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ISTOXX INDICES

iSTOXX Global Diversity Enhanced Impact Select 30

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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 (USD bn) Components (USD 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 1.1 0.0 0.0 0.0 0.0 4.5 2.5 153.0
STOXX Global 1800 78,951.0 72,725.9 40.4 12.3 3,608.4 0.8 5.0 0.0 2.5

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
iSTOXX Global Diversity Enhanced Impact Select 30 -1.3 2.9 6.7 -2.5 -16.6 N/A N/A 6.8 -0.8 -3.6
STOXX Global 1800 4.4 20.0 25.7 21.9 64.1 N/A N/A 26.2 6.9 10.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Global Diversity Enhanced Impact Select 30 N/A N/A 10.6 12.9 17.2 N/A N/A 0.4 -0.3 -0.3
STOXX Global 1800 N/A N/A 10.7 15.2 18.0 N/A N/A 1.9 0.3 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX Global Diversity Enhanced Impact Select 30 -0.1 0.4 0.4 0.6 0.7 16.1 11.6 11.5 12.4 12.6
Index to benchmark Beta Annualized information ratio
iSTOXX Global Diversity Enhanced Impact Select 30 -0.1 0.4 0.4 0.5 0.7 -4.4 -1.5 -1.5 -0.7 -1.2

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

2Based on EURIBOR1M

(USD, Price), all data as of November 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 11.9 9.7 10.8 10.8 1.0 6.5 0.5 -22.7
STOXX Global 1800 25.8 21.2 23.8 23.8 3.6 1.8 2.4 25.6

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
Price EUR CH0444755398 SXGDEISP SXGDEISP INDEX .SXGDEISP
Gross Return EUR CH0444755372 SXGDEISG .SXGDEISG
Net Return EUR CH0444755364 SXGDEISN .SXGDEISN
Net Return USD CH0444755307 SXGDEISV .SXGDEISV
Price USD CH0444755356 SXGDEISL .SXGDEISL
Gross Return USD CH0444755331 SXGDEISU .SXGDEISU

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.

Top 10 Components4

Company Supersector Country Weight
Enbridge Inc. Energy Canada 4.506%
TC ENERGY Energy Canada 4.206%
TELEFONICA Telecommunications Spain 3.873%
KEPPEL Utilities Singapore 3.856%
GAMING AND LEISURE PROPERTIES Real Estate USA 3.740%
EMERA Utilities Canada 3.737%
Jardine Matheson Holdings Ltd. Industrial Goods and Services Singapore 3.685%
AUSTRALIAN PIPELINE Energy Australia 3.643%
ORANGE Telecommunications France 3.619%
AT&T Inc. Telecommunications USA 3.480%

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

4Based on the composition as of November 29, 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.

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.