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STRATEGY INDICES

STOXX Europe Low Risk Weighted 200

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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Europe Low Risk Weighted 200 N/A 111.1 0.6 0.5 0.9 0.2 0.8 0.2 52.6
STOXX Europe 600 14,187.6 11,188.1 18.6 6.6 366.4 1.1 3.3 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
STOXX Europe Low Risk Weighted 200 -0.3 -0.3 8.7 7.7 31.7 N/A N/A 8.8 2.5 5.7
STOXX Europe 600 -0.2 -0.2 10.8 20.1 49.3 N/A N/A 11.0 6.4 8.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Low Risk Weighted 200 N/A N/A 13.3 16.5 18.1 N/A N/A 0.3 0.1 0.3
STOXX Europe 600 N/A N/A 15.5 18.9 20.5 N/A N/A 0.4 0.2 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe Low Risk Weighted 200 1.0 1.0 1.0 1.0 1.0 4.5 4.5 4.5 5.3 5.5
Index to benchmark Beta Annualized information ratio
STOXX Europe Low Risk Weighted 200 0.9 0.9 0.8 0.8 0.9 -0.4 -0.4 -0.5 -0.8 -0.6

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of January 31, 2024

STRATEGY INDICES

STOXX Europe Low Risk Weighted 200

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 Europe Low Risk Weighted 200 16.8 13.7 15.3 15.3 1.9 3.9 1.1 10.8
STOXX Europe 600 14.8 13.0 12.9 12.9 2.0 3.6 1.3 14.3

Performance and annual returns

Methodology

Components are selected based on a 12-month historical volatility ranking. Components are ranked from lowest to highest volatility. Weights are calculated by using the inverse of the 12-month historical volatility. The detailed methodology, including calculation formula and full requirements, can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0190732591 SXLV2GR SXLV2GR INDEX .SXLV2GR
Price EUR CH0190732674 SXLV2P SXLV2P INDEX .SXLV2P
Gross Return USD CH0190732617 SXLV2GV SXLV2GV INDEX .SXLV2GV
Net Return EUR CH0190732633 SXLV2R SXLV2R INDEX .SXLV2R
Net Return USD CH0190744703 SXLV2V SXLV2V INDEX .SXLV2V
Price USD CH0190732690 SXLV2L SXLV2L INDEX .SXLV2L

Quick Facts

Weighting Inverse of 12-month historical volatility
Cap Factor 10%
No. of components Fixed, number of components indicated in the index name
Review frequency Quarterly (March, June, September, December)
Calculation/distribution Price (EUR): realtime (every 15 seconds) Price (USD), net return, gross return (EUR, USD): end-of-day
Calculation hours Realtime: 9:00 am - 6:00 pm CET End-of-day: 6:00 pm CET
Base value/base date 100 as of Jan. 31, 2011
History Available daily back to Mar. 19, 2001
Inception date Oct. 4, 2012
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet

STRATEGY INDICES

STOXX Europe Low Risk Weighted 200

Top 10 Components4

Company Supersector Country Weight
KPN Telecommunications Netherlands 0.809%
UNILEVER PLC Personal Care, Drug and Grocery Stores UK 0.710%
BEIERSDORF Personal Care, Drug and Grocery Stores Germany 0.698%
DANONE Food, Beverage and Tobacco France 0.667%
FERROVIAL Construction and Materials Spain 0.660%
SWISSCOM Telecommunications Switzerland 0.659%
COMPASS GRP Consumer Products and Services UK 0.650%
HENKEL PREF Consumer Products and Services Germany 0.644%
BRITVIC Food, Beverage and Tobacco UK 0.638%
BUREAU VERITAS Industrial Goods and Services France 0.632%

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

4Based on the composition as of January 31, 2024