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STRATEGY INDICES

EURO STOXX 50 Low Risk Weighted

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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
EURO STOXX 50 Low Risk Weighted N/A 105.0 2.1 2.1 3.8 0.9 3.6 0.8 20.3
EURO STOXX 50 4,547.9 3,563.0 71.3 57.5 277.9 16.6 7.8 0.5 4.1

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 50 Low Risk Weighted -3.8 5.4 9.3 23.8 37.5 N/A N/A 9.5 7.4 6.7
EURO STOXX 50 -3.0 4.9 9.6 22.4 44.4 N/A N/A 9.8 7.0 7.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 Low Risk Weighted N/A N/A 14.3 21.0 23.1 N/A N/A 0.3 0.2 0.2
EURO STOXX 50 N/A N/A 15.7 22.3 24.0 N/A N/A 0.3 0.2 0.3
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 Low Risk Weighted 1.0 1.0 1.0 1.0 1.0 3.2 4.3 4.2 3.5 3.3
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 Low Risk Weighted 0.9 0.9 0.9 0.9 1.0 -3.2 0.0 -0.1 0.0 -0.4

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

2Based on EURIBOR1M

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

STRATEGY INDICES

EURO STOXX 50 Low Risk Weighted

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 50 Low Risk Weighted 13.1 11.9 12.9 12.9 1.4 4.1 0.8 14.2
EURO STOXX 50 15.4 13.9 15.3 15.3 1.9 3.5 1.3 17.1

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
Net Return EUR CH0190733508 SXLVB5T SXLVB5T INDEX .SXLVB5T
Gross Return EUR CH0190744760 SXLVB5GT SXLVB5GT INDEX .SXLVB5GT
Price EUR CH0190744786 SXLVB5E SXLVB5E INDEX .SXLVB5E
Price USD CH0190733565 SXLVB5K SXLVB5K INDEX .SXLVB5K
Gross Return USD CH0190733482 SXLVB5GU SXLVB5GU INDEX .SXLVB5GU
Net Return USD CH0190733532 SXLVB5U SXLVB5U INDEX .SXLVB5U

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

Top 10 Components4

Company Supersector Country Weight
DEUTSCHE TELEKOM Telecommunications Germany 3.630%
DANONE Food, Beverage and Tobacco France 3.164%
DEUTSCHE BOERSE Financial Services Germany 2.937%
ALLIANZ Insurance Germany 2.856%
WOLTERS KLUWER Media Netherlands 2.806%
IBERDROLA Utilities Spain 2.752%
ESSILORLUXOTTICA Health Care France 2.602%
AHOLD DELHAIZE Personal Care, Drug and Grocery Stores Netherlands 2.525%
SAFRAN Industrial Goods and Services France 2.469%
ENEL Utilities Italy 2.380%

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.