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ISTOXX INDICES

iSTOXX Europe Diversity Impact Select 30

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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 4.3 2.6 123.2
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
iSTOXX Europe Diversity Impact Select 30 -0.3 11.9 12.4 18.9 13.0 N/A N/A 12.6 6.0 2.5
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
iSTOXX Europe Diversity Impact Select 30 N/A N/A 10.3 13.1 18.1 N/A N/A 0.9 0.3 0.1
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 (%)
iSTOXX Europe Diversity Impact Select 30 0.8 0.8 0.8 0.8 0.9 8.4 7.3 7.2 8.3 8.6
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Diversity Impact Select 30 0.8 0.8 0.7 0.7 0.9 -2.2 0.2 -0.3 -0.1 -0.6

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

ISTOXX INDICES

iSTOXX Europe Diversity Impact Select 30

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
iSTOXX Europe Diversity Impact Select 30 11.0 8.4 9.2 9.2 0.9 7.4 0.4 12.1
STOXX Europe 600 17.8 14.0 15.9 15.9 2.0 3.7 1.3 -80.8

Performance and annual returns

Methodology

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: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0386715822 SXEDISP SXEDISP INDEX .SXEDISP
Net Return EUR CH0386715798 SXEDISR .SXEDISR
Gross Return EUR CH0386715764 SXEDISGR .SXEDISGR
Net Return USD CH0386715830 SXEDISV .SXEDISV
Gross Return USD CH0386715772 SXEDISGV .SXEDISGV
Price USD CH0386715780 SXEDISL SXEDISL INDEX .SXEDISL

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.

Top 10 Components4

Company Supersector Country Weight
IMPERIAL BRANDS Food, Beverage and Tobacco UK 4.310%
ITALGAS Utilities Italy 4.081%
TELEFONICA Telecommunications Spain 4.016%
ENEL Utilities Italy 3.856%
Redeia Corporacion Utilities Spain 3.766%
ORANGE Telecommunications France 3.752%
ENI Energy Italy 3.718%
ENGIE Utilities France 3.574%
SNAM RETE GAS Energy Italy 3.545%
AGEAS Insurance Belgium 3.512%

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

4Based on the composition as of November 29, 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.