Benchmark indices

Types of data

“EUROFIDAI Benchmark indices” database: 
  • Benchmark factors and portfolios have been recomputed from their respective starting observation date. 
  • Country indices as well as sector indices, benchmark factors and portfolios available at the country level are calculated in two ways: with or without stocks issued by non-domestic issuers. 
  • Europe indices are based on two different sets: one of 11 and one of 17 European countries. They are calculated using exclusively common stocks and by excluding in each country the stocks issued by non-domestic issuers. The set of 11 is composed of members from the Eurozone at the date of 01/01/1999: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain. The set of 17 is composed of members of EU at the date of 01/01/1995: Austria, Belgium, Denmark Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal, Spain, Sweden, UK plus Norway and Switzerland. 
  • A monthly index file is available in which monthly index returns are calculated by compounding (geometrically linking) daily index returns for a given month. 
  • In addition to its existing benchmark factors and portfolios (size / book-to-market / momentum factors and portfolios), EUROFIDAI provides risk-free interest rates to compute the Market premium factor.
Indices by country and by sector
  • Index return (daily and monthly), calculated from adjusted closing index (with or without reinvested dividends)
  • Index holding value (with or without reinvested dividends)
  • Number of stocks covered by the index (the default settings calculate the indices without the foreign stocks quoted in the considered country. An option is available to calculate them with the foreign stocks)
Factor indices and benchmark portfolios
  • Index holding return (with reinvested dividends)

Data Range & Origin

EUROFIDAI benchmark indices are computed by EUROFIDAI with EUROFIDAI quality stock data. EUROFIDAI stock data is provided by Six Financial Information and verified by our services.

Indices by country and by sector (value-weighted and equally-weighted)
  • Period: January 1977 - December 2023 (period may vary depending on the country)
Factor indices and benchmark portfolios
  • Period: July 1983 - December 2023

Data Coverage Map

Indices computed by EUROFIDAI with its high quality Stock data

Indices by country and by sector

EUROFIDAI computes indices per country (34 countries) and region, including two indices for Europe (a 11 country index and a 17 country index quoted in dollars and in euros). It also provides indices per sector.
This database contains prices and returns for all EUROFIDAI indices (with or without dividends). These indices are built in the same manner as CRSP indices, meaning that all (class A) stocks are taken into consideration. Indices are also calculated with or without foreign stocks quoted on local stock exchanges.

  • General (for Europe and by country) benchmark indices: i) equally-weighted, ii) market capitalization weighted
  • Sector indices covering ten general economic sectors (this number may vary depending on the stock exchange)

Factor indices and benchmark portfolios

This database provides returns for factor indices and benchmark portfolios. Factor-mimicking (portfolio benchmark) indices are computed in the spirit of the papers of Fama and French (1992, 1993) and Carhart (1997). EUROFIDAI computes factors and benchmark portfolios for 2 geographical areas including 11 or 17 European countries.

  • Factor indices: size, book-to-market and momentum factors
  • Benchmark portfolios:
    • portfolios formed on size
    • portfolios formed on book-to-market
    • portfolios formed on momentum
  • Risk free interest rates to compute the market premium factor

 

You can download here the descriptive documentation for our Indices database :

  1. Eurofidai benchmark indices guide
  2. Indices Data sample