Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

Export PDF

STRATEGY INDICES

EURO iSTOXX 50 Style Weighted Decrement

Index Description

The EURO iSTOXX 50 Style Weighted Index, using three style factors – value, quality and size – reweights the components of the prominent EURO STOXX 50 benchmark. The index includes all the components of the EURO STOXX 50 but with a weighting scheme that is based not only on free-float market cap but also on a score calculated using style factors. The EURO iSTOXX 50 Style Weighted Decrement Index is derived from the EURO iSTOXX 50 Style Weighted Index and replicates the return of an investment into the net return version with a constant dividend markdown of 5.5% subtracted on an accrued basis.

Key facts

  • Unique concept, which offers market participants a smart-beta index based on the EURO STOXX 50 that takes the themes of value, quality and size into consideration
  • Based on an innovative weighting scheme that reflects more than just the size of a company
  • Optimizes exposure to the 50 shares which compose the EURO STOXX 50, in order to favor Eurozone companies with the best business fundamentals

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO iSTOXX 50 Style Weighted Decrement N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 N/A N/A N/A N/A N/A N/A N/A N/A N/A

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
EURO iSTOXX 50 Style Weighted Decrement 2.1 20.8 20.8 11.3 15.1 N/A N/A 21.1 3.7 2.9
EURO STOXX 50 3.2 19.5 19.2 27.3 50.7 N/A N/A 19.5 8.5 8.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX 50 Style Weighted Decrement N/A N/A 15.8 19.1 22.0 N/A N/A 0.9 0.1 0.1
EURO STOXX 50 N/A N/A 14.2 18.2 21.0 N/A N/A 0.9 0.4 0.4
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX 50 Style Weighted Decrement N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Index to benchmark Beta Annualized information ratio
EURO iSTOXX 50 Style Weighted Decrement N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

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

2Based on EURIBOR1M

(EUR, Price), all data as of December 29, 2023

STRATEGY INDICES

EURO iSTOXX 50 Style Weighted Decrement

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
EURO iSTOXX 50 Style Weighted Decrement N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

For the EURO iSTOXX 50 Style Weighted Index, a score is calculated for each component. The score is based on return on equity, price-to-book ratio and free-float market cap. Companies ranked 1 to 10 get a weight of 5%, from 11 to 20 get a weight of 2.5%, from 21 to 30 get a weight of 1.5%, from 31 to 40 get a weight of 0.75% and from 41 to 50 get a weight of 0.25%.
The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Quick Facts

Weighting Based on a calculated score
Cap Factor Target weights at rebalancing of 5%, 2.5%, 1.5%, 0.75% and 0.25%
No. of components 50
Review frequency Quarterly (in Mar., Jun., Sep. Dec.)
Calculation/distribution Realtime: every 15 seconds
Calculation hours 9:00 - 18:00 CET
Base value/base date 100 as of Mar. 19, 2001
History Available from Mar. 19, 2001
Inception date Jul. 1, 2015
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

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.