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STRATEGY INDICES

STOXX Japan Low Risk Weighted 300

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Index Description

The STOXX Japan Low Risk Weighted 300 Index represents the lowest volatility companies within the STOXX Japan 600. 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 a well-known equity index STOXX Japan 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
STOXX Japan Low Risk Weighted 300 N/A 98.7 0.3 0.3 0.6 0.2 0.6 0.2 57.9
STOXX Japan 600 5,526.8 4,738.8 7.9 2.5 197.5 0.6 4.2 0.0 2.0

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
STOXX Japan Low Risk Weighted 300 3.6 6.2 9.9 13.0 2.7 N/A N/A 10.1 4.2 0.5
STOXX Japan 600 3.5 12.6 16.1 16.7 30.0 N/A N/A 16.4 5.3 5.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Japan Low Risk Weighted 300 N/A N/A 16.4 15.0 16.1 N/A N/A 0.4 0.1 0.0
STOXX Japan 600 N/A N/A 23.1 19.3 19.0 N/A N/A 0.5 0.1 0.2
Index to benchmark Correlation Tracking error (%)
STOXX Japan Low Risk Weighted 300 0.8 0.9 0.9 0.9 0.9 9.5 10.8 10.5 8.7 7.6
Index to benchmark Beta Annualized information ratio
STOXX Japan Low Risk Weighted 300 0.6 0.6 0.6 0.7 0.8 0.0 -0.8 -0.7 -0.3 -0.7

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of November 29, 2024

STRATEGY INDICES

STOXX Japan Low Risk Weighted 300

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
STOXX Japan Low Risk Weighted 300 16.3 15.5 15.4 15.4 1.2 2.6 0.8 41.5
STOXX Japan 600 14.7 14.7 14.3 14.3 1.4 1.9 1.0 24.3

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 CH0339858745 SXJLV3P .SXJLV3P
Gross Return EUR CH0339858885 SXJLV3G .SXJLV3G
Net Return EUR CH0339858927 SXJLV3R .SXJLV3R
Gross Return JPY CH0339858752 SXJLV3JG .SXJLV3JG
Net Return JPY CH0339858901 SXJLV3JN SXJLV3JN INDEX .SXJLV3JN
Price JPY CH0339858950 SXJLV3JP .SXJLV3JP

Quick Facts

Weighting Inverse of 12-month historical volatility
Cap Factor 10%
No. of components 300
Calculation/distribution Realtime 15 sec. (EUR, JPY Price) / end-of-day all others
Calculation hours 00:00 - 18:00 CET
Base value/base date 100 as of Mar. 18, 2002
History Available since Mar. 18, 2002
Inception date Oct. 20, 2016
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
AEON REIT INVESTMENT Real Estate Japan 0.631%
SENKO Industrial Goods and Services Japan 0.613%
MORI HILLS REIT INV. Real Estate Japan 0.596%
HULIC REIT Real Estate Japan 0.552%
FRONTIER RLST.INV. Real Estate Japan 0.549%
NTT URBAN DEV. ASSET MGT. Real Estate Japan 0.543%
Orix JREIT Inc. Real Estate Japan 0.534%
MORI TRUST REIT Real Estate Japan 0.533%
JAPAN LOGISTICS FUND Real Estate Japan 0.506%
MITSUBISHI EST.LOGIST. REIT Real Estate Japan 0.497%

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

4Based on the composition as of November 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.

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.