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BENCHMARK INDICES

STOXX True Exposure Europe 50%

Index Description

Traditional equity indices bundle companies based on their country of domicile and primary listing, regardless of where the selected companies generate their revenue. Without this consideration, indices covering different countries or regions may have substantial revenue overlaps among each other. In a portfolio context, revenue overlaps among portfolio constituents increase correlations between indices. STOXX True Exposure™(STOXX TRU™) Indices take into account the revenue exposure of each company to single countries in the selection process and focus on companies that generate all or a significant portion of their revenue in targeted countries or regions. This provides a more focused representation of the targeted market. The derived decrease in revenue overlaps leads to a decrease in correlations among STOXX TRU™ Indices. Viewed in a portfolio context, a combination of STOXX TRU™ Indices is therefore found to increase portfolio efficiency: they offer more return per unit of risk taken compared to the use of traditional equity indices. The initial offering is composed of five country indices (Australia, Canada, Japan, UK and USA), four regional indices (Eurozone, Europe, Asia/Pacific and North America) as well as four global indices (Developed Markets, Developed Markets ex Europe, Developed Markets ex USA and Emerging Markets).

Key facts

  • The STOXX TRU™ Index universe is based on well-known benchmark indices such as the STOXX® Europe 600 or the EURO STOXX®
  • For companies that do not disclose revenue breakdown on a country level, STOXX applies a unique export-based methodology to estimate revenue exposures
  • Our unique estimator takes into account industry-specific, country-to-country export data

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 True Exposure Europe 50% 3,246.9 2,486.8 8.3 4.8 73.7 1.0 3.0 0.0 3.0
STOXX Europe 600 14,448.3 11,510.3 19.2 6.7 356.2 1.4 3.1 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 True Exposure Europe 50% -5.6 9.3 28.8 6.5 33.0 N/A N/A 29.1 2.1 5.9
STOXX Europe 600 -5.9 6.9 23.7 9.8 43.9 N/A N/A 24.0 3.2 7.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX True Exposure Europe 50% N/A N/A 14.0 20.1 22.1 N/A N/A 1.9 0.0 0.2
STOXX Europe 600 N/A N/A 12.8 18.7 20.5 N/A N/A 1.8 0.1 0.3
Index to benchmark Correlation Tracking error (%)
STOXX True Exposure Europe 50% 0.8 0.9 0.9 1.0 1.0 5.4 5.0 4.9 4.8 4.6
Index to benchmark Beta Annualized information ratio
STOXX True Exposure Europe 50% 0.8 1.0 1.0 1.0 1.1 0.5 0.5 0.8 -0.2 -0.3

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

2Based on EURIBOR1M

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

BENCHMARK INDICES

STOXX True Exposure Europe 50%

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 True Exposure Europe 50% 15.3 11.4 12.4 12.4 1.4 4.5 1.1 23.0
STOXX Europe 600 17.1 14.6 15.3 15.3 2.0 3.2 1.3 20.5

Performance and annual returns