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STRATEGY INDICES

iSTOXX Europe Low Variance Adjusted Beta

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Index Description

Two indices are calculated: the iSTOXX Europe Low Variance Weighted 120 Index and the iSTOXX Europe Low Variance Beta Adjusted Index. The iSTOXX Europe Low Variance Weighted 120 Index is designed to track the 120 least volatile stocks from the STOXX Europe 600 using a liquidity filter (six-month average daily trading volume above EUR3 million). The iSTOXX Europe Low Variance Adjusted Beta Index is based on the iSTOXX Europe Low Variance Weighted 120 (Net EUR) Index and aims to leverage its beta exposure. Hence, the index can help investors improve their return versus risk profile.

Key facts

  • Concept is based on the well-known STOXX Europe 600 Index which provides a broad yet liquid representation of large-, mid- and small-cap companies in Europe. The liquidity of the index constituents improves tradability.
  • Leverage is defined as inverse of the beta and can be between 50% and 200%. Thus, negative equity exposure is explicitly forbidden.
  • Investors have an additional choice to access a low volatility index whose systematic exposure is reviewed monthly to achieve superior return performance
  • By reviewing the index monthly, the risk and return profile is adjusted continuously and can help achieve superior returns

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Europe Low Variance Adjusted Beta N/A N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe 600 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
iSTOXX Europe Low Variance Adjusted Beta 2.2 17.3 21.2 17.1 34.4 N/A N/A 21.6 5.4 6.2
STOXX Europe 600 1.1 9.3 13.5 19.2 41.4 N/A N/A 13.7 6.1 7.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Low Variance Adjusted Beta N/A N/A 11.6 16.2 19.8 N/A N/A 1.4 0.2 0.2
STOXX Europe 600 N/A N/A 10.4 14.5 17.7 N/A N/A 0.9 0.2 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Low Variance Adjusted Beta 0.9 0.9 0.9 0.9 0.9 5.4 5.6 5.5 6.7 7.9
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Low Variance Adjusted Beta 1.0 1.0 1.0 1.0 1.0 2.5 1.4 1.2 -0.1 -0.1

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

2Based on EURIBOR1M

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

STRATEGY INDICES

iSTOXX Europe Low Variance Adjusted Beta

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
iSTOXX Europe Low Variance Adjusted Beta N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe 600 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

STOXX Europe Low Variance Weighted 120 Index: selection of the 120 least volatile stocks from the STOXX Europe 600 Index on a monthly basis with the cut-off date on the first Friday of the month. To be eligible for selection, the components must have a six-month average daily trading volume (ADTV) of more than 3 million euros. The remaining stocks are then ranked in ascending order by their volatility, i.e. the 120 least volatile stocks are selected.

iSTOXX Europe Low Variance Adjusted Beta Index: the beta of the above described iSTOXX Europe Low Variance Weighted 120 Index (LVI) which is the sensitivity of Low Variance index log returns relative to the STOXX Europe 600 Net Return EUR log returns is calculated on the trading day following each review cut-off date and is implemented on the third Friday of the month.The detailed methodology, including calculation formula and full requirements, can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Quick Facts

Weighting Equally weighted for Low Variance Weighted (LVI)
Cap Factor No
No. of components 120 for Low Variance Weighted Index
Review frequency Monthly
Calculation/distribution Both indices: net return (EUR): realtime (every 15 seconds) Low Variance Weighted 120 additionally in net return (USD): end-of-day
Calculation hours Realtime (15 sec.): iSTOXX Europe Low Variance Beta Adjusted: 9am - 7pm CET iSTOXX Europe Low Variance Weighted 120: 9am - 6pm CET End-of-day: 6pm CET
Base value/base date 1,000 at Dec. 31, 2007
History Available daily back to Mar. 30, 2001
Inception date Feb. 4, 2013

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.