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ISTOXX INDICES

iSTOXX Europe Responsibility Low Vol 30

Index Description

The iSTOXX Europe Responsibility Low Vol 30 Index tracks the performance of 30 liquid stocks with low volatility. Industry and country neutrality filters are applied in the selection process to ensure diversification. Companies that are non-compliant with the Global Standards Screening (GSS) assessment or are involved in Controversial Weapons activities, as identified by Sustainalytics, are excluded. Additionally, companies involved in Animal Testing, Weapons, Gambling, Adult Entertainment, Thermal Coal, Nuclear Power, Tobacco, Conventional Oil & Gas, Unconventional Oil & Gas, Genetically Modified Plants and Seeds, are also excluded. Moreover, companies involved in incidents and events that may pose a business or reputation risk to a company due to the potential impact on stakeholders or the environment identified by Sustainalytics Controversies Research are excluded.

Key facts

  • Selection of 30 liquid stocks with low volatility.
  • Companies with the lowest ESG scores within their respective Universe are filtered out.
  • Companies are Global Standards Screening-compliant and are not involved in Controversial Weapons.
  • Further product involvement and controversies incidents/events filters are applied.

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
iSTOXX Europe Responsibility Low Vol 30 N/A 1.1 0.0 0.0 0.1 0.0 5.2 2.7 121.5
STOXX Europe 600 14,506.3 11,588.2 19.3 6.5 463.4 1.5 4.0 0.0 3.6

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 Responsibility Low Vol 30 -0.7 3.3 6.8 3.7 19.4 N/A N/A 6.9 1.2 3.7
STOXX Europe 600 -2.4 6.2 12.4 12.4 45.3 N/A N/A 12.7 4.0 7.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Responsibility Low Vol 30 N/A N/A 11.2 14.6 17.0 N/A N/A 0.3 0.0 0.2
STOXX Europe 600 N/A N/A 13.7 18.8 20.5 N/A N/A 0.7 0.1 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Responsibility Low Vol 30 0.9 0.9 0.9 0.9 0.9 5.9 5.8 6.2 8.3 8.4
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Responsibility Low Vol 30 0.8 0.8 0.7 0.7 0.8 3.7 -1.0 -0.9 -0.5 -0.6

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of June 28, 2024

ISTOXX INDICES

iSTOXX Europe Responsibility Low Vol 30

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 Responsibility Low Vol 30 21.1 16.2 20.1 20.1 1.8 4.1 1.5 16.2
STOXX Europe 600 17.4 13.8 15.4 15.4 2.0 3.6 1.4 16.5

Performance and annual returns

Methodology

The iSTOXX Europe Responsibility Low Vol 30 Index is based on the STOXX Europe 600 Index.

STOXX will exclude companies that fall above the 20th percentile in terms of ESG scores and companies considered to be non-compliant with Global Standards Screening, and companies involved in Controversial Weapons. Furthermore, companies involved in Animal Testing, Weapons, Gambling, Adult Entertainment, Thermal Coal, Nuclear Power, Tobacco, Conventional Oil & Gas, Unconventional Oil & Gas, Genetically Modified Plants and Seeds, are also excluded.

From the remaining companies, those involved in incidents and events that may pose a business or reputation risk due to the potential impact on stakeholders or the environment, are excluded. Consequently, the remaining companies are ranked in ascending order based on their volatility and the top 30 companies with the lowest volatility are selected considering industry and country constraints.

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

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1147454958 ISXERLVR ISXERLVR INDEX .ISXERLVR
Price EUR CH1147454909 ISXERLVP ISXERLVP INDEX .ISXERLVP
Gross Return EUR CH1147454966 ISXERLVG .ISXERLVG
Gross Return USD CH1147455054 ISXERLGV .ISXERLGV
Net Return USD CH1147455021 ISXERLVV .ISXERLVV
Price USD CH1147454990 ISXERLVL .ISXERLVL

Quick Facts

Weighting Inverse Volatility weighted
Cap Factor 0.1
No. of components 30
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available since Mar. 12, 2012
Inception date Nov. 26, 2021
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

iSTOXX Europe Responsibility Low Vol 30

Top 10 Components4

Company Supersector Country Weight
KPN Telecommunications Netherlands 5.238%
GRP BRUXELLES LAMBERT Financial Services Belgium 4.079%
SWISS PRIME SITE Real Estate Switzerland 3.918%
ORANGE Telecommunications France 3.866%
LONDON STOCK EXCHANGE Financial Services UK 3.782%
RELX PLC Media UK 3.694%
BUNZL Industrial Goods and Services UK 3.683%
ASSICURAZIONI GENERALI Insurance Italy 3.673%
ZURICH INSURANCE GROUP Insurance Switzerland 3.635%
WOLTERS KLUWER Media Netherlands 3.586%

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

4Based on the composition as of June 28, 2024