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ISTOXX INDICES

iSTOXX Europe Longevity Select 50

Index Description

The iSTOXX Europe Longevity Select 50 Index is derived from the STOXX Europe 600 Index; it selects stocks from sectors that might potentially benefit from the ageing population in Europe, which pay high dividends and display low volatility. Constraints on the number of constituents per industry and country are applied. The index composition is reviewed on a quarterly basis.

Key facts

  • Focus on seven industries that will be impacted by ageing population
  • Rules to prevent certain companies, countries and industries from being overweight
  • Rules to limit turnover

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Europe Longevity Select 50 N/A 1.0 0.0 0.0 0.0 0.0 3.2 1.6 75.4
STOXX Europe 600 12,906.6 10,159.0 16.9 6.1 303.9 1.6 3.0 0.0 3.8

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
iSTOXX Europe Longevity Select 50 2.4 9.9 9.9 14.3 24.7 N/A N/A 10.1 4.6 4.6
STOXX Europe 600 3.8 15.8 15.8 29.3 60.7 N/A N/A 16.1 9.0 10.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Longevity Select 50 N/A N/A 9.7 11.6 15.4 N/A N/A 0.5 0.3 0.3
STOXX Europe 600 N/A N/A 11.6 14.8 17.8 N/A N/A 0.9 0.5 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Longevity Select 50 0.7 0.8 0.8 0.8 0.9 4.5 6.9 6.9 8.4 7.8
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Longevity Select 50 70.3 66.5 66.5 64.7 78.0 -4.4 -0.8 -0.8 -0.6 -0.7

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of December 29, 2023

ISTOXX INDICES

iSTOXX Europe Longevity Select 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
iSTOXX Europe Longevity Select 50 16.3 11.2 12.6 12.6 1.6 4.3 1.1 5.6
STOXX Europe 600 13.9 12.9 12.0 12.0 1.9 3.1 1.3 3.8

Performance and annual returns

Methodology

The iSTOXX Europe Longevity Select 50 Index is derived from the STOXX Europe 600 and selects stocks from sectors that might potentially benefit from the ageing population in Europe, and which pay high dividends and display low volatility.

In a first step, all companies are ranked into seven groups according to their ICB subsector code: Finance, Infrastructure, Leisure & Luxury, Pharmaceuticals, Resources, Real Estate and Telecom & Media & Tech. All stocks whose ICB subsector is not relevant are excluded. In each group, the top dividend payers are selected. In a second step, all remaining companies are ranked in as-cending order by their 12-month historical volatility. The top 50 constituents are selected while applying a 40-60 buffer rule and a cap of maximum of 15 stocks per group. Country caps also apply. All selected stocks are weighted according to the inverse of their 12-month historical vola-tility with a 5% cap.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0576722331 SXEL50P SXEL50P INDEX .SXEL50P
Net Return EUR CH0576209529 SXEL50R SXEL50R INDEX .SXEL50R
Gross Return EUR CH0576209511 SXEL50GR SXEL50G INDEX .SXEL50GR
Price USD CH0576722349 SXEL50L .SXEL50L
Net Return USD CH0576209503 SXEL50V .SXEL50V
Gross Return USD CH0576209495 SXEL50GV .SXEL50GV

Quick Facts

Weighting Inverse of the 12-month historical volatility
Cap Factor 0.05
No. of components 50
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 22, 2004
History Available from Mar.22, 2004
Inception date Oct. 28, 2020
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

iSTOXX Europe Longevity Select 50

Top 10 Components4

Company Supersector Country Weight
KPN Telecommunications Netherlands 0.0318108
SWISSCOM Telecommunications Switzerland 0.0257167
ACS Construction and Materials Spain 0.0254833
IBERDROLA Utilities Spain 0.0252180
ELISA CORPORATION Telecommunications Finland 0.0241002
ORANGE Telecommunications France 0.0233093
ROCHE HLDG P Health Care Switzerland 0.0224575
DEUTSCHE TELEKOM Telecommunications Germany 0.0221380
Redeia Corporacion Utilities Spain 0.0220828
TERNA Utilities Italy 0.0217952

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of December 29, 2023