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iSTOXX Europe Diversity Impact Select 30

Index Description

The iSTOXX® Diversity Impact Select 30 indices focus on a pool of leading companies in terms of workforce diversity and discrimination policies, and select 30 stocks with low volatility, high dividend yield and high liquidity from among these.

Key facts

  • Selection from market-representative and liquid Benchmarks
  • Low volatility anomaly: stocks with low volatility perform better than others
  • High dividend screening to generate Returns
  • Balanced approach between the volatility and dividend screenings
  • Attractive theme (diversity in the workplace)

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
iSTOXX Europe Diversity Impact Select 30 N/A 1.0 0.0 0.0 0.0 0.0 4.6 2.7 110.8
STOXX Europe 600 13,764.4 10,882.5 18.1 6.2 383.4 1.1 3.5 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
iSTOXX Europe Diversity Impact Select 30 4.0 4.8 9.0 20.6 11.1 N/A N/A 9.2 6.5 2.2
STOXX Europe 600 4.2 7.8 15.7 30.8 57.4 N/A N/A 16.1 9.5 9.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Diversity Impact Select 30 N/A N/A 9.8 12.9 18.1 N/A N/A 0.6 0.4 0.1
STOXX Europe 600 N/A N/A 10.0 14.6 17.7 N/A N/A 1.2 0.5 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Diversity Impact Select 30 0.1 0.6 0.7 0.8 0.9 8.3 7.4 7.0 8.3 8.4
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Diversity Impact Select 30 0.1 0.6 0.7 0.7 0.9 -0.2 -1.6 -0.9 -0.4 -0.9

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

2Based on EURIBOR1M

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


iSTOXX Europe Diversity Impact Select 30


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 Diversity Impact Select 30 13.6 9.7 11.1 11.1 1.4 7.4 0.9 60.7
STOXX Europe 600 17.3 14.1 15.1 15.1 2.0 3.7 1.4 19.8

Performance and annual returns


The index universes for the Global and Europe versions are the STOXX® Global 1800 Index and the STOXX® Europe 600 Index, respectively. Only companies with a 3-month average daily traded value (ADTV) of more than 5 million EUR are considered. The component selection process first excludes half the stocks from the universe that have the lowest Diversity Impact score (defined as the average of S.1.2 Discrimination Policy Raw Score and S.1.3 Diversity Programmes Raw Score Social indicators from Sustainalytics), and as the second step, selects the companies with the lowest previous 3- and 12-month historical volatilities from the remaining ones (300 for Global, 100 for Europe). Finally, among the remaining stocks, the top 30 with the highest 12-month historical dividend yields are selected to be included in the index. These constituents are weighted according to the inverse of their volatility with a cap at 10% per component. The indices are reviewed quarterly.
The detailed methodology including the calculation formula can be found in our rulebooks:

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0386715764 SXEDISGR .SXEDISGR
Net Return EUR CH0386715798 SXEDISR .SXEDISR
Gross Return USD CH0386715772 SXEDISGV .SXEDISGV
Net Return USD CH0386715830 SXEDISV .SXEDISV

Quick Facts

Weighting Inverse Volatility
Cap Factor Maximum 10%
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 Sep. 21, 2009
History Available since Sep. 21, 2009
Inception date Nov. 01, 2017
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.


iSTOXX Europe Diversity Impact Select 30

Top 10 Components4

Company Supersector Country Weight
ORANGE Telecommunications France 4.565%
Redeia Corporacion Utilities Spain 4.122%
ENGIE Utilities France 3.845%
NATIONAL GRID Utilities UK 3.705%
Naturgy Energy Group Utilities Spain 3.701%
SNAM RETE GAS Energy Italy 3.694%
IMPERIAL BRANDS Food, Beverage and Tobacco UK 3.647%
ENEL Utilities Italy 3.597%
POSTE ITALIANE Insurance Italy 3.534%

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

4Based on the composition as of March 29, 2024