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STRATEGY INDICES

EURO STOXX Low Risk Weighted 50

Index Description

STOXX Low Risk Weighted Indices represent the lowest volatility companies within the respective underlying index, such as the EURO STOXX 50, the STOXX Europe 600 and the EURO STOXX. 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 well-known equity indices - EURO STOXX 50, EURO STOXX, STOXX Europe 600

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
EURO STOXX Low Risk Weighted 50 N/A 101.7 2.0 2.0 3.2 1.8 3.1 1.8 73.9
EURO STOXX 7,776.9 5,615.7 19.0 7.1 356.5 1.1 6.3 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
EURO STOXX Low Risk Weighted 50 3.2 4.9 7.8 15.2 17.9 N/A N/A 8.0 4.9 3.4
EURO STOXX 4.6 10.2 17.5 31.5 63.8 N/A N/A 18.0 9.7 10.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Low Risk Weighted 50 N/A N/A 7.8 11.8 15.5 N/A N/A 0.6 0.3 0.2
EURO STOXX N/A N/A 11.0 16.8 19.6 N/A N/A 1.2 0.5 0.5
Index to benchmark Correlation Tracking error (%)
EURO STOXX Low Risk Weighted 50 0.2 0.6 0.8 0.9 0.9 7.3 7.6 7.2 8.7 8.8
Index to benchmark Beta Annualized information ratio
EURO STOXX Low Risk Weighted 50 0.1 0.4 0.5 0.6 0.7 -2.4 -2.7 -1.3 -0.6 -0.9

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

2Based on EURIBOR1M

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

STRATEGY INDICES

EURO STOXX Low Risk Weighted 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
EURO STOXX Low Risk Weighted 50 17.7 14.2 17.7 17.7 2.1 3.9 1.1 14.7
EURO STOXX 17.3 13.6 15.1 15.1 1.8 3.8 1.2 26.7

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
Price EUR CH0190732930 SXLV5E SXLV5E INDEX .SXLV5E
Net Return EUR CH0190732898 SXLV5T SXLV5T INDEX .SXLV5T
Gross Return EUR CH0190732849 SXLV5GT SXLV5GT INDEX .SXLV5GT
Gross Return USD CH0190732864 SXLV5GU SXLV5GU INDEX .SXLV5GU
Price USD CH0190732955 SXLV5K SXLV5K INDEX .SXLV5K
Net Return USD CH0190732914 SXLV5U SXLV5U INDEX .SXLV5U

Quick Facts

Weighting Inverse of 12-month historical volatility
Cap Factor 10%
No. of components Fixed, number of components indicated in the index name
Review frequency Quarterly (March, June, September, December)
Calculation/distribution Price (EUR): realtime (every 15 seconds) Price (USD), net return, gross return (EUR, USD): end-of-day
Calculation hours Realtime: 9:00 am - 6:00 pm CET End-of-day: 6:00 pm CET
Base value/base date 100 as of Jan. 31, 2011
History Available daily back to Mar. 19, 2001
Inception date Oct. 4, 2012
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.

STRATEGY INDICES

EURO STOXX Low Risk Weighted 50

Top 10 Components4

Company Supersector Country Weight
KPN Telecommunications Netherlands 3.122%
ORANGE Telecommunications France 2.575%
DANONE Food, Beverage and Tobacco France 2.510%
HENKEL PREF Consumer Products and Services Germany 2.497%
BEIERSDORF Personal Care, Drug and Grocery Stores Germany 2.295%
GRP BRUXELLES LAMBERT Financial Services Belgium 2.197%
FERROVIAL Construction and Materials Spain 2.190%
ACKERMANS & VAN HAAREN Construction and Materials Belgium 2.190%
IBERDROLA Utilities Spain 2.181%
Redeia Corporacion Utilities Spain 2.158%

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.