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STRATEGY INDICES

EURO STOXX Low Risk Weighted 100

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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX Low Risk Weighted 100 N/A 108.0 1.1 1.1 1.7 0.8 1.6 0.7 51.0
EURO STOXX 8,000.5 5,817.3 19.6 7.3 269.5 1.4 4.6 0.0 3.3

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
EURO STOXX Low Risk Weighted 100 -4.7 7.4 22.0 2.5 18.6 N/A N/A 22.3 0.8 3.5
EURO STOXX -5.8 6.7 24.4 9.2 44.3 N/A N/A 24.7 3.0 7.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Low Risk Weighted 100 N/A N/A 11.9 17.1 18.9 N/A N/A 1.7 -0.1 0.2
EURO STOXX N/A N/A 14.4 21.2 22.6 N/A N/A 1.6 0.1 0.3
Index to benchmark Correlation Tracking error (%)
EURO STOXX Low Risk Weighted 100 0.8 0.9 0.9 1.0 1.0 7.3 6.5 6.2 7.3 7.4
Index to benchmark Beta Annualized information ratio
EURO STOXX Low Risk Weighted 100 0.6 0.7 0.7 0.8 0.8 1.8 0.0 -0.4 -0.4 -0.7

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of October 31, 2024

STRATEGY INDICES

EURO STOXX 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
EURO STOXX Low Risk Weighted 100 15.3 12.0 14.4 14.4 1.6 4.7 0.9 14.6
EURO STOXX 16.5 13.6 14.6 14.6 1.7 4.0 1.1 19.8

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
Net Return EUR CH0190733011 SXLV1T SXLV1T INDEX .SXLV1T
Price EUR CH0190733060 SXLV1E SXLV1E INDEX .SXLV1E
Gross Return EUR CH0190732971 SXLV1GT SXLV1GT INDEX .SXLV1GT
Gross Return USD CH0190732997 SXLV1GU SXLV1GU INDEX .SXLV1GU
Net Return USD CH0190733037 SXLV1U SXLV1U INDEX .SXLV1U
Price USD CH0190733086 SXLV1K SXLV1K INDEX .SXLV1K

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 1.610%
DEUTSCHE TELEKOM Telecommunications Germany 1.460%
DANONE Food, Beverage and Tobacco France 1.408%
GRP BRUXELLES LAMBERT Financial Services Belgium 1.266%
ASSICURAZIONI GENERALI Insurance Italy 1.254%
BEIERSDORF Personal Care, Drug and Grocery Stores Germany 1.246%
DEUTSCHE BOERSE Financial Services Germany 1.241%
ALLIANZ Insurance Germany 1.239%
IBERDROLA Utilities Spain 1.219%
WOLTERS KLUWER Media Netherlands 1.203%

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

4Based on the composition as of October 31, 2024

STRATEGY INDICES

EURO STOXX Low Risk Weighted 100