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DIVIDEND INDICES

STOXX Europe Maximum Dividend 40

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Index Description

The STOXX Europe Maximum Dividend 40 is designed to maximize the dividend yield of the index portfolio. The index comprises 40 stocks from the STOXX Europe 600 with the highest expected dividend yield. The dividend yield is calculated on the basis of a three-month dividend forecast and the closing price of the securities at the time of selection.

Key facts

  • Quarterly review to track as closely as possible the performance of the highest dividend-yielding companies and to take into account the fact that dividend payments take place frequently throughout the year in North America
  • Portfolio is screened for liquidity based on two criteria: index constituents must have a three-month average daily trading volume (3-month ADTV) of at least 4 million euros and stocks are selected on the basis of their liquidity-adjusted dividend yield
  • Well-diversified, due to 10% component capping
  • Weighting of single components is based on their expected liquidity-adjusted dividend yield: the higher the dividend yield of a company and the higher its liquidity, the higher its weighting in the index

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Europe Maximum Dividend 40 N/A 1.0 0.0 0.0 0.1 0.0 6.4 1.4 381.3
STOXX Europe 600 13,409.1 10,702.4 17.8 6.2 325.6 1.1 3.0 0.0 3.5

Supersector weighting (top 10)

Country weighting

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
STOXX Europe Maximum Dividend 40 1.5 7.5 9.5 34.8 50.5 N/A N/A 9.6 10.6 8.6
STOXX Europe 600 1.2 10.0 14.2 21.4 45.4 N/A N/A 14.4 6.7 7.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Maximum Dividend 40 N/A N/A 12.0 16.3 21.4 N/A N/A 0.5 0.5 0.3
STOXX Europe 600 N/A N/A 10.4 14.5 17.7 N/A N/A 1.0 0.3 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe Maximum Dividend 40 0.8 0.8 0.8 0.9 0.9 8.4 7.5 7.4 7.7 9.4
Index to benchmark Beta Annualized information ratio
STOXX Europe Maximum Dividend 40 0.9 0.9 0.9 1.0 1.1 0.5 -0.3 -0.6 0.5 0.1

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Gross Return), all data as of November 29, 2024

DIVIDEND INDICES

STOXX Europe Maximum Dividend 40

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
STOXX Europe Maximum Dividend 40 13.5 10.0 10.5 10.5 1.2 15.4 1.0 3.2
STOXX Europe 600 17.8 14.0 15.9 15.9 2.0 3.7 1.3 -80.8

Performance and annual returns

Methodology

The index universe consists of all components of the STOXX Europe 600. Only 40 companies that have the highest expected dividend yield and will pay a dividend within the forthcoming adjustment period are chosen for inclusion. Liquidity (measured by Average Daily Traded Value) and market capitalization filters are applied. The expected dividend yield is determined by the announced amount, the estimated dividends and the closing price of the stock on the last trading day of January, April, July and October. The resulting composition is effective on the third Friday of March, June, September and December. The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0142392130 SXEMD4GR SXEMD4GR INDEX .SXEMD4GR
Price EUR CH0131515865 SXEMD4P SXEMD4P INDEX .SXEMD4P
Net Return EUR CH0131515832 SXEMD4R SXEMD4R INDEX .SXEMD4R
Gross Return USD CH0142392163 SXEMD4GU SXEMD4GU INDEX .SXEMD4GU
Net Return USD CH0142392155 SXEMD4V SXEMD4V INDEX .SXEMD4V
Price USD CH0142392148 SXEMD4L SXEMD4L INDEX .SXEMD4L

Quick Facts

Weighting Adjusted dividend yield
Cap Factor 10%
No. of components 40
Review frequency Quarterly (March, June, September, December). Semi-annually in June and December for the STOXX Japan Maximum Dividend 40
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
BANCO BPM Banks Italy 6.431%
INTESA SANPAOLO Banks Italy 4.906%
TELEFONICA Telecommunications Spain 4.168%
IMPERIAL BRANDS Food, Beverage and Tobacco UK 3.337%
MEDIOBANCA Financial Services Italy 3.068%
ORANGE Telecommunications France 3.048%
BCO SABADELL Banks Spain 3.015%
NESTE Energy Finland 2.933%
POSTE ITALIANE Insurance Italy 2.820%
WPP Media UK 2.732%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of November 29, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.