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DIVIDEND INDICES

STOXX Europe Maximum Dividend 40

Index Description

The STOXX Europe Maximum Dividend 40 is designed to maximize the dividend yield of the index portfolio. The index comprises 40 stocks from the STOXX Europe 600 with the highest expected dividend yield. The dividend yield is calculated on the basis of a three-month dividend forecast and the closing price of the securities at the time of selection.

Key facts

  • Quarterly review to track as closely as possible the performance of the highest dividend-yielding companies and to take into account the fact that dividend payments take place frequently throughout the year in North America
  • Portfolio is screened for liquidity based on two criteria: index constituents must have a three-month average daily trading volume (3-month ADTV) of at least 4 million euros and stocks are selected on the basis of their liquidity-adjusted dividend yield
  • Well-diversified, due to 10% component capping
  • Weighting of single components is based on their expected liquidity-adjusted dividend yield: the higher the dividend yield of a company and the higher its liquidity, the higher its weighting in the index

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 Europe Maximum Dividend 40 N/A 1.1 0.0 0.0 0.1 0.0 5.2 0.9 390.8
STOXX Europe 600 13,831.3 11,003.9 18.3 6.4 403.4 1.0 3.7 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
STOXX Europe Maximum Dividend 40 6.0 12.9 23.5 47.6 73.0 N/A N/A 23.8 14.0 11.7
STOXX Europe 600 3.5 10.7 18.6 27.8 63.2 N/A N/A 18.8 8.6 10.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Maximum Dividend 40 N/A N/A 11.5 16.3 21.5 N/A N/A 1.4 0.7 0.5
STOXX Europe 600 N/A N/A 9.9 14.5 17.6 N/A N/A 1.2 0.5 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Europe Maximum Dividend 40 0.6 0.7 0.8 0.9 0.9 8.4 7.3 6.4 7.5 9.4
Index to benchmark Beta Annualized information ratio
STOXX Europe Maximum Dividend 40 0.8 0.9 0.9 1.0 1.1 3.2 0.7 0.6 0.6 0.2

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

2Based on EURIBOR1M

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

DIVIDEND INDICES

STOXX Europe Maximum Dividend 40

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 Europe Maximum Dividend 40 7.3 7.2 7.1 7.1 0.8 17.7 0.4 4.2
STOXX Europe 600 17.7 14.1 15.6 15.6 2.0 3.9 1.4 7.8

Performance and annual returns