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ISTOXX INDICES

iSTOXX Global Profitability Select 30

Index Description

The iSTOXX Global Profitability Select 30 Index is comprised of 30 profitable, liquid stocks with low volatility and high dividend yields. The stocks from the STOXX Global 1800 index are ranked based on four profitability metrics and the most profitable ones per industry are eligible for selection. The four profitability metrics are the Return on Assets, the Operating Cash Flow to Total Assets ratio, the Change in Return on Assets and the Negative Accruals. The final index screens select stocks with the lowest volatility and highest dividend yields.

Key facts

  • The index is comprised of 30 profitable, liquid stocks with low volatility and high dividend yield
  • The index allows targeted investment in companies with strong profitability indicators
  • Liquidity filters ensure replicability

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
iSTOXX Global Profitability Select 30 N/A 110.8 3.7 3.6 5.1 2.9 4.6 2.6 170.5
STOXX Global 1800 71,896.9 65,624.3 36.4 12.0 3,126.9 1.2 4.8 0.0 2.9

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 Global Profitability Select 30 3.7 1.7 7.2 5.3 12.9 N/A N/A 7.4 1.7 2.5
STOXX Global 1800 3.2 9.0 25.4 28.2 79.2 N/A N/A 26.0 8.7 12.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Global Profitability Select 30 N/A N/A 11.2 13.8 18.0 N/A N/A 0.3 0.0 0.1
STOXX Global 1800 N/A N/A 10.2 14.9 17.9 N/A N/A 2.0 0.5 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX Global Profitability Select 30 0.4 0.4 0.6 0.7 0.8 8.5 10.5 9.3 11.5 11.9
Index to benchmark Beta Annualized information ratio
iSTOXX Global Profitability Select 30 0.3 0.4 0.7 0.6 0.8 0.8 -2.8 -1.8 -0.6 -0.8

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of March 29, 2024

ISTOXX INDICES

iSTOXX Global Profitability Select 30

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 Global Profitability Select 30 10.6 10.5 10.2 10.2 1.6 6.6 1.0 24.0
STOXX Global 1800 23.7 19.4 21.8 21.8 3.2 2.6 2.2 2.3

Performance and annual returns

Methodology

The parent index is the STOXX Global 1800. Liquidity filters exclude companies with less than 8 million EUR 3-month Average Daily Traded Volume (ADTV) ensuring replicability. The eligible companies are ranked based on the sum of the z-scores of four profitability metrics, in each industry, and the top 50%, in each industry, are eligible for selection. All remaining companies are ranked based on their volatility; the top 50% of companies with the lowest volatility proceed to the final step. Finally, 30 companies with the highest dividend yields are selected.


The index is weighted by the inverse of the selected stock's volatility. The index composition is reviewed quarterly.


The detailed methodology including the calculation formula can be found in our rulebooks:


www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0524975999 SXGPS3GR .SXGPS3GR
Net Return EUR CH0524976013 SXGPS3NR .SXGPS3NR
Price EUR CH0524975932 SXGPS3P SXGPS3P INDEX .SXGPS3P
Gross Return USD CH0524975973 SXGPS3GV .SXGPS3GV
Price USD CH0524975981 SXGPS3L SXGPS3L INDEX .SXGPS3L
Net Return USD CH0524976005 SXGPS3V .SXGPS3V

Quick Facts

Weighting Inverse Volatility Weighted
Cap Factor None
No. of components 30
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2012
Inception date Feb. 28, 2020
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://qontigo.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.

ISTOXX INDICES

iSTOXX Global Profitability Select 30

Top 10 Components4

Company Supersector Country Weight
TELSTRA GROUP Telecommunications Australia 4.570%
Redeia Corporacion Utilities Spain 4.431%
Philip Morris International In Food, Beverage and Tobacco USA 4.019%
Naturgy Energy Group Utilities Spain 3.978%
IMPERIAL BRANDS Food, Beverage and Tobacco UK 3.921%
ENEL Utilities Italy 3.867%
AGEAS Insurance Belgium 3.719%
ITALGAS Utilities Italy 3.688%
GAMING AND LEISURE PROPERTIES Real Estate USA 3.649%
AVIVA Insurance UK 3.570%

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

4Based on the composition as of March 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.