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EURO STOXX 50 Index EURO STOXX 50® Europe’s Leading Blue-Chip Index June 2020 1 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Content 02 Introduction Drivers of Strategic and Tactical 12 Allocations to the Eurozone 17 Appendix STOXX is now Part of Qontigo… A new financial intelligence driver, modernizing investment management Index Analytics STOXX & DAX AXIOMA World-class indices that are licensed to more Best of breed portfolio construction and risk than 500 companies, including the world’s analytics tools. largest financial product issuers, capital owners and asset managers. 3 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. EURO STOXX 50® - A Unique Offering for Liquid, Diversified Access to the Eurozone Features Regional Coverage1) ▪ Comprehensive and transparent: completely rules-based coverage of the Eurozone1) ▪ Balanced: selection mechanism ensures balanced representation of supersectors using Industry Classification Benchmark (ICB) ▪ Representative and liquid: coverage of about 60% of total free-float through liquid supersector leaders. Components ranked and weighted by free-float subject to 10% cap ▪ Continuous pulse on market changes: quarterly rebalancing, annual review ▪ Established: launched on Feb. 26, 1998 1) Country composition as of March 2020: Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands and Spain 4 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Methodology Leads to Balanced Representation of Eurozone Supersector Leaders Sub- Universe universes Pre-selection Selection Weighting ... rank stocks by free- EURO STOXX® Select 50 largest float and select largest (covers approximately Within each of the 19 stocks as measured Weight by free-float stocks jointly by free-float from all subject to 10% cap 95% of Eurozone free- supersectors ... accounting for 60%1) of stocks thus selected float) supersector free-float. 1) More concisely, the maximum number of largest stocks as measured by free-float is selected such that the supersector market coverage still remains below 60% 5 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Risk and Return Characteristics Key Figures1)3) Performance EURO STOXX 50®1)3) EURO STOXX 50® EURO STOXX® 220 (EUR GR) (EUR GR) Perf. overall (annualized) 3.50% 4.50% 200 Perf. (1Y) -14.09% -14.82% 180 Perf. (3Y) (annualized) -4.15% -3.84% 160 Perf. (5Y) (annualized) -2.13% -1.25% Vol. overall (annualized) 20.93% 19.59% 140 Volatility (1Y) (annualized) 26.05% 25.00% 120 Volatility (3Y) (annualized) 18.23% 17.54% 100 Volatility (5Y) (annualized) 19.78% 18.78% Sharpe ratio (Overall)2) 0.27 0.32 80 Sharpe ratio (5Y)2) 0.01 0.05 60 Tracking error (overall) 2.71% Tracking error (5Y) 2.34% Dividend yield (overall) 3.86% 3.83% EURO STOXX 50 (EUR GR) EURO STOXX (EUR GR) Maximum drawdown 38.23% 37.88% 1) Source: STOXX, daily data. Relative figures calculated against Benchmark 2) EONIA used as a proxy for riskless returns Constituents 50 300 3) STOXX Data Mar 31, 2010 – March 31, 2020 6 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Well Diversified Across Sectors and Countries … Country Allocation1) Industry Allocation1) France Consumer Goods Germany Financials Industrials Netherlands Technology Spain Health Care Italy Basic Materials Belgium Utilities Ireland Oil & Gas Finland Consumer Services Others Telecommunications 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 0% 5% 10% 15% 20% EURO STOXX 50® EURO STOXX® 1) STOXX data as of Mar. 31, 2020 7 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. … and thus Represents many of Europe’s Best Known Brands Top 10 Constituents1) Other Constituents1) Name Country Weight SAP Germany 5.63% ASML Holding Netherlands 5.18% Total France 4.62% Sanofi France 4.56% LVMH Moet Hennessy France 4.51% Linde Germany 4.45% Allianz Germany 3.28% Siemens Germany 3.10% Unilever Netherlands 3.08% L’Oreal France 2.91% Sum 41.32% 1) STOXX data as of Mar. 31, 2020 8 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Liquidity of EURO STOXX 50® is Three Times that of the EURO STOXX® Market Coverage vs. Liquidity Distribution of Component Liquidity2) 275 500 450 EURO STOXX 50 mn mn 250 400 350 225 300 250 200 200 150 month month ADTV in EUR - month month ADTV in EUR - 3 3 100 1) 1) 175 EURO STOXX 50 EURO STOXX Total Market - Average Average 150 EURO STOXX 50 EURO STOXX EURO STOXX TMI 40% 60% 80% 100% Coverage of total free-float in respective region 1) STOXX data. ADTV: weighted average daily trading value as of March 31, 2020 2) STOXX data as of March. 