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OPTIMISED INDICES

STOXX Europe 600 Optimised Cyclicals

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Index Description

The STOXX Optimised Market Quartiles indices are derived from the STOXX Europe 600 Index and are based on forward-looking expectations of how certain types of companies respond to changes in the economic cycle. STOXX Europe 600 Optimised Consumer Discretionary Index: companies which are most sensitive to economic cycles, for example auto companies, hotels and restaurants. STOXX Europe 600 Optimised Consumer Staples Index: companies which are less sensitive to economic cycles, such as manufacturers and distributors of food and beverages or producers of non-durable household goods. STOXX Europe 600 Optimised Defensive Index: companies which tend not to be affected by economic cycles. STOXX Europe 600 Optimised Cyclicals Index: companies which tend to follow economic cycles.

Key facts

  • The indices offer market participants a way to measure the performance of European companies in relation to economic cycles
  • Like the other Optimised indices, the Market Quartile indices take into account the ability to borrow a stock in the stock lending market, a key component in facilitating active trading in the underlying index constituents and related products

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
STOXX Europe 600 Optimised Cyclicals 6,329.9 5,315.7 16.3 6.9 267.5 1.6 5.0 0.0 16.1
STOXX Europe 600 13,308.4 10,602.2 17.7 6.2 328.1 1.3 3.1 0.0 3.5

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 Europe 600 Optimised Cyclicals -2.7 12.2 30.6 19.9 58.2 N/A N/A 31.0 6.3 9.7
STOXX Europe 600 -3.3 8.1 19.7 14.9 43.8 N/A N/A 19.9 4.8 7.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 Optimised Cyclicals N/A N/A 13.0 18.3 21.7 N/A N/A 2.1 0.3 0.4
STOXX Europe 600 N/A N/A 10.2 14.5 17.6 N/A N/A 1.8 0.2 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 Optimised Cyclicals 1.0 1.0 1.0 1.0 1.0 3.9 4.3 4.3 5.5 5.9
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 Optimised Cyclicals 1.2 1.2 1.2 1.2 1.2 1.6 1.1 2.1 0.3 0.4

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of October 31, 2024

OPTIMISED INDICES

STOXX Europe 600 Optimised Cyclicals

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 Europe 600 Optimised Cyclicals 15.8 13.7 14.0 14.0 1.8 3.6 1.4 23.7
STOXX Europe 600 17.1 14.6 15.3 15.3 2.0 3.1 1.3 20.5

Performance and annual returns