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EUROFIDAI Benchmark indices: Europe

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 provided by Six Financial Information and verified by our services.

EUROFIDAI Indices for Europe, by country and by sector (value-weighted and equally-weighted)
  • Period: January, 1977 - September, 2022 (period may vary depending on the country)
  • Number of indices: 1156
EUROFIDAI factor indices and benchmark portfolios

Formed on size, book-to-market, momentum and risk free interest rates to compute the market premium factor (the period, number and type of benchmark indices may vary depending on the information available for each country).

  • Period: July, 1983 - September, 2022
  • Number of indices: 724

Data overview: download

 

Indices computed by EUROFIDAI with its high quality Stock data

EUROFIDAI Indices for Europe, by country and by sector

EUROFIDAI computes indices per country (27 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)

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 2 geographical areas including 11 or 17 European countries.

  • EUROFIDAI Factor indices: size, book-to-market and momentum factors
  • EUROFIDAI 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