Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

Export PDF

STRATEGY INDICES

STOXX USA Low Risk Weighted 300

Index Description

The STOXX USA Low Risk Weighted 300 Index represents the lowest volatility companies within the STOXX USA 900. 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 a well-known equity index STOXX USA 900.

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 USA Low Risk Weighted 300 N/A 117.7 0.4 0.4 0.7 0.3 0.6 0.2 48.9
STOXX USA 900 53,481.2 51,340.1 57.0 16.6 3,331.4 2.9 6.5 0.0 2.3

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 USA Low Risk Weighted 300 3.5 15.8 20.6 18.7 50.2 N/A N/A 20.9 5.9 8.6
STOXX USA 900 2.5 19.0 27.1 26.5 104.8 N/A N/A 27.5 8.2 15.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA Low Risk Weighted 300 N/A N/A 10.4 13.9 19.5 N/A N/A 1.4 0.3 0.4
STOXX USA 900 N/A N/A 12.8 18.1 21.6 N/A N/A 1.6 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA Low Risk Weighted 300 0.9 0.6 0.7 0.8 0.9 11.1 9.9 9.2 9.7 9.3
Index to benchmark Beta Annualized information ratio
STOXX USA Low Risk Weighted 300 0.5 0.5 0.6 0.6 0.8 0.9 -0.5 -0.7 -0.3 -0.8

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

2Based on EURIBOR1M

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

STRATEGY INDICES

STOXX USA Low Risk Weighted 300

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 USA Low Risk Weighted 300 22.8 19.3 22.3 22.3 3.2 2.7 1.8 24.7
STOXX USA 900 29.3 23.6 26.8 26.8 4.9 1.8 2.9 26.5

Performance and annual returns