Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

ISTOXX INDICES

iSTOXX Global Diversity Enhanced Impact Select 30

Index Description

The iSTOXX Global Diversity Enhanced Impact Select 30 Index focuses on a pool of leading companies in terms of workforce diversity and anti-discrimination policies from which it selects 30 liquid stocks with low volatility and high dividend yield. Industry and country neutrality filters are applied in the selection process to ensure diversification. Companies non-compliant based on Sustanalitics Global Standards Screening Assessment or are involved in Controversial Weapons activities, as identified by Sustainalytics, are excluded. Additionally, the Coal and the Tobacco sectors are excluded.

Key facts

  • Selection from market-representative and liquid benchmark
  • Attractive theme (diversity in the workplace)
  • 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
  • Excluding companies engaged in controversial activities
  • Additional controls to ensure diversification across industries and regions

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 Global Diversity Enhanced Impact Select 30 N/A 1.0 0.0 0.0 0.0 0.0 4.0 2.8 163.9
STOXX Global 1800 66,571.2 60,763.2 33.7 11.1 2,895.3 1.1 4.8 0.0 2.9

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX Global Diversity Enhanced Impact Select 30 3.0 3.2 9.1 19.2 12.2 N/A N/A 9.3 6.1 2.4
STOXX Global 1800 3.4 11.4 26.1 39.5 86.3 N/A N/A 26.8 11.9 13.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Global Diversity Enhanced Impact Select 30 N/A N/A 9.0 9.4 15.5 N/A N/A 0.7 0.5 0.1
STOXX Global 1800 N/A N/A 9.8 13.7 17.3 N/A N/A 2.2 0.7 0.7
Index to benchmark Correlation Tracking error (%)
iSTOXX Global Diversity Enhanced Impact Select 30 0.5 0.3 0.5 0.6 0.7 7.8 9.8 9.1 11.5 11.9
Index to benchmark Beta Annualized information ratio
iSTOXX Global Diversity Enhanced Impact Select 30 29.1 26.3 49.0 38.5 66.3 -0.7 -3.3 -1.7 -0.6 -0.9

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of March 29, 2024

ISTOXX INDICES

iSTOXX Global Diversity Enhanced 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 Global Diversity Enhanced Impact Select 30 13.8 10.1 10.0 10.0 1.0 6.5 0.8 13.5
STOXX Global 1800 23.7 19.4 21.8 21.8 3.2 2.6 2.2 2.3

Performance and annual returns

Methodology

The index universe is the STOXX Global 1800 Index excluding companies non-compliant based on Sustanalitics Global Standards Screening Assessment or involved in Controversial Weapons, Tobacco or Coal. Only companies with a 3-month average daily trading volume (ADTV) of more than EUR 5 million are considered. Half the stocks from that universe that have the lowest Diversity Impact score (defined as the average of the S.1.2 Discrimination Policy Raw Score and S.1.3 Diversity Programmes Raw Score Social indicators from Sustainalytics) are excluded. Afterwards, the 300 companies with the lowest previous 3- and 12-month historical volatilities are selected. Finally, among the remaining stocks, the top 30 with the highest 12-month historical dividend yields are included in the index, in such a way that diversification across industries and countries is ensured. The 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
Net Return EUR CH0444755364 SXGDEISN .SXGDEISN
Price EUR CH0444755398 SXGDEISP SXGDEISP INDEX .SXGDEISP
Gross Return EUR CH0444755372 SXGDEISG .SXGDEISG
Gross Return USD CH0444755331 SXGDEISU .SXGDEISU
Net Return USD CH0444755307 SXGDEISV .SXGDEISV
Price USD CH0444755356 SXGDEISL .SXGDEISL

Quick Facts

Weighting Inverse Volatility
Cap Factor Maximum 10%
No. of components 30
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 100 as of Mar. 16, 2012
History Available since Mar. 19, 2012
Inception date Nov. 14, 2018
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

iSTOXX Global Diversity Enhanced Impact Select 30

Top 10 Components4

Company Supersector Country Weight
ENGIE Utilities France 0.0402088
KINDER MORGAN Energy USA 0.0377276
Bank of Nova Scotia Banks Canada 0.0376357
ENEL Utilities Italy 0.0376164
Enbridge Inc. Energy Canada 0.0374311
AUSTRALIAN PIPELINE Energy Australia 0.0362014
AGEAS Insurance Belgium 0.0361774
GAMING AND LEISURE PROPERTIES Real Estate USA 0.0355000
ANZ GROUP Banks Australia 0.0353059
AVIVA Insurance UK 0.0347306

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

4Based on the composition as of March 29, 2024