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STRATEGY INDICES

STOXX Global Sharpe Ratio 100

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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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Global Sharpe Ratio 100 N/A 0.1 0.0 0.0 0.0 0.0 1.5 0.6 142.7
STOXX Global 1800 78,943.4 72,720.3 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
STOXX Global Sharpe Ratio 100 -0.4 6.1 14.3 26.3 34.4 N/A N/A 14.5 8.2 6.2
STOXX Global 1800 4.5 21.6 27.5 27.7 77.0 N/A N/A 28.0 8.6 12.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global Sharpe Ratio 100 N/A N/A 14.3 16.3 19.1 N/A N/A 0.6 0.3 0.2
STOXX Global 1800 N/A N/A 10.7 15.2 18.0 N/A N/A 2.0 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX Global Sharpe Ratio 100 0.2 0.6 0.6 0.7 0.8 14.7 11.5 11.9 12.8 12.3
Index to benchmark Beta Annualized information ratio
STOXX Global Sharpe Ratio 100 0.3 0.7 0.8 0.7 0.8 -4.1 -1.3 -1.0 -0.1 -0.5

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

2Based on EURIBOR1M

(USD, Net Return), all data as of November 29, 2024

STRATEGY INDICES

STOXX Global Sharpe Ratio 100

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 Global Sharpe Ratio 100 11.1 9.5 9.1 9.1 0.9 5.0 0.6 15.5
STOXX Global 1800 25.8 21.2 23.8 23.8 3.6 1.8 2.4 25.6

Performance and annual returns

Methodology

Companies that have an average six-month daily traded volume (ADTV) above a 1 million euros (the threshold is 5 million euros for the Global version) and are among the top 20% of dividend payers are eligible for inclusion in the indices. Those 50 companies with the highest one-year Sharpe ratios are included in the indices (100 for the Global version).

Each regional index – Europe, North America, Asia/Pacific – has 50 components. The Global version has 100. Index components are weighted according to the inverse of their one-year volatility. The indices are reviewed quarterly and components are subject to a 10% cap. The indices are calculated in price, net and gross return versions in euro and US dollars.

All indices use STOXX GC Pooling EUR 12 Months as the risk-free rate. The STOXX GC Pooling index family is based on the Eurex Repo GC Pooling Market and offers a transparent, rules-based, independent alternative to unsecured interbank benchmarks such as LIBOR and EURIBOR/EONIA/€STR.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0269119266 SXGSRR .SXGSRR
Price EUR CH0269118763 SXGSRP SXGSRP INDEX .SXGSRP
Gross Return EUR CH0269069644 SXGSRGR .SXGSRGR
Price USD CH0269119050 SXGSRL .SXGSRL
Gross Return USD CH0269119076 SXGSRGV .SXGSRGV
Net Return USD CH0269119068 SXGSRV .SXGSRV

Quick Facts

Weighting Inverse of the one-year historical volatility
Cap Factor 10% at component level
No. of components 50 for the region versions 100 for the global version
Review frequency Quarterly (in Mar., Jun., Sep., Dec.)
Calculation/distribution Price, net return and gross return in EUR and USD
Calculation hours 9:00 to 18:00 CET for the price versions End-of-day for NR and GR (18:00 CET)
Base value/base date 100 as of Mar. 31, 2004
History Available since Mar. 31, 2004
Inception date Feb. 18, 2015
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.

Top 10 Components4

Company Supersector Country Weight
Huntington Bancshares Inc. Banks USA 1.516%
U.S. Bancorp Banks USA 1.376%
VENTIA SERVICES GROUP Construction and Materials Australia 1.345%
BANCO BPM Banks Italy 1.335%
Regions Financial Corp. Banks USA 1.323%
Truist Financial Corp Banks USA 1.318%
BAWAG GROUP AG Banks Austria 1.310%
DIAMONDBACK ENERGY Energy USA 1.294%
CK INFRASTRUCTURE HOLDINGS Utilities Hong Kong 1.276%
WH GROUP Food, Beverage and Tobacco Hong Kong 1.274%

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.