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STRATEGY INDICES

EURO iSTOXX High Dividend Low Volatility 50

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Index Description

The EURO iSTOXX High Dividend Low Volatility 50 Index is an extension of the EURO STOXX family of indices. The index aims to select from the EURO STOXX, 50 stocks with high dividend yield and low volatility, while applying a maximum of 10 stocks per country and a weighting cap of 3% per security. The constituents are weighted according to their 12 month historical dividend yield.

Key facts

  • Constituents are weighted according to their 12 month historical dividend yield
  • Highly liquid benchmark
  • Rules to prevent certain companies and countries from being overweight
  • Incorporates a low volatility filter to reduce risk

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
EURO iSTOXX High Dividend Low Volatility 50 N/A 1.0 0.0 0.0 0.0 0.0 2.9 1.2 85.7
EURO STOXX 7,369.3 5,358.4 18.0 6.7 248.2 1.3 4.6 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
EURO iSTOXX High Dividend Low Volatility 50 -2.4 12.5 24.8 22.6 23.2 N/A N/A 25.1 7.1 4.3
EURO STOXX -3.2 8.6 21.1 16.4 48.3 N/A N/A 21.4 5.2 8.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX High Dividend Low Volatility 50 N/A N/A 10.5 14.2 19.1 N/A N/A 2.0 0.3 0.2
EURO STOXX N/A N/A 11.8 16.8 19.6 N/A N/A 1.7 0.2 0.4
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX High Dividend Low Volatility 50 0.8 0.8 0.8 0.9 0.9 6.1 7.3 6.9 7.9 8.2
Index to benchmark Beta Annualized information ratio
EURO iSTOXX High Dividend Low Volatility 50 0.6 0.7 0.7 0.7 0.9 1.4 0.5 0.4 0.1 -0.5

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of October 31, 2024

STRATEGY INDICES

EURO iSTOXX High Dividend Low Volatility 50

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
EURO iSTOXX High Dividend Low Volatility 50 9.5 8.6 8.5 8.5 0.8 8.0 0.5 8.4
EURO STOXX 16.5 13.6 14.6 14.6 1.7 3.9 1.1 19.8

Performance and annual returns