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STRATEGY INDICES

STOXX True Exposure Europe 50% 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 yields 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 biggest weight
  • Liquid benchmark

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 True Exposure Europe 50% Diversification Select 30 EUR N/A 1.1 0.0 0.0 0.1 0.0 5.1 2.0 81.9
STOXX Europe 600 13,409.1 10,702.4 17.8 6.2 325.6 1.1 3.0 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 True Exposure Europe 50% Diversification Select 30 EUR 1.9 9.8 11.0 3.4 4.4 N/A N/A 11.2 1.1 0.9
STOXX Europe 600 1.2 10.0 14.2 21.4 45.4 N/A N/A 14.4 6.7 7.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX True Exposure Europe 50% Diversification Select 30 EUR N/A N/A 9.2 12.1 15.6 N/A N/A 0.8 -0.1 0.0
STOXX Europe 600 N/A N/A 10.4 14.5 17.7 N/A N/A 1.0 0.3 0.4
Index to benchmark Correlation Tracking error (%)
STOXX True Exposure Europe 50% Diversification Select 30 EUR 0.8 0.6 0.6 0.7 0.8 7.4 8.6 8.5 10.2 10.4
Index to benchmark Beta Annualized information ratio
STOXX True Exposure Europe 50% Diversification Select 30 EUR 0.7 0.6 0.6 0.6 0.7 1.1 -0.1 -0.4 -0.6 -0.7

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of November 29, 2024

STRATEGY INDICES

STOXX True Exposure Europe 50% 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 True Exposure Europe 50% Diversification Select 30 EUR 13.8 10.7 12.5 12.5 1.5 6.2 0.7 5.7
STOXX Europe 600 17.8 14.0 15.9 15.9 2.0 3.7 1.3 -80.8

Performance and annual returns

Methodology

All stocks in the relevant base universe are screened for 12-month historical daily pricing data and 12-month historical dividend yield. If one or both values are not available for a stock, the company is removed from the base universe.
For all remaining stocks, a correlation number is calculated as the average of the 12-month correlation of daily logarithmic returns in the currency of the Diversification Select index with all other stocks in the base universe. Those stocks are then ranked according to this number in ascending order and the bottom 1-x% is excluded (x% being calculated as the cubic root of the number of stocks in the base universe divided by the target number of stocks in the Diversification Select index).
All remaining stocks are then ranked in ascending order in terms of volatility (maximum between the 3-months and 12-months historical volatility calculated in the currency of the Diversification Select index) and all stocks which do not belong to the top x% are excluded.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0298587343 STREMDSP STREMDSP INDEX .STREMDSP
Net Return EUR CH0298587780 STREMDSR STREMDSR INDEX .STREMDSR
Gross Return EUR CH0298587798 STREMDSG .STREMDSG

Quick Facts

Weighting Volatility weighted
Cap Factor 10%
No. of components Variable
Review frequency Quarterly
Calculation/distribution Price: real-time (every 15 seconds). Net and gross return: end-of-day
Calculation hours Please see data vendor codes sheet on www.stoxx.com/data-vendor-codes
Base value/base date 100 as of Jun. 21, 2004
History Available from Jun. 21, 2004
Inception date Oct. 14, 2015
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
ZURICH INSURANCE GROUP Insurance Switzerland 5.137%
ORANGE Telecommunications France 4.881%
TRYG Insurance Denmark 4.206%
ENGIE Utilities France 4.095%
HELVETIA HLDG Insurance Switzerland 4.061%
ERSTE GROUP BANK Banks Austria 3.811%
CEMBRA MONEY BANK Banks Switzerland 3.730%
SWISSCOM Telecommunications Switzerland 3.587%
ENDESA Utilities Spain 3.558%
TELEFONICA Telecommunications Spain 3.527%

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

4Based on the composition as of November 29, 2024