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STYLE INDICES

iSTOXX MUTB China A Quality AM 150

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Index Description

The iSTOXX MUTB China A Quality AM 150 Index (Accessible Market) represents a portfolio of China A-shares accessible to foreign investors through the Northbound Trading segments of the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect programs. The portfolio aims to capture the performance of quality companies with high profitability, low leverage and sustainable cash flows in China. The component selection is based on a combined ranking of four fundamentals ratios (return on equity, debt-to-capital, cash flow generation ability and business stability). Stocks need to fulfill minimum liquidity criteria before being added to the index.

Key facts

  • Pure quality play with large investability
  • Reduced portfolio turnover due to buffer rule
  • Ideal for market participants seeking exposure to the China A-shares market while only investing in quality stocks with sustainable profitability
  • Diversification through broad selection and capping of component weights to 2%

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX MUTB China A Quality AM 150 1,198.2 507.2 3.4 2.1 11.6 0.7 2.3 0.1 37.6
STOXX China A 900 7,036.4 3,276.5 3.6 1.8 121.7 0.7 3.7 0.0 6.3

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 MUTB China A Quality AM 150 -1.6 1.8 0.5 -38.1 -1.0 N/A N/A 0.5 -14.7 -0.2
STOXX China A 900 -1.9 7.5 5.8 -29.5 1.8 N/A N/A 5.9 -11.1 0.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB China A Quality AM 150 N/A N/A 22.9 21.7 22.4 N/A N/A -0.2 -0.9 -0.1
STOXX China A 900 N/A N/A 21.3 20.1 20.7 N/A N/A 0.1 -0.7 0.0
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB China A Quality AM 150 1.0 1.0 1.0 1.0 0.9 6.1 6.9 6.7 5.5 7.2
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB China A Quality AM 150 1.1 1.0 1.0 1.0 1.0 0.8 -1.2 -1.1 -0.9 -0.2

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

2Based on EURIBOR1M

(USD, Price), all data as of November 29, 2024

STYLE INDICES

iSTOXX MUTB China A Quality AM 150

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 MUTB China A Quality AM 150 17.2 16.7 17.2 17.2 3.2 2.7 2.1 13.5
STOXX China A 900 16.8 14.0 14.6 14.6 1.4 2.8 1.0 43.4

Performance and annual returns

Methodology

The component universe is derived from the STOXX® China A 900 Index. Stocks must be traded on the Northbound Trading segments of the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect programs to be eligible for inclusion. From the eligible components, the index selects the top-ranked stocks based on a composite score based on four fundamentals ratios (return on equity, debt-to-asset, cash flow generation ability and business stability). Stocks also need to fulfill minimum liquidity criteria before being added to the index. The component selection is conducted semi-annually in June and December.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return CNY CH0367203194 ISMCAQC ISMCAQC INDEX .ISMCAQC
Gross Return CNY CH0367203186 ISMCAQGC .ISMCAQGC
Price CNY CH0367203236 ISMCAQN .ISMCAQN
Price EUR CH0367203202 ISMCAQP .ISMCAQP
Gross Return EUR CH0367203228 ISMCAQG .ISMCAQG
Net Return EUR CH0367203251 ISMCAQR .ISMCAQR
Price JPY CH0367203178 ISMCAQYP .ISMCAQYP
Gross Return JPY CH0367203210 ISMCAQYG .ISMCAQYG
Net Return JPY CH0367203277 ISMCAQYN .ISMCAQYN
Gross Return USD CH0367203244 ISMCAQGV .ISMCAQGV
Price USD CH0367203160 ISMCAQL .ISMCAQL
Net Return USD CH0367203269 ISMCAQV .ISMCAQV

Quick Facts

Weighting Free-float market cap
Cap Factor 2%
No. of components 150
Review frequency Semi-annually (June, December)
Calculation/distribution Realtime for Price Version, End-of-Day for rest
Calculation hours 00:00 CET to 18:00 CET
Base value/base date 100 / Dec. 16, 2011
History STOXX data from Dec. 16, 2011 to Jul. 11, 2017
Inception date Jul. 12, 2017
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
LUZHOU LAO JIAO 'A' Food, Beverage and Tobacco China 2.285%
Yili Company 'A' Food, Beverage and Tobacco China 2.210%
Wuliangye 'A' Food, Beverage and Tobacco China 2.188%
Shanxi Fenjiu 'A' Food, Beverage and Tobacco China 2.185%
WUXI APPTEC 'A' Health Care China 2.132%
FOSHAN HAI TIAN FLFD.'A' Food, Beverage and Tobacco China 2.124%
FOXCONN INDUST. INTERNET 'A' Telecommunications China 1.991%
Fuyao Glass 'A' Industrial Goods and Services China 1.961%
CHINA PAC.IN.(GROUP) 'A' Insurance China 1.948%
Moutai 'A' Food, Beverage and Tobacco China 1.932%

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.