EURO STOXX® Low Risk Premium
The EURO STOXX® Single Premium Indices aim to extract factor risk premia on equities while controlling risks and focusing on tradability. The index strategy was developed based on research by Finreon, a provider of innovative asset management solutions and spin-off from the University of St. Gallen. The indices are based on the EURO STOXX® Index and differ from each other by the risk premia they exploit, which consist of the following: value, size, momentum, residual momentum, reversal, low risk and quality.
Each EURO STOXX® Single Premium Index includes those constituents from the parent index which rank in the top third for that risk premium. Using an optimization process, selected constituents are weighted in such a way that each stock contributes equally to the absolute overall risk of the index, taking into account constituent, country and industry constraints. All indices are rebalanced quarterly.
The EURO STOXX® Low Risk Premium Index targets stocks with low volatility, value at risk, and correlation with the parent index.
Index Guides, Benchmark statement, and other reports are available under the Data tab.
|Dissemination period||18:00 CET-18:00 CET|
|Free Float Mcap||961.990 MEUR|
|Daily change (absolute)|
|Week to week change|
|52 week change|
|Year to date change|
|52 week low|
|52 week high|