Hello! I am developing an small caps strategy with Europe data, and i need a small caps ETF in eur benchmark to compare live restults. I’ve seen there is a lot of USD benchmark but only one in EUR. ¿Is it possible to have more eur ETF in the benchmark list?
Thank you!
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Hi,
We will add in a few weeks many more European benchmarks (for most of the currencies) including those specific to small caps.
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Finally! Great news.
For Poland please the following:
- small cap : sWIG80, mid cap: mWIG40, large caps: WIG20, the whole market: WIG.
Then of course DAX, CAC, FTSE and OMX are quite obvious.
I appreciate the work on this, but isn't it easier and more accurate to simply add the universe as a benchmark?
As I understand custom benchmarks are not supported yet... ?
It would be a nice feature.
Would you mind sharing which benchmarks you’re planning to add?
waiting, waiting... 
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For now, we are about to release:
Msci Europe Mid
Msci Europe Small
Eurostoxx 50, Eurostoxx 600
Msci Germany, UK, France, Switzerland, Netherlands, Denmark, Sweden, Italy, Spain, Finland, Belgium, Poland, Greece, Turkey
Aggregate Euro Treasury 1-3, 3-7, 7-10, 10-20, 20+, all maturities
S&P Sovereign Bond Index for: U.K., Switzerland, Denmark, Sweden, Poland, Turkey
We will add more specific benchmarks and hedges down the line.
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Looks good, thanks. 
However, core msci indices cover mostly large caps e.g., MSCI Poland covers only 14 largest stocks, mostly state-owned monopolies, 50% of stocks are banks. It is not my game.
I would be happy to see indices that cover small/mid caps, or even better, the the whole market.
MSCI has a Small cap index for Germany, UK, France, Switzerland, Italy, Spain (SMID) and Finland.
Thre is a MSCI Nordic Countries Small Cap Index too that would be great.
@Riki37 do you have any idea when this will be rolled out? thanks!
waiting, waiting...
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The new European benchmarks have been released. They are now organized by region rather than currency category, simplifying selection. While fewer than initially planned, these benchmarks should cover most needs. Currency values are automatically converted to match the backtest currency.
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Thanks for releasing benchmarks for Europe.
However, benchmark for Poland makes little usage since the base currency is USD ( I guess).
And as you can see, it is easy to beat this benchmark (2007-2024) when investing in Polish stocks using PLN as a base currency....
What about allowing to use custom universe (equally weighted) as a benchmark ?
We will soon ( 
) release the capability of using the starting universe as an equally weighted benchmark. This will be especially helpful for AI factors targeting excess return with a small universe.
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Imo the Europa benchmarks that follow US ETF’s should be removed. You will have a look ahead bias since the US market closes later than the EU market, and the US market is leading.
I can tell if the EU market will open up or down with a very high certainty just by looking at how the US market closed the day before.
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