STOXX Limited, the market-moving provider of innovative, tradable and global index concepts, today announced the launch of the STOXX Europe Low Risk Weighted 100 Index which represents a hypothetical investment portfolio that selects those 100 components with the lowest volatility from the STOXX Europe 600 Index. Components are weighted reversely by their volatility in order to achieve a minimal risk in the STOXX Europe Low Risk Weighted 100 Index: since inception (March 2001), the new index shows an annualized volatility of 13.28%, while the underlying STOXX Europe 600 Index shows a annualized volatility of 21.16% over the same timeframe.
The new index is designed to act both as a proper benchmark for actively managed funds, and as an underlying to exchange-traded funds and other investable products. Further index versions covering the Euro zone, as well as for different component numbers for both regions, are also available.
“Market participants appetite for innovative, low volatility investment strategies that are following a clear set of rules is still growing,” said Hartmut Graf, chief executive officer, STOXX Limited. “With the launch of the STOXX Europe Low Risk Weighted 100 Index, we are offering investors an innovative index, which is designed to single out the low-volatility stocks in Europe’s leading benchmark; thus providing exposure to this market, but with the least possible portfolio volatility.
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The STOXX Europe Low Risk Weighted 100 Index is derived from the STOXX Europe 600 Index, and includes only those stocks from the base index which have the lowest historical twelve month volatility. Only components which have been listed at an eligible exchange for at least twelve months are eligible for inclusion in the index, i.e. IPO companies need to trade for at least twelve months before being eligible for selection.
The STOXX Europe Low Risk Weighted 100 Index is weighted reversely by components’ volatility: the lower a components twelve month volatility is, the higher is its weight in the index. The composition of the new index is reviewed quarterly in February, May, August and November after the review of the underlying index. The maximum component weight is capped at ten percent to prevent the index from being dominated by single companies.
The STOXX Europe Low Risk Weighted 100 Index is calculated in price, net and gross return versions and available in Euro and USD. Daily historical data is available back to March, 16th 2001.
Further versions covering the Euro zone, as well as different numbers of component for the regions, are also available, all of which follow the same methodology as the STOXX Europe Low Risk Weighted 100 Index:
New Index |
Component Number |
Derived from |
STOXX Europe Low Risk Weighted 100 |
100 |
STOXX Europe 600 Index |
STOXX Europe Low Risk Weighted 200 |
200 |
STOXX Europe 600 Index |
STOXX Europe Low Risk Weighted 300 |
300 |
STOXX Europe 600 Index |
EURO STOXX Low Risk Weighted 50 |
50 |
EURO STOXX Index |
EURO STOXX Low Risk Weighted 100 |
100 |
EURO STOXX Index |
EURO STOXX Low Risk Weighted 150 |
150 |
EURO STOXX Index |
EURO STOXX 50 Low Risk Weighted 30 |
30 |
EURO STOXX 50 Index |
EURO STOXX 50 Low Risk Weighted |
50 |
EURO STOXX 50 Index |