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STRATEGY INDICES

STOXX Europe ESG Governance Leaders Diversification Select 30 EUR

Index Description

The STOXX Diversification Select family of indices captures the performance of stocks with low correlation, low volatility and high dividends, derived from established STOXX benchmark indices. The component selection process first excludes all stocks with the highest 12-months average correlation with all other stocks of the benchmark, then excludes stocks whose previous 3- and 12-month historical volatilities are the highest. Among the remaining stocks, the stocks with the highest 12-month historical dividend yield are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

Key facts

  • Diversification brought by excluding highly correlated stocks
  • Balanced approach between the different screenings
  • Lower volatility stocks get the highest weight
  • Liquid benchmarks

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 ESG Governance Leaders Diversification Select 30 EUR N/A 1.0 0.0 0.0 0.0 0.0 4.7 2.5 121.6
STOXX Europe 600 13,511.4 10,716.1 17.9 5.9 392.7 1.1 3.7 0.0 3.3

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 ESG Governance Leaders Diversification Select 30 EUR -0.4 2.8 2.2 16.0 26.2 N/A N/A 2.2 5.1 4.8
STOXX Europe 600 -0.8 6.9 11.9 26.8 50.3 N/A N/A 12.0 8.3 8.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe ESG Governance Leaders Diversification Select 30 EUR N/A N/A 9.6 11.7 15.7 N/A N/A -0.1 0.3 0.3
STOXX Europe 600 N/A N/A 10.2 14.6 17.7 N/A N/A 0.8 0.4 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe ESG Governance Leaders Diversification Select 30 EUR 0.8 0.7 0.7 0.8 0.8 7.1 7.3 7.4 9.3 9.7
Index to benchmark Beta Annualized information ratio
STOXX Europe ESG Governance Leaders Diversification Select 30 EUR 0.8 0.7 0.7 0.6 0.7 0.6 -1.7 -1.3 -0.4 -0.4

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of April 30, 2024

STRATEGY INDICES

STOXX Europe ESG Governance Leaders Diversification Select 30 EUR

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 ESG Governance Leaders Diversification Select 30 EUR 13.4 12.6 11.7 11.7 1.6 6.3 1.1 4.9
STOXX Europe 600 17.0 13.8 14.9 14.9 1.9 3.7 1.3 7.9

Performance and annual returns