31, 2020 (composition) and March. 31, 2020 (ADTVs) 9 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. The EURO STOXX 50® has Attracted Strong Asset Inflows Diverse Product Range ▪ First ETF on the EURO STOXX 50® was launched 20 years ago ▪ Has since grown with over 40 different products available across a range of providers that includes variants: ▪ EURO STOXX 50® Daily Leverage ▪ EURO STOXX 50® Futures Roll ▪ EURO STOXX 50® Daily Hedged ▪ EURO STOXX 50® Daily Short ▪ Almost EUR 30bn in ETF assets under management (AuM)1) which is the largest of any Eurozone based underlying ▪ ESG version that incorporates sustainability measures whilst maintaining similar risk and return profile was launched April 2019: ▪ EURO STOXX 50® ESG 1) STOXX Ltd. March 2020 10 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. 11 50 STOXX EURO | | 2) 1) Capital Open Interest EUR bn ▪ ▪ 100 120 140 160 180 Confidential Confidential 20 40 60 80 Eurex Eurex data as of 1, Mar. 2020 https://w ww.fia.org/articles/2019 0 Mar-10 Capital Open Interest They consistently demonstrate high open interest attract and a significant network globalof market participants. EURO STOXX50 May-10 Jul-10 – Sep-10 Not for Redistribution Redistribution for Not Nov-10 Jan-11 Mar-11 May-11 - Jul-11 market Sep-11 ® Futures Futures traded on Eurex are among the mostliquid ® - Nov-11 data Jan-12 - Index Futures are Amongst the Most Globally Liquid Most the Amongst are Futures Index EUR EUR 152bn - derivatives – Mar-12 Copyright © 2020 Qontigo GmbH. GmbH. Qontigo 2020 © Copyright May-12 Jul-12 - volume Sep-12 Nov-12 - Jan-13 2) grow s Mar-13 - May-13 bric Jul-13 - bric Sep-13 Nov-13 Jan-14 Mar-14 May-14 Qontigo Jul-14 Sep-14 Nov-14 is part of of Deutsche part is Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 exchange Mar-16 Börse May-16 Jul-16 Group. Sep-16 Nov-16 - traded derivatives Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 in 10)the world (Top Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20 1 Mar-20 . Drivers of Strategic and Tactical Allocations to the Eurozone 12 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Home Market Biases are being Reduced Globally Pension asset allocation: domestic equity in % of total equity by country1) 1) Towers Watson, Global Pension Assets Study 2020 13 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Eurozone Equities are Moderately Priced in a Regional Context… Price to EBITDA1) Price to Book1) 13 4 12 3.5 11 3 10 2.5 9 2 8 7 1.5 6 1 Apr-15 Dec-15 Aug-16 May-17 Jan-18 Oct-18 Jun-19 Feb-20 Apr-15 Jan-16 Sep-16 Jun-17 Feb-18 Oct-18 Jul-19 Mar-20 EURO STOXX 50® STOXX® EUROPE 600 STOXX® USA 900 1) Bloomberg monthly data from Apr. 30, 2015 to Mar. 31, 2020 14 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. ... while Offering Attractive Dividend Yield Dividend Yield1) 4.5 4 3.5 3 2.5 2 1.5 Apr-15 Jan-16 Sep-16 Jun-17 Feb-18 Oct-18 Jul-19 Mar-20 EURO STOXX 50® STOXX® EUROPE 600 STOXX® USA 900 1) Bloomberg monthly data from Apr. 30, 2015 to Mar. 31, 2020 15 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Main Drivers of Strategic and Tactical Allocations to Europe Globalization Global investors increasingly apply all-country approaches to asset allocation Size Europe and Eurozone are among the world’s largest contiguous markets Macro-environment Positive macroeconomic trends and continued low interest rate environment Pricing Eurozone equities are moderately priced in cross-sectional comparison 16 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Appendix 17 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Construction of the EURO STOXX 50® in a Nutshell Country Country TMI 1 TMI 2 Country Country Country TMI 3 TMI 4 TMI 5 ▪ All total market indices (“TMIs”) in developed Europe (18 countries) … Country TMI 18 STOXX® Europe 600 ▪ Largest 600 companies in developed European TMIs EURO STOXX® ▪ All Eurozone stocks in STOXX® Europe 600 EURO STOXX 50® ▪ 50 supersector leaders from EURO STOXX® 18 | Confidential – Not for Redistribution – Copyright © 2020 Qontigo GmbH. Qontigo is part of Deutsche Börse Group. Construction of the EURO STOXX 50® in Detail Step 1: • Generate STOXX Total Market Index (“TMI”) for all developed markets in Europe per STOXX country classification.
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