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STRATEGY INDICES

iSTOXX Europe Select High Beta 50

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 5,373.1 107.5 107.3 114.3 99.2 2.1 1.8 473.7
EURO STOXX 50 4,438.4 3,460.5 69.2 54.3 289.4 18.5 8.4 0.5 5.4

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 0.9 0.4 6.4 -1.9 9.6 N/A N/A 6.5 -0.6 1.9
EURO STOXX 50 1.7 9.7 15.4 18.1 44.7 N/A N/A 15.6 5.8 7.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Select High Beta 50 N/A N/A 14.0 20.6 24.7 N/A N/A 0.1 -0.1 0.0
EURO STOXX 50 N/A N/A 12.5 18.1 20.9 N/A N/A 0.8 0.2 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Select High Beta 50 1.0 0.9 0.9 0.9 0.9 5.8 5.6 6.0 6.7 8.3
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Select High Beta 50 1.1 1.0 1.0 1.1 1.1 -1.6 -2.4 -1.4 -0.9 -0.6

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

2Based on EURIBOR1M

(EUR, Price), all data as of August 30, 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 13.7 10.9 12.6 12.6 1.4 6.6 1.2 16.2
EURO STOXX 50 15.8 13.7 15.4 15.4 2.0 2.9 1.4 19.4

Performance and annual returns