Benchmark indices

“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)