The STOXX Europe Diversification Select 50 EUR Index captures the performance of stocks with low correlation, low volatility and high dividends from the STOXX Europe 600 Index. 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 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 50 stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.
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 EUR. The STOXX Risk Control indices reflect a 10% target volatility strategy. This strategy involves a shift between a risk-free money market investment and a risky portfolio. The allocations of each STOXX Risk Control Indices are determined on the basis of the realized volatility of the underlying index.
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