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STRATEGY INDICES

STOXX Nordic Diversification Select 30 SEK

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Index Description

The STOXX Diversification Select family of indices captures the performance of stocks with low correlation, low volatility and high dividends, derived from established STOXX benchmark indices. The component selection process first excludes all stocks with the highest 12-months average correlation with all other stocks of the benchmark, then excludes stocks whose previous 3- and 12-month historical volatilities are the highest. Among the remaining stocks, the stocks with the highest 12-month historical dividend yield are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

Key facts

  • Diversification brought by excluding highly correlated stocks
  • Balanced approach between the different screenings
  • Lower volatility stocks get the highest weight
  • Liquid benchmarks

Descriptive Statistics

Index Market Cap (SEK bn) Components (SEK bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Nordic Diversification Select 30 SEK N/A 11.7 0.4 0.4 0.5 0.2 4.6 1.8 140.6
STOXX Nordic Total Market 24,398.3 18,758.2 33.0 5.1 3,754.9 0.0 20.0 0.0 2.0

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 Nordic Diversification Select 30 SEK 0.6 18.5 21.8 22.2 54.1 N/A N/A 22.2 7.0 9.1
STOXX Nordic Total Market -1.0 9.8 14.1 21.8 81.0 N/A N/A 14.4 6.9 12.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Nordic Diversification Select 30 SEK N/A N/A 9.3 11.3 13.4 N/A N/A 1.8 0.4 0.6
STOXX Nordic Total Market N/A N/A 11.6 14.9 16.5 N/A N/A 0.9 0.3 0.7
Index to benchmark Correlation Tracking error (%)
STOXX Nordic Diversification Select 30 SEK 0.4 0.6 0.6 0.7 0.8 13.0 10.2 10.0 10.3 9.5
Index to benchmark Beta Annualized information ratio
STOXX Nordic Diversification Select 30 SEK 0.3 0.4 0.4 0.5 0.7 1.4 0.7 0.6 -0.1 -0.4

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

2Based on EURIBOR1M

(SEK, Gross Return), all data as of November 29, 2024

STRATEGY INDICES

STOXX Nordic Diversification Select 30 SEK

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 Nordic Diversification Select 30 SEK 12.8 11.7 12.0 12.0 1.6 6.1 1.3 17.4
STOXX Nordic Total Market 21.1 17.2 16.7 16.7 2.4 3.1 1.6 12.6

Performance and annual returns

Methodology

All stocks in the relevant base universe are screened for 12-month historical daily pricing data and 12-month historical dividend yield. If one or both values are not available for a stock, the company is removed from the base universe.

For all remaining stocks, a correlation number is calculated as the average of the 12-month correlation of daily logarithmic returns in the currency of the Diversification Select index with all other stocks in the base universe. Those stocks are then ranked according to this number in ascending order and the bottom 1-x% is excluded (x% being calculated as the cubic root of the number of stocks in the base universe divided by the target number of stocks in the Diversification Select index).

The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/rulebooks.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return SEK CH0321940881 BDXDSSZ .BDXDSSZ
Price SEK CH0321940865 BDXDSX BDXDSX INDEX .BDXDSX
Net Return SEK CH0321940873 BDXDSY .BDXDSY

Quick Facts

Weighting Volatility weighted
Cap Factor 10%
No. of components Fixed
Review frequency Quarterly
Calculation/distribution Price: real-time (every 15 seconds); Net and Gross Return: end-of-day
Calculation hours Please see data vendor codes sheet on www.stoxx.com/datavendorcodes
Base value/base date 100 as of Jun. 21, 2004
History Available from Jun. 21, 2004
Inception date Apr. 29, 2016

Top 10 Components4

Company Supersector Country Weight
TRYG Insurance Denmark 4.622%
SAMPO Insurance Finland 4.539%
SPAREBANK 1 SMN Banks Norway 4.537%
CLOETTA 'B' Food, Beverage and Tobacco Sweden 4.237%
TELENOR Telecommunications Norway 4.229%
MOWI Food, Beverage and Tobacco Norway 4.061%
DNB BANK Banks Norway 4.037%
KONE B Industrial Goods and Services Finland 3.849%
ERICSSON LM B Telecommunications Sweden 3.814%
ALM BRAND Insurance Denmark 3.797%

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.