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ISTOXX INDICES

iSTOXX Global Profitability Select 30

Index Description

The iSTOXX Global Profitability Select 30 Index is comprised of 30 profitable, liquid stocks with low volatility and high dividend yields. The stocks from the STOXX Global 1800 index are ranked based on four profitability metrics and the most profitable ones per industry are eligible for selection. The four profitability metrics are the Return on Assets, the Operating Cash Flow to Total Assets ratio, the Change in Return on Assets and the Negative Accruals. The final index screens select stocks with the lowest volatility and highest dividend yields.

Key facts

  • The index is comprised of 30 profitable, liquid stocks with low volatility and high dividend yield
  • The index allows targeted investment in companies with strong profitability indicators
  • Liquidity filters ensure replicability

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 Profitability Select 30 N/A 106.7 3.6 3.4 5.3 2.9 5.0 2.8 167.9
STOXX Global 1800 72,861.2 66,860.9 37.1 11.6 3,321.0 1.4 5.0 0.0 2.6

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
iSTOXX Global Profitability Select 30 -1.5 6.6 13.1 9.0 13.5 N/A N/A 13.4 2.9 2.6
STOXX Global 1800 1.9 11.7 20.3 22.1 76.1 N/A N/A 20.7 7.0 12.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Global Profitability Select 30 N/A N/A 11.9 14.0 18.1 N/A N/A 0.7 0.1 0.1
STOXX Global 1800 N/A N/A 10.0 14.9 17.9 N/A N/A 1.6 0.3 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX Global Profitability Select 30 0.5 0.5 0.6 0.7 0.8 11.4 10.6 9.9 11.7 12.0
Index to benchmark Beta Annualized information ratio
iSTOXX Global Profitability Select 30 1.2 0.6 0.7 0.6 0.8 -3.8 -0.9 -0.7 -0.4 -0.8

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of June 28, 2024

ISTOXX INDICES

iSTOXX Global Profitability 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 Profitability Select 30 16.7 11.2 12.7 12.7 1.5 6.6 1.1 12.9
STOXX Global 1800 24.4 19.6 22.4 22.4 3.3 2.4 2.2 25.3

Performance and annual returns

Methodology

The parent index is the STOXX Global 1800. Liquidity filters exclude companies with less than 8 million EUR 3-month Average Daily Traded Volume (ADTV) ensuring replicability. The eligible companies are ranked based on the sum of the z-scores of four profitability metrics, in each industry, and the top 50%, in each industry, are eligible for selection. All remaining companies are ranked based on their volatility; the top 50% of companies with the lowest volatility proceed to the final step. Finally, 30 companies with the highest dividend yields are selected.


The index is weighted by the inverse of the selected stock's volatility. The index composition is 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
Gross Return EUR CH0524975999 SXGPS3GR .SXGPS3GR
Net Return EUR CH0524976013 SXGPS3NR .SXGPS3NR
Price EUR CH0524975932 SXGPS3P SXGPS3P INDEX .SXGPS3P
Gross Return USD CH0524975973 SXGPS3GV .SXGPS3GV
Price USD CH0524975981 SXGPS3L SXGPS3L INDEX .SXGPS3L
Net Return USD CH0524976005 SXGPS3V .SXGPS3V

Quick Facts

Weighting Inverse Volatility Weighted
Cap Factor None
No. of components 30
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2012
Inception date Feb. 28, 2020
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 Profitability Select 30

Top 10 Components4

Company Supersector Country Weight
ORANGE Telecommunications France 4.964%
Redeia Corporacion Utilities Spain 4.362%
GAMING AND LEISURE PROPERTIES Real Estate USA 3.984%
ENGIE Utilities France 3.968%
ENEL Utilities Italy 3.925%
IMPERIAL BRANDS Food, Beverage and Tobacco UK 3.768%
REALTY INCOME Real Estate USA 3.757%
Altria Group Inc. Food, Beverage and Tobacco USA 3.710%
TELENOR Telecommunications Norway 3.654%
TELEFONICA Telecommunications Spain 3.573%

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

4Based on the composition as of June 28, 2024