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STRATEGY INDICES

STOXX Europe Diversification Select 50 Risk Control 10% RV

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Index Description

The STOXX Diversification Select family of indices captures the performance of stocks with low correlation, low volatility and high dividends, derived from established STOXX benchmark indices. The component selection process first excludes all stocks with the highest 12-months average correlation with all other stocks of the benchmark, then excludes stocks whose previous 3- and 12-month historical volatilities are the highest. The STOXX Europe Diversification Select 50 Risk Control 10% RV index is designed to control the risk profile of the underlying STOXX Europe Diversification Select 50 index. The risk control index reflects a volatility strategy that targets a predefined volatility level of 10%. The index shifts between a risk-free money market investment (measured by the applicable overnight rate) and a risky portfolio (measured by the underlying STOXX index). The allocations for the risk control Index is determined on the basis of the historical volatility of the underlying index (with a maximum leverage factor of 150%).

Key facts

  • Provides steady returns with a much lower level of volatility than the underlying index.
  • Based on very liquid instruments: money market and underlying index
  • Offers full participation in less risky, booming equity markets while at the same time protecting investors when markets become turbulent.
  • Improved risk-return profiles for bull and bear markets
  • Reacts immediately to changes in the prevailing market environment due to daily observation of volatility trigger levels.

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Europe Diversification Select 50 Risk Control 10% RV N/A N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe 600 N/A N/A N/A N/A N/A N/A N/A N/A N/A

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
STOXX Europe Diversification Select 50 Risk Control 10% RV 2.1 0.7 1.4 9.5 16.4 N/A N/A 1.4 3.1 3.1
STOXX Europe 600 4.2 36.4 15.7 30.8 57.4 N/A N/A 16.1 9.5 9.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Diversification Select 50 Risk Control 10% RV N/A N/A 9.3 9.7 9.9 N/A N/A -0.2 0.2 0.3
STOXX Europe 600 N/A N/A 10.0 14.6 17.7 N/A N/A 1.2 0.5 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Europe Diversification Select 50 Risk Control 10% RV N/A N/A N/A N/A 0.0 N/A N/A N/A N/A 25.8
Index to benchmark Beta Annualized information ratio
STOXX Europe Diversification Select 50 Risk Control 10% RV N/A N/A N/A N/A 0.0 N/A N/A N/A N/A 0.1

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

2Based on EURIBOR1M

(EUR, Total Return - GR), all data as of March 29, 2024

STRATEGY INDICES

STOXX Europe Diversification Select 50 Risk Control 10% RV

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 Diversification Select 50 Risk Control 10% RV N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe 600 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The index portfolio consists of an underlying index (STOXX Europe Diversification Select 50 index) and an overnight money market investment. The rebalancing is done if the volatility changes by more than 5% since the last rebalancing to avoid high allocation turnover due to minimal deviations from the targeted risk level. In addition, a maximum exposure of 150% toward the risky asset is introduced to avoid extreme leveraged positions. The detailed methodology, including the calculation formula, can be found in our rulebook: www.stoxx.com/rulebook

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Total Return - P EUR CH0300305197 SXXDS1TP SXXDS1TP INDEX .SXXDS1TP
Total Return - GR EUR CH0300306047 SXXDS1TG nan .SXXDS1TG
Total Return - NR EUR CH0300306013 SXXDS1TR nan .SXXDS1TR

Quick Facts

Weighting Rebalancing: daily
Calculation/distribution Price: real-time, others: end of day
Calculation hours 09:00 to 22:30 (real-time), 22:30 (end of day)
Base value/base date 100 as of Jan. 3, 2005
History Available from Jan. 3, 2005
Inception date Oct. 21, 2015
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

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.