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STYLE INDICES

STOXX Global Low Risk Weighted Diversified 200

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Index Description

The STOXX Global Low Risk Weighted Diversified 200 Index represents 200 low volatility companies from the STOXX Global 1800. The selection is subject to diversification rules. Constituents are selected based on their 12-month historical volatility and weighted by the inverse of their 12-month historical volatility capped by component, industry and country constraints.

Key facts

  • 200 low volatility companies from the STOXX Global 1800
  • The indices provide an alternative weighting concept based on stock price volatility rather than market cap
  • Industry and country constraints are applied to ensure diversification

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Global Low Risk Weighted Diversified 200 N/A 108.8 0.5 0.6 1.0 0.1 0.9 0.1 82.5
STOXX Global 1800 75,715.8 69,624.3 38.7 12.1 3,434.8 1.0 4.9 0.0 2.5

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 Global Low Risk Weighted Diversified 200 -2.4 10.0 19.3 2.4 9.1 N/A N/A 19.5 0.8 1.8
STOXX Global 1800 -2.2 14.9 31.5 13.9 61.1 N/A N/A 31.9 4.5 10.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global Low Risk Weighted Diversified 200 N/A N/A 7.6 10.5 15.3 N/A N/A 2.3 -0.1 0.1
STOXX Global 1800 N/A N/A 10.8 15.2 18.0 N/A N/A 2.5 0.2 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Global Low Risk Weighted Diversified 200 0.6 0.6 0.6 0.8 0.9 7.3 9.0 8.6 9.8 9.2
Index to benchmark Beta Annualized information ratio
STOXX Global Low Risk Weighted Diversified 200 0.5 0.4 0.4 0.5 0.7 -0.4 -0.7 -1.2 -0.5 -1.0

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

2Based on EURIBOR1M

(USD, Price), all data as of October 31, 2024

STYLE INDICES

STOXX Global Low Risk Weighted Diversified 200

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 Global Low Risk Weighted Diversified 200 20.9 18.3 20.7 20.7 3.0 2.5 1.9 23.8
STOXX Global 1800 23.5 20.8 21.8 21.8 3.5 1.9 2.3 23.3

Performance and annual returns

Methodology

Components are selected based on the 12-month historical volatility ranking. Components are ranked from lowest to highest volatility and are subject to diversification rules. Weights are calculated by using the inverse of the 12-month historical volatility and are subject to component, country and industry constraints. The detailed methodology, including calculation formula and full requirements, can be found in our rulebook:

www.stoxx.com/indices/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0509655269 SXGLV2P .SXGLV2P
Net Return EUR CH0509655277 SXGLV2R .SXGLV2R
Gross Return EUR CH0509655301 SXGLV2GR .SXGLV2GR
Net Return USD CH0509655251 SXGLV2V SXGLV2V INDEX .SXGLV2V
Price USD CH0509655285 SXGLV2L SXGLV2L INDEX .SXGLV2L
Gross Return USD CH0509655293 SXGLV2GV SXGLV2GV INDEX .SXGLV2GV

Quick Facts

Weighting Inverse volatility weighted subject to constraints
Cap Factor min(25x benchmark weight, 0.02)
No. of components 200
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 00:00:00.0000000 22:15:00.0000000
Base value/base date 100 as of Dec. 20, 2002
History Available from Dec. 20, 2002
Inception date Nov. 27, 2019
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
T-Mobile US Inc Telecommunications USA 0.920%
Berkshire Hathaway Inc. Cl B Financial Services USA 0.899%
Republic Services Inc. Utilities USA 0.800%
KINDER MORGAN Energy USA 0.793%
Coca-Cola Co. Food, Beverage and Tobacco USA 0.792%
Illinois Tool Works Inc. Industrial Goods and Services USA 0.783%
VISA Inc. Cl A Industrial Goods and Services USA 0.777%
Fiserv Inc. Industrial Goods and Services USA 0.773%
Entergy Corp. Utilities USA 0.772%
Marsh & McLennan Cos. Insurance USA 0.740%

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

4Based on the composition as of October 31, 2024

STYLE INDICES

STOXX Global Low Risk Weighted Diversified 200

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.