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Index Description

The iSTOXX® MUTB Minimum Variance indices seek to minimize risk by reducing the volatility in a portfolio. The index optimizes the benchmark index with respect to volatility. During the optimization, constraints are enforced with the aim of staying close to the benchmark and ensuring tradability. The iSTOXX MUTB Minimum Variance indices are available for the following regions: Japan, Global ex Japan, and Global.

Key facts

  • Minimized volatility is suitable for risk-averse investors.
  • Suitable as a liquid underlying for ETFs and structured products
  • Turnover and liquidity constraints ensure tradability.
  • Capping constraints are applied to avoid concentration risk.

Descriptive Statistics

Index Market Cap (JPY bn) Components (JPY bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX MUTB Global ex Japan Minimum Variance N/A 16,503.9 147.4 124.9 367.6 2.7 2.2 0.0 60.4
STOXX Global 1800 ex Japan 11,111,406.5 10,243,643.2 7,385.5 2,448.9 550,917.4 149.3 5.4 0.0 2.6

Supersector weighting (top 10)

Created with Highcharts 9.3.3Chart title25.6% Utilities23.1% Food, Beverage and Tobacco15.9% Personal Care, Drug and Grocery Stores15.9% Personal Care, Drug and Grocery St…14.3% Health Care9% Telecommunications3.7% Retail2.8% Technology1.3% Consumer Products and Services1.3% Industrial Goods and Services1% Real EstateHighcharts.com

Country weighting

Created with Highcharts 9.3.3Chart title73% USA7.5% Switzerland4.9% Hong Kong3.5% Germany2.7% Singapore1.7% Spain1.5% Netherlands1.3% France0.9% UK0.8% NorwayHighcharts.com

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX MUTB Global ex Japan Minimum Variance 2.4 3.6 16.0 61.6 96.4 N/A N/A 16.0 17.3 14.4
STOXX Global 1800 ex Japan -3.1 -1.0 17.9 79.2 178.1 N/A N/A 18.2 21.7 23.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Global ex Japan Minimum Variance N/A N/A 12.1 13.9 17.3 N/A N/A 0.9 0.9 0.7
STOXX Global 1800 ex Japan N/A N/A 16.6 18.8 21.7 N/A N/A 0.8 0.9 0.9
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Global ex Japan Minimum Variance 0.5 0.3 0.8 0.8 0.8 14.1 15.4 10.9 11.9 11.9
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Global ex Japan Minimum Variance 0.4 0.2 0.6 0.6 0.7 5.0 1.7 -0.3 -0.5 -0.7

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

2Based on EURIBOR1M

(JPY, Gross Return), all data as of February 28, 2025

STRATEGY INDICES

iSTOXX MUTB Global ex Japan Minimum Variance

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 Global ex Japan Minimum Variance 24.1 18.9 22.9 18.9 3.0 3.2 1.4 0.4
STOXX Global 1800 ex Japan 26.0 20.4 24.2 24.2 3.4 2.1 2.6 5.6

Performance and annual returns

Created with Highcharts 9.3.3Chart titleiSTOXX MUTB Global ex Japan Minimum Variance20042006200820102012201420162018202020222024025050075010001250Highcharts.com
Created with Highcharts 9.3.3Chart titleiSTOXX MUTB Global ex Japan Minimum VarianceSTOXX Global 1800 ex Japan20182019202020212022202320242025-20-1001020304050Highcharts.com

Methodology

The index universe is the corresponding STOXX® benchmark index. Using Axioma's factor risk model, the total risk