Index description

Universe of Index Components
Only exchange listed stocks of companies who are part of the European continent.
Index Components and their selection
Companies that fulfil the following criteria:
1. Headquarter located in Europe
2. Primary security located in Europe
3. On the selection day: Largest 600 companies by Market Capitalization in EUR
he following countries are included in the term “Europe”:
Austria, Belgium, CzechRepublic, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland, United Kingdom
Any listed criteria are only effective to a specific component on the day of addition to the Index.
Allocation of Index Components
The Index Allocator intends to build a portfolio with maximum possible overall factor exposure by creating an optimal mix between a long and a short basket. An optimization process is utilized to achieve this goal while satisfying further constraints that ensure tradability. If no direct solution is found, the constraints are loosened following a heuristic approach until an index portfolio is found. The allocation of the final index is rebalanced on every Adjustment Day to be 100% long basket – 100% short basket.
The factor exposure or score is measured as composite of the subgroups for the long basket and the inverse composite of the subgroups for the short basket. Those subgroups consist of different ratios calculated from base data (balance sheet, income statement, price, estimates) or from other subgroups.
The composite of subgroups to create the final factor and the composite of the base data to create the subgroups are calculated applying a normalization on super sector level on each component before combining the results. The normalization is done as the mapping of each assets relative rank to the corresponding normal distribution quantile (gaussing).