>>>https://technet.microsoft.com/en-us/library/jj835095%28v=sql.110%29.aspx?f=255&MSPPError=-2147217396
>>>
>>>Somewhere in the middle of the article you can find the following:
>>>
>>>Consider using filtered indexes on columns that have well-defined subsets, for example sparse columns, columns with mostly NULL values, columns with categories of values, and columns with distinct ranges of values. A well-designed filtered index can improve query performance, reduce index maintenance costs, and reduce storage costs.
>>>Consider the order of the columns if the index will contain multiple columns. The column that is used in the WHERE clause in an equal to (=), greater than , less than , or BETWEEN search condition, or participates in a join, should be placed first. Additional columns should be ordered based on their level of distinctness, that is, from the most distinct to the least distinct.
>>>For example, if the index is defined as LastName, FirstName the index will be useful when the search criterion is WHERE LastName = 'Smith' or WHERE LastName = Smith AND FirstName LIKE 'J%'. However, the query optimizer would not use the index for a query that searched only on FirstName (WHERE FirstName = 'Jane').
>>
>>If I read that right then my supposition was correct ? :
>>"Additional columns should be ordered based on their level of distinctness, that is, from the most distinct to the least distinct."
>
>In other words, from the most selective (e.g. column with many unique values) to the less selective (column with less values). This is how I understand it and this is what I said.

You said: "If you have many categories and just few sites, then using Category as first column "