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STRATEGY INDICES

EURO STOXX Low Risk Weighted 100

Index Description

STOXX Low Risk Weighted Indices represent the lowest volatility companies within the respective underlying index, such as the EURO STOXX 50, the STOXX Europe 600 and the EURO STOXX. Components are selected according to their 12-month historical volatility and weighted by the inverse of their 12-month historical volatility.

Key facts

  • The indices provide an alternative weighting concept based on stock price volatility rather than market cap.
  • Minimum average daily value traded (ADVT) facilitates trading and is based on well-known equity indices - EURO STOXX 50, EURO STOXX, STOXX Europe 600.

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
EURO STOXX Low Risk Weighted 100 N/A 102.8 1.0 1.0 1.7 0.7 1.7 0.7 49.3
EURO STOXX 7,666.6 5,575.5 18.8 7.2 348.0 1.0 6.2 0.0 3.8

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
EURO STOXX Low Risk Weighted 100 3.5 8.1 13.0 15.6 29.3 N/A N/A 13.2 5.0 5.3
EURO STOXX 3.1 11.6 19.8 26.8 66.7 N/A N/A 20.1 8.3 10.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Low Risk Weighted 100 N/A N/A 8.4 12.3 15.8 N/A N/A 0.9 0.3 0.3
EURO STOXX N/A N/A 11.1 16.6 19.6 N/A N/A 1.2 0.4 0.5
Index to benchmark Correlation Tracking error (%)
EURO STOXX Low Risk Weighted 100 0.9 0.8 0.9 0.9 0.9 3.9 5.6 5.3 7.1 7.4
Index to benchmark Beta Annualized information ratio
EURO STOXX Low Risk Weighted 100 0.7 0.6 0.7 0.7 0.8 1.2 -1.4 -1.2 -0.6 -0.8

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of May 31, 2024

STRATEGY INDICES

EURO STOXX Low Risk Weighted 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
EURO STOXX Low Risk Weighted 100 17.3 13.7 16.3 16.3 1.8 4.3 1.0 9.8
EURO STOXX 16.9 13.4 14.9 14.9 1.7 3.9 1.2 15.2

Performance and annual returns