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OPTIMISED INDICES

STOXX Europe 600 Optimised Real Estate

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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 Real Estate 178.9 149.5 5.8 5.1 22.9 1.7 15.3 1.2 24.4
STOXX Europe 600 14,163.7 11,304.2 18.8 6.6 343.9 1.2 3.0 0.0 3.5

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 Europe 600 Optimised Real Estate -1.2 -1.5 10.0 -27.9 -26.6 N/A N/A 10.2 -10.4 -6.1
STOXX Europe 600 -1.6 4.5 9.9 11.9 35.5 N/A N/A 10.0 3.8 6.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 Optimised Real Estate N/A N/A 21.8 29.4 28.1 N/A N/A 0.2 -0.5 -0.3
STOXX Europe 600 N/A N/A 12.7 18.8 20.5 N/A N/A 0.5 0.1 0.2
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 Optimised Real Estate 0.7 0.7 0.7 0.8 0.8 17.1 15.7 16.1 19.3 17.6
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 Optimised Real Estate 1.0 1.1 1.2 1.2 1.1 0.3 -0.4 0.0 -0.7 -0.7

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

2Based on EURIBOR1M

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

OPTIMISED INDICES

STOXX Europe 600 Optimised Real Estate

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 Real Estate -42.8 16.0 19.3 19.3 1.0 3.1 7.6 9.5
STOXX Europe 600 17.8 14.0 15.9 15.9 2.0 2.9 1.3 -80.8

Performance and annual returns

Methodology

All STOXX Europe 600 stocks, excluding stocks from Greece and Iceland, are eligible. Equity turnover and the availability of funds to borrow are calculated for each eligible company:
Equity turnover: 3-month ADTV in EUR.
Availability of funds to borrow: based on averaged data over seven trading days, as provided by Data Explorers in EUR. The 30 least liquid and the 30 hardest to borrow stocks are deleted, starting with the smallest, considering the following conditions:
» At least 10 stocks must remain in the relevant supersector
» The combined free-float market cap of the excluded stocks from a particular supersector must not exceed 20%.
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 CH0100461125 SXO86R SXO86R INDEX .SXO86R
Price EUR CH0100461117 SXO86P SXO86P INDEX .SXO86P
Net Return USD CH0100461141 SXO86V SXO86V INDEX .SXO86V
Price USD CH0100461133 SXO86L SXO86L INDEX .SXO86L

Quick Facts

Weighting Free-float market cap, subject to liquidity factor (ADTV) and cap factor
Cap Factor Cap factor of 10%, 15% or 20% depending on the number of components in the relevant index
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec.)
Calculation/distribution Price and net return (EUR): realtime (every 15 seconds) Price and net return (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 1,000 as of Dec. 31, 2000
History Available daily back to Dec. 31, 2000
Inception date Jul. 14, 2009

Top 10 Components4

Company Supersector Country Weight
Vonovia SE Real Estate Germany 15.331%
SEGRO Real Estate UK 8.690%
UNIBAIL-RODAMCO-WESTFIELD Real Estate France 6.183%
KLEPIERRE Real Estate France 5.065%
RIGHTMOVE GRP Real Estate UK 4.933%
SWISS PRIME SITE Real Estate Switzerland 4.750%
LAND SECURITIES Real Estate UK 4.330%
LEG IMMOBILIEN Real Estate Germany 4.247%
FASTIGHETS BALDER B Real Estate Sweden 3.833%
LONDONMETRIC PROPERTY PLC Real Estate UK 3.784%

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.