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STRATEGY INDICES

EURO iSTOXX High Dividend Low Volatility 50

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 (USD bn) Components (USD 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 1.1 0.0 0.0 0.0 0.0 3.0 1.2 85.7
EURO STOXX 8,538.9 6,187.3 20.8 7.9 332.5 1.6 5.4 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 2.0 10.0 21.8 2.1 -0.8 N/A N/A 22.1 0.7 -0.2
EURO STOXX 1.8 10.0 23.4 9.6 37.6 N/A N/A 23.8 3.1 6.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX High Dividend Low Volatility 50 N/A N/A 14.1 18.8 21.8 N/A N/A 1.2 -0.1 -0.1
EURO STOXX N/A N/A 14.9 21.3 22.7 N/A N/A 1.2 0.0 0.2
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX High Dividend Low Volatility 50 0.8 0.9 0.9 0.9 0.9 9.0 7.5 6.9 8.0 8.2
Index to benchmark Beta Annualized information ratio
EURO iSTOXX High Dividend Low Volatility 50 0.6 0.8 0.8 0.8 0.9 0.2 -0.1 -0.2 -0.4 -0.9

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

2Based on EURIBOR1M

(USD, Price), all data as of September 30, 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 9.7 8.8 8.8 8.8 0.8 6.2 0.5 8.6
EURO STOXX 17.0 14.0 15.0 15.0 1.8 3.1 1.2 18.7

Performance and annual returns

Methodology

All securities from the EURO STOXX index are screened for their 12 month historical volatility and 12 month historical dividend yield. If one, or both, values are not available for a security, the security is removed from the base universe. All remaining securities are ranked according to their 12 month historical dividend yield in descending order. The top 75 stocks are selected with a maximum of 10 stocks per country. All eligible securities are then ranked according to their 12 month historical volatility in ascending order. From the selection list, the top 50 securities are selected to be included in the index. The constituents from the indices are weighted according to their 12 month historical dividend yield.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0292673362 SXEDV5GR SXEDV5GR INDEX .SXEDV5GR
Price EUR CH0292673313 SXEDV5P SXEDV5P INDEX .SXEDV5P
Net Return EUR CH0292673339 SXEDV5R SXEDV5R INDEX .SXEDV5R
Net Return USD CH0292673479 SXEDV5V .SXEDV5V
Gross Return USD CH0292673511 SXEDV5GV .SXEDV5GV
Price USD CH0292673404 SXEDV5L .SXEDV5L

Quick Facts

Weighting Dividend yield
Cap Factor 10 stocks per country, 3% per constituent
No. of components 50
Review frequency Quarterly
Calculation/distribution Price, net and gross return in EUR and USD
Calculation hours Price: real-time (9:00 am to 6:00 pm), others: end of day (6:00 pm)
Base value/base date 100 as of Mar. 22, 2004
History Available from Mar. 22, 2004
Inception date Sept. 10, 2015
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

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.

STRATEGY INDICES

EURO iSTOXX High Dividend Low Volatility 50

Top 10 Components4

Company Supersector Country Weight
VOLKSWAGEN PREF Automobiles and Parts Germany 2.967%
ABN AMRO BANK Banks Netherlands 2.966%
ENAGAS Energy Spain 2.933%
MERCEDES-BENZ GROUP Automobiles and Parts Germany 2.639%
ENGIE Utilities France 2.616%
NORDEA BANK Banks Finland 2.614%
BASF Chemicals Germany 2.458%
INTESA SANPAOLO Banks Italy 2.406%
BMW Automobiles and Parts Germany 2.365%
OMV Energy Austria 2.338%

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

4Based on the composition as of September 30, 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.