350companies(rankedbymarket capitalisation)fromtheliquiduniversethatare domiciledtheUKareextractedtoformconstituents oftheEuromoney Smaller UK Companies Index
- 5. EMIX Europe Market weightings No. of Market Cap Weight Yield Market companies (EUR bn) % % Austria 10 34.7 0.4 2.5 Belgium 14 156.9 2.0 2.5 Denmark 20 201.0 2.5 1.6 Finland 16 103.1 1.3 3.5 France 91 1,213.1 15.2 3.1 Germany 75 1,079.9 13.6 2.7 Greece 7 31.8 0.4 0.2 Ireland 8 55.8 0.7 1.4 Italy 44 336.3 4.2 2.5 Netherlands 30 322.1 4.0 2.3 Norway 15 115.5 1.4 4.3 Portugal 8 28.6 0.4 2.7 Spain 38 440.3 5.5 4.6 Sweden 42 375.5 4.7 3.4 Switzerland 50 1,034.4 13.0 2.9 UK 179 2,440.1 30.6 3.8 Total 647 7,969.2 100.0 3.2 Industry group weightings No. of Market Cap Weight Yield Industry group companies (EUR bn) % % Natural resources 36 838.9 10.5 4.6 Basic materials 70 555.4 7.0 2.7 Industrial goods 71 734.2 9.2 2.7 Technology 31 302.8 3.8 1.8 Consumer goods 91 2,091.2 26.2 2.8 Business providers 150 1,282.4 16.1 3.8 Retail providers 46 306.8 3.9 3.0 Financial 152 1,857.6 23.3 3.3 Total 647 7,969.2 100.0 3.2 All data as at close 22 September 2014. Index performance since inception Liquid universe (distribution by size and traded value) Market cap (EUR) ADTV(EUR) 10k 100k 1000bn100bn10bn1bn100m10m 1m 10m 100m 1000m EMIX Europe (large cap) Minimum turnover ratio Non EMIX Europe (large cap) EMIX Europe (mid and small cap) Minimum Market Cap Upper Buffer Minimum Market Cap Lower Buffer Euromoney Smaller European Companies Minimum ATDVUpper Buffer Minimum ATDVLower Buffer Dec06 Jun08 Jun09 Jun10 Jun11 Jun12 Jun13Jun07 Jun14Dec08 Dec09 Dec10 Dec11 Dec12 Dec13Dec07 25 0 50 100 130 –GrossTotal Return –NetTotal Return –Price Return
- 6. Committing to better value for money and transparent pricing EMIXEurope’s fullytransparentflatrateincludestheabilitytousetheindexnameanddatainallmarketing materials,anywhereintheworld,bothinprintandonline.Thefeeincludesfullycomprehensivedataservices asstandard,includingdailyconstituentfiles,dailydivisorandtraderfilesandafivedayforwardlooking corporate actions calendar. • Singlesitelicence-£28,500 • Countrylicence-£32,000 • Continentlicence-£35,000 • 2Continentlicence-£50,000 • Globallicence-£60,000 What’s included? • Daily Constituents • Allregion,country,currencyandreturnindices • Useofindices forin-houseblendedindices • Useofindices forfundpublications • Performancelicenceincluded • Custodianlicenceincluded • EMICSclassificationlicenceincluded • IndexValues sinceinception • Daily corporateactions file For more information: Scott Thomson Phone: 01312209090 Email: scott.thomson@euromoneyplc.com Sui Chung Phone: 02077798647 Email: schung@euromoney.com Euromoney Indices HobartHouse, 80 HanoverStreet, Edinburgh EH21EL,UK To viewthefulllistofindices withintheEMIXEuropeIndexSeriesseeBloomberg, ThomsonReuters orvisiteuromoneyindices.com
- 8. Issued by Euromoney Trading Limited. Registered office: Nestor House, Playhouse Yard, London EC4V5EX. Registration Number: 5935420 – England. Part of the Euromoney Institutional Investor PLC group.