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ISTOXX INDICES

iSTOXX Developed World Min Vol

Index Description

The iSTOXX Developed World Min Vol index (iSTOXX Developed World MV) is designed to track the performance of an optimised minimum variance portfolio that will incorporate tilts towards companies that exhibit low volatility and favourable fundamentals (specifically profitability and leverage). The index is constructed by creating a minimum variance portfolio based on the STOXX Developed World index and requiring that the ISS climate score of the portfolio is no worse than the parent index. The index rules ensure tradability, diversification, positive exposure to fundamental quality (i.e., positive exposure to profitability and low leverage), and untargeted factor and industry/country/region exposures are risk managed.

Key facts

  • Innovative index that tilts towards companies that exhibit low volatility and favourable fundamentals of profitability and leverage
  • Explicitly designed to minimize portfolio volatility while incorporating quality consideration
  • Embedded diversification elements across non-target factors, industry and country exposures

Descriptive Statistics

Index Market Cap (GBP bn) Components (GBP bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Developed World Min Vol N/A 83.8 0.5 0.2 3.8 0.0 4.5 0.0 30.2
STOXX Developed World 58,232.1 52,978.3 33.1 11.4 2,641.1 0.2 5.0 0.0 2.5

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
iSTOXX Developed World Min Vol -2.2 10.7 14.3 29.8 47.4 N/A N/A 14.5 9.2 8.2
STOXX Developed World -0.2 13.3 21.0 31.0 72.0 N/A N/A 21.0 9.4 11.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Developed World Min Vol N/A N/A 8.8 11.1 13.2 N/A N/A 1.1 0.6 0.5
STOXX Developed World N/A N/A 10.8 14.3 17.2 N/A N/A 1.3 0.4 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX Developed World Min Vol 0.7 0.8 0.8 0.8 0.9 8.2 6.8 6.6 7.8 8.3
Index to benchmark Beta Annualized information ratio
iSTOXX Developed World Min Vol 0.5 0.6 0.6 0.7 0.7 -3.2 -0.5 -0.8 -0.1 -0.5

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

2Based on EURIBOR1M

(GBP, Gross Return), all data as of September 30, 2024

ISTOXX INDICES

iSTOXX Developed World Min Vol

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
iSTOXX Developed World Min Vol 23.0 21.1 22.8 22.8 4.4 2.2 1.4 23.2
STOXX Developed World 24.0 20.8 22.3 22.3 3.6 2.3 2.3 18.2

Performance and annual returns

Methodology

The iSTOXX Developed World Min Vol index (iSTOXX Developed World MV) is designed to track the performance of an optimised, minimum variance portfolio that will incorporate tilts towards companies that exhibit low volatility and favourable fundamentals (specifically profitability and leverage). The index is constructed by creating a minimum variance portfolio based on the STOXX Developed World index and requiring that the ISS climate score of the portfolio is no worse than the parent index. The index rules ensure tradability, diversification, positive exposure to fundamental quality (i.e., positive exposure to profitability and low leverage), and untargeted factor and industry/country/region exposures are risk managed.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return GBP CH1213357812 ISDMVGV ISDMVGV INDEX .ISDMVGV
Net Return GBP CH1213357820 ISDMVV .ISDMVV
Price GBP CH1213357804 ISDMV .ISDMV
Price USD CH1213357838 ISDMVP .ISDMVP
Net Return USD CH1213357853 ISDMVU .ISDMVU
Gross Return USD CH1213357846 ISDMVGU .ISDMVGU

Quick Facts

Weighting Price weighted(minimum variance optimization model)
Cap Factor NA
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of June. 18, 2018
History Available from Jun. 18, 2018
Inception date October. 13, 2023
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

iSTOXX Developed World Min Vol

Top 10 Components4

Company Supersector Country Weight
WALMART INC. Retail USA 4.515%
Costco Wholesale Corp. Retail USA 4.340%
Procter & Gamble Co. Personal Care, Drug and Grocery Stores USA 4.082%
NOVO NORDISK B Health Care Denmark 3.952%
REGENERON PHARMS. Health Care USA 3.020%
Exxon Mobil Corp. Energy USA 2.972%
Johnson & Johnson Health Care USA 2.934%
Vertex Pharmaceuticals Inc. Health Care USA 2.908%
PALO ALTO NETWORKS Technology USA 2.862%
Progressive Corp. Insurance USA 2.862%

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

4Based on the composition as of September 30, 2024