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STRATEGY INDICES

STOXX Europe Sharpe Ratio 50

Index Description

The STOXX Sharpe Ratio indices include stocks from their respective benchmark that have the highest Sharpe ratios. The indices exclude those with low dividend yields and low liquidity, select 50 (100 for the Global version) companies with the highest one-year Sharpe ratios and weights them according to the inverse of their one-year volatility (subject to a 10% cap). To calculate the one-year Sharpe ratio, the GC Pooling 12 months is used as risk-free asset.

Key facts

  • First index of its kind
  • Simple parameters to determine the selection
  • Use transparent risk free rate (GC Pooling 12 months)

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 Sharpe Ratio 50 N/A 0.1 0.0 0.0 0.0 0.0 3.0 1.2 140.6
STOXX Europe 600 13,857.2 11,094.2 18.5 6.3 403.3 1.5 3.6 0.0 3.6

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 Sharpe Ratio 50 -0.9 12.1 21.5 42.9 49.5 N/A N/A 21.8 12.8 8.5
STOXX Europe 600 1.6 12.7 18.4 22.9 60.7 N/A N/A 18.7 7.2 10.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Sharpe Ratio 50 N/A N/A 15.1 17.0 20.5 N/A N/A 1.0 0.6 0.4
STOXX Europe 600 N/A N/A 10.3 14.6 17.6 N/A N/A 1.3 0.3 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Europe Sharpe Ratio 50 0.9 0.8 0.8 0.8 0.9 7.8 7.3 8.5 9.0 8.9
Index to benchmark Beta Annualized information ratio
STOXX Europe Sharpe Ratio 50 1.2 1.1 1.2 1.0 1.0 -3.7 -0.1 0.3 0.6 -0.1

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of August 30, 2024

STRATEGY INDICES

STOXX Europe Sharpe Ratio 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
STOXX Europe Sharpe Ratio 50 10.0 8.1 7.8 7.8 0.8 7.0 0.7 4.9
STOXX Europe 600 19.0 14.4 16.4 16.4 2.1 3.8 1.4 16.7

Performance and annual returns