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OPTIMISED INDICES

STOXX Europe 600 Optimised Chemicals

Index Description

The STOXX Europe 600 Optimised Supersector Indices are derived from the STOXX Europe 600 Index, which comprises 600 of the largest European stocks by free-float market cap. Index components are selected by equity turnover value (three-month average daily turnover value - 3-month ADTV) and availability to borrow (based on the average data over seven trading days, as provided by data explorers in EUR). The EURO STOXX Optimised Banks is derived from the STOXX Europe 600 Optimised Banks Index and covers Eurozone companies.

Key facts

  • Indices which use liquidity and stock borrowing as explicit factors in constituent selection to ensure tradability for long and short positions. Filters based on liquidity and availability to borrow are applied at the supersector level.
  • A sector-dependent liquidity factor reduces the weighting of those components whose average daily turnover, as a fraction of the free-float market cap, is above the supersector average. This liquidity weighting methodology enhances the tradability of each index while retaining the free-float market cap weighting across the larger, more liquid stocks.
  • Single stock weighting caps produce hedging tools that reduce idiosyncratic single-stock exposures, decrease volatility and improve diversification. These percentage weighting caps are defined based on the number of index components to ensure relevance across a heterogeneous group of supersectors.

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 600 Optimised Chemicals 347.9 299.3 15.8 7.1 60.3 2.6 20.1 0.9 8.3
STOXX Europe 600 15,338.5 12,280.1 20.5 7.0 446.4 1.7 3.6 0.0 3.6

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 600 Optimised Chemicals 5.4 1.8 10.0 -6.2 46.6 N/A N/A 10.1 -2.1 8.0
STOXX Europe 600 3.9 12.3 20.0 13.1 57.1 N/A N/A 20.3 4.2 9.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 Optimised Chemicals N/A N/A 15.7 21.8 22.3 N/A N/A 0.4 -0.2 0.3
STOXX Europe 600 N/A N/A 13.3 18.8 20.5 N/A N/A 1.0 0.1 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 Optimised Chemicals 0.8 0.8 0.8 0.9 0.9 8.8 8.9 8.9 9.2 8.9
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 Optimised Chemicals 0.7 0.9 1.0 1.1 1.0 1.9 -1.7 -1.0 -0.7 -0.2

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

2Based on EURIBOR1M

(USD, Net Return), all data as of August 30, 2024

OPTIMISED INDICES

STOXX Europe 600 Optimised Chemicals

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 600 Optimised Chemicals 87.4 21.1 29.9 29.9 2.2 2.5 1.1 40.0
STOXX Europe 600 19.0 14.4 16.4 16.4 2.1 3.1 1.4 16.7

Performance and annual returns