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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 1.4 0.6 142.7
STOXX Global 1800 75,714.3 69,622.8 38.7 12.1 3,434.8 1.0 4.9 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 -5.3 6.5 24.9 20.1 35.2 N/A N/A 25.2 6.3 6.3
STOXX Global 1800 -2.1 16.3 33.4 19.3 73.9 N/A N/A 33.8 6.1 11.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global Sharpe Ratio 100 N/A N/A 15.2 16.2 19.1 N/A N/A 1.5 0.3 0.3
STOXX Global 1800 N/A N/A 10.8 15.2 18.0 N/A N/A 2.6 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX Global Sharpe Ratio 100 0.4 0.6 0.6 0.7 0.8 9.9 11.2 12.1 12.6 12.1
Index to benchmark Beta Annualized information ratio
STOXX Global Sharpe Ratio 100 0.5 0.8 0.9 0.7 0.8 -3.9 -1.0 -0.6 0.0 -0.5

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

2Based on EURIBOR1M

(USD, Net Return), all data as of October 31, 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 9.5 9.2 8.6 8.6 0.9 5.6 0.6 14.3
STOXX Global 1800 23.5 20.8 21.8 21.8 3.5 1.9 2.3 23.3

Performance and annual returns