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EUROFIDAI Benchmark Indices Asia/Middle-East/Oceania

Types of data

EUROFIDAI Indices for Europe, 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)
EUROFIDAI Factor indices and benchmark portfolios
  • Index holding return (with reinvested dividends)

Data Range & Origin

Database version: December, 2022

EUROFIDAI benchmark indices are computed by EUROFIDAI with EUROFIDAI quality stock data. EUROFIDAI stock data is Six Financial Information data, screened and verified by EUROFIDAI.

EUROFIDAI Indices by country and by sector (value-weighted and equally-weighted)
  • Period: January, 1989 - September, 2022 (period may vary depending on the country)
  • Number of indices: 812
EUROFIDAI Factor indices and benchmark portfolios

Portfolios formed on size, book-to-market, momentum and risk free interest rates to compute the market premium factor)

  • Period: July, 1989 - September, 2022 (period may vary depending on the country)
  • Number of indices: 494
  • The period, number and type of benchmark indices may vary depending on the information available for each country. Please read the documentation for more details.

Data overview: download

EUROFIDAI Indices by country and by sector

EUROFIDAI computes indices per country (19 countries). 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 (by country) benchmark indices: one equally-weighted, the other capitalization weighted

  • Sector indices covering ten general economic sectors (this number may vary depending on the stock exchange)

EUROFIDAI 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 19 countries from Asia, Middle-East and Oceania geographical areas. 

  • 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