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STRATEGY INDICES

iSTOXX Europe Select High Beta 50

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Index Description

The iSTOXX Europe Select High Beta 50 Index selects highly liquid companies from the STOXX Europe 600 on a monthly basis that have shown a high beta historically and are about to pay out a dividend. All stocks are equal weighted.

Key facts

  • Companies are selected from one of Europe’s most representative indices, the STOXX Europe 600
  • High liquidity is ensured by applying a EUR25 mn ADTV filter
  • Companies with extreme volatilities – high or low – are excluded
  • The index offers an attractive dividend yield by applying an overlay that selects companies that are about to pay out a dividend and by updating the portfolio monthly
  • Equal weighting reduces the concentration risk compared to market-cap weighting

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
iSTOXX Europe Select High Beta 50 N/A 4,877.9 97.6 97.4 107.2 88.2 2.2 1.8 452.1
EURO STOXX 50 4,308.6 3,374.8 67.5 54.5 263.1 15.7 7.8 0.5 4.1

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
iSTOXX Europe Select High Beta 50 -0.2 1.2 6.8 0.7 -1.3 N/A N/A 6.9 0.2 -0.3
EURO STOXX 50 -0.5 6.3 9.6 18.2 29.7 N/A N/A 9.8 5.8 5.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Select High Beta 50 N/A N/A 14.1 20.3 24.7 N/A N/A 0.2 -0.1 -0.1
EURO STOXX 50 N/A N/A 13.4 18.0 21.1 N/A N/A 0.4 0.2 0.2
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Select High Beta 50 0.9 0.9 0.9 0.9 0.9 6.0 5.7 6.0 6.6 8.2
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Select High Beta 50 0.9 0.9 1.0 1.1 1.1 0.5 -1.0 -0.5 -0.8 -0.6

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

2Based on EURIBOR1M

(EUR, Price), all data as of November 29, 2024

STRATEGY INDICES

iSTOXX Europe Select High Beta 50

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 Select High Beta 50 11.3 10.5 10.7 10.7 1.2 7.1 0.7 13.8
EURO STOXX 50 15.4 13.9 15.3 15.3 1.9 2.8 1.3 17.1

Performance and annual returns

Methodology

The index universe is defined by the STOXX Europe 600 Index. In a first step a liquidity filter is applied to the universe: Only companies with a 3-month average daily traded value (ADTV) greater than EUR25 mn are selected. In a second step all remaining companies are ranked by their 6-month volatility (using daily returns) and the top and bottom fifth is removed. The companies left are then sorted in decreasing order by their 6-month beta with the EURO STOXX 50 Index and companies with a beta greater than 1.5 are removed as well. The top 125 companies by beta of the remaining companies build up the selection list.
From the selection list the 50 highest ranked companies which are going to pay a dividend during the next review cycle are chosen as index components. If this yields less than 50 companies the highest ranked companies (i.e. with high beta) which are not paying a dividend are selected to complete the index.
The detailed methodology can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0262385120 ISXEHBR .ISXEHBR
Gross Return EUR CH0262384958 ISXEHBGR .ISXEHBGR
Price EUR CH0262385146 ISXEHBP ISXEHBP INDEX .ISXEHBP
Net Return USD CH0262385187 ISXEHBV .ISXEHBV
Price USD CH0262385211 ISXEHBL .ISXEHBL
Gross Return USD CH0262385104 ISXEHBGV .ISXEHBGV

Quick Facts

Weighting Price-weighted with a weighting factor to achieve an equal weighting
No. of components 50
Review frequency Monthly
Calculation/distribution Price (EUR): Realtime (every 15 seconds) Price (USD), Net return, gross return (EUR, USD): End-of-day
Calculation hours Realtime: 09:00 – 18:00 CET End-of-day: 18:00 CET
Base value/base date 100 as of Dec. 23, 2002
History Available daily back to Dec. 23, 2002
Inception date Dec. 18, 2014
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
EQUINOR Energy Norway 2.197%
NATWEST GROUP Banks UK 2.161%
TENARIS Energy Italy 2.151%
BANCO BPM Banks Italy 2.147%
HEIDELBERG MATERIALS Construction and Materials Germany 2.136%
BARCLAYS Banks UK 2.133%
STANDARD CHARTERED Banks UK 2.126%
PRYSMIAN Industrial Goods and Services Italy 2.104%
AIRBUS Industrial Goods and Services France 2.095%
SAP Technology Germany 2.090%

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.