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STRATEGY INDICES

STOXX Europe Low Risk Weighted 100

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Index Description

STOXX Low Risk Weighted Indices represent the lowest volatility companies within the respective underlying index, such as the EURO STOXX 50, the STOXX Europe 600 and the EURO STOXX. Components are selected according to their 12-month historical volatility and weighted by the inverse of their 12-month historical volatility.

Key facts

  • The indices provide an alternative weighting concept based on stock price volatility rather than market cap.
  • Minimum average daily value traded (ADVT) facilitates trading and is based on well-known equity indices - EURO STOXX 50, EURO STOXX, STOXX Europe 600.

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 Low Risk Weighted 100 N/A 100.2 1.0 1.0 1.5 0.7 1.5 0.7 66.2
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 Low Risk Weighted 100 1.6 13.9 15.8 13.4 25.5 N/A N/A 16.1 4.3 4.7
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 Low Risk Weighted 100 N/A N/A 7.9 10.9 14.4 N/A N/A 1.5 0.2 0.2
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 Low Risk Weighted 100 0.9 0.8 0.8 0.9 0.9 5.8 6.0 6.0 6.9 7.3
Index to benchmark Beta Annualized information ratio
STOXX Europe Low Risk Weighted 100 0.7 0.6 0.6 0.7 0.7 0.9 0.6 0.2 -0.4 -0.5

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

STRATEGY INDICES

STOXX Europe Low Risk Weighted 100

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 Low Risk Weighted 100 16.8 14.2 16.5 16.5 2.0 4.4 1.2 15.4
STOXX Europe 600 17.8 14.0 15.9 15.9 2.0 3.7 1.3 -80.8

Performance and annual returns

Methodology

Components are selected based on a 12-month historical volatility ranking. Components are ranked from lowest to highest volatility. Weights are calculated by using the inverse of the 12-month historical volatility. The detailed methodology, including calculation formula and full requirements, can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0190732245 SXLV1GR SXLV1GR INDEX .SXLV1GR
Net Return EUR CH0190744687 SXLV1R SXLV1R INDEX .SXLV1R
Price EUR CH0190732559 SXLV1P SXLV1P INDEX .SXLV1P
Gross Return USD CH0190732260 SXLV1GV SXLV1GV INDEX .SXLV1GV
Price USD CH0190732575 SXLV1L SXLV1L INDEX .SXLV1L
Net Return USD CH0190732526 SXLV1V SXLV1V INDEX .SXLV1V

Quick Facts

Weighting Inverse of 12-month historical volatility
Cap Factor 10%
No. of components Fixed, number of components indicated in the index name
Review frequency Quarterly (March, June, September, December)
Calculation/distribution Price (EUR): realtime (every 15 seconds) Price (USD), net return, gross return (EUR, USD): end-of-day
Calculation hours Realtime: 9:00 am - 6:00 pm CET End-of-day: 6:00 pm CET
Base value/base date 100 as of Jan. 31, 2011
History Available daily back to Mar. 19, 2001
Inception date Oct. 4, 2012
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
KPN Telecommunications Netherlands 1.499%
DEUTSCHE TELEKOM Telecommunications Germany 1.448%
LONDON STOCK EXCHANGE Financial Services UK 1.423%
ZURICH INSURANCE GROUP Insurance Switzerland 1.388%
PEARSON Media UK 1.286%
DANONE Food, Beverage and Tobacco France 1.262%
SWISS PRIME SITE Real Estate Switzerland 1.257%
PSP SWISS PROPERTY Real Estate Switzerland 1.240%
GALENICA SANTE AG Personal Care, Drug and Grocery Stores Switzerland 1.221%
ASSICURAZIONI GENERALI Insurance Italy 1.211%

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.