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STRATEGY INDICES

STOXX USA Low Risk Weighted 300

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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 118.1 0.4 0.4 0.6 0.3 0.5 0.2 51.2
STOXX USA 900 57,777.1 55,529.7 61.7 17.6 3,608.4 3.6 6.5 0.0 2.5

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 USA Low Risk Weighted 300 6.2 22.9 27.7 26.4 49.9 N/A N/A 28.2 8.2 8.5
STOXX USA 900 6.6 28.1 34.4 34.1 101.1 N/A N/A 35.1 10.4 15.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA Low Risk Weighted 300 N/A N/A 9.8 13.9 19.6 N/A N/A 2.2 0.3 0.4
STOXX USA 900 N/A N/A 12.6 18.2 21.7 N/A N/A 2.1 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA Low Risk Weighted 300 0.8 0.7 0.7 0.8 0.9 7.6 9.6 9.4 9.8 9.4
Index to benchmark Beta Annualized information ratio
STOXX USA Low Risk Weighted 300 0.7 0.5 0.5 0.6 0.8 -0.6 -0.6 -0.6 -0.3 -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

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 23.1 19.8 22.4 22.4 3.4 1.9 1.9 5.6
STOXX USA 900 31.5 25.4 28.7 28.7 5.4 1.3 3.1 19.6

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 CH0339858828 SXULV3R .SXULV3R
Gross Return EUR CH0339858968 SXULV3G .SXULV3G
Price EUR CH0339858794 SXULV3P .SXULV3P
Gross Return USD CH0339858943 SXULV3GV .SXULV3GV
Price USD CH0339858893 SXULV3L .SXULV3L
Net Return USD CH0339858760 SXULV3V SXULV3V INDEX .SXULV3V

Quick Facts

Weighting Inverse 12-month historical
Cap Factor 10%
No. of components 300
Review frequency Quarterly
Calculation/distribution Realtime 15 sec. (EUR, USD Price) / end-of-day (others)
Calculation hours 15:30 - 22:15 CET
Base value/base date 100 as of Mar. 18, 2002
History available since Mar. 18, 2002
Inception date Oct. 20, 2016
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
T-Mobile US Inc Telecommunications USA 0.544%
Berkshire Hathaway Inc. Cl B Financial Services USA 0.515%
KINDER MORGAN Energy USA 0.490%
DT MIDSTREAM Energy USA 0.487%
Republic Services Inc. Utilities USA 0.472%
Loews Corp. Insurance USA 0.466%
Fiserv Inc. Industrial Goods and Services USA 0.462%
VISA Inc. Cl A Industrial Goods and Services USA 0.452%
SEI INVESTMENTS Financial Services USA 0.446%
Illinois Tool Works Inc. Industrial Goods and Services USA 0.445%

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.