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OPTIMISED INDICES

STOXX Europe 600 Optimised Defensives

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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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Europe 600 Optimised Defensives 4,203.8 3,458.7 31.2 10.8 241.0 2.6 7.0 0.1 12.0
STOXX Europe 600 15,411.1 12,244.2 20.4 7.1 377.7 1.6 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 Defensives -2.4 13.0 19.1 26.9 49.2 N/A N/A 19.4 8.3 8.4
STOXX Europe 600 0.5 12.9 25.7 19.7 53.7 N/A N/A 26.1 6.3 9.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 Optimised Defensives N/A N/A 11.1 15.5 17.7 N/A N/A 1.3 0.4 0.4
STOXX Europe 600 N/A N/A 13.2 18.8 20.5 N/A N/A 1.5 0.2 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 Optimised Defensives 0.7 0.8 0.8 0.9 0.9 9.6 7.0 7.0 8.1 7.8
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 Optimised Defensives 0.4 0.7 0.7 0.7 0.8 -3.9 -0.1 -0.9 0.1 -0.2

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

2Based on EURIBOR1M

(USD, Net Return), all data as of September 30, 2024

OPTIMISED INDICES

STOXX Europe 600 Optimised Defensives

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 Defensives 18.6 13.5 17.0 13.2 2.1 3.3 1.3 11.7
STOXX Europe 600 17.8 14.6 15.7 14.4 2.1 3.2 1.4 18.0

Performance and annual returns

Methodology

All components of the STOXX Europe 600 Optimised Supersector Indices fall into one of the four market quartiles. The STOXX Europe 600 Optimised Market Quartile Indices follow the same methodology as the STOXX Optimised Indices. The detailed methodology, including calculation formula and full requirements, can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0108469831 SDEFN SDEFN INDEX .SDEFN
Net Return EUR CH0108469849 SDEFNR SDEFNR INDEX .SDEFNR
Price USD CH0113195348 SDEFL SDEFL INDEX .SDEFL
Net Return USD CH0113195330 SDEFNV SDEFNV INDEX .SDEFNV

Quick Facts

Weighting Free-float market cap, subject to liquidity factor (ADTV)
Cap Factor 10%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec.) Annually (Dec.) for classification into one of the market quartiles
Calculation/distribution Price and net return (EUR): realtime (every 15 seconds) Price and net return (USD): end-of-day
Calculation hours Realtime: 9:00 am - 6:00 pm CET End-of-day: 6:00 pm CET
Base value/base date 1,000 as of Dec. 31, 2004
History Available daily back to Dec. 31, 2004
Inception date Mar. 15, 2010
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
ROCHE HLDG P Health Care Switzerland 6.967%
SHELL Energy UK 6.756%
NOVO NORDISK B Health Care Denmark 6.223%
NOVARTIS Health Care Switzerland 6.159%
ASTRAZENECA Health Care UK 6.134%
TOTALENERGIES Energy France 5.116%
SANOFI Health Care France 3.471%
DEUTSCHE TELEKOM Telecommunications Germany 3.447%
BP Energy UK 2.941%
GSK Health Care UK 2.868%

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

4Based on the composition as of September 30, 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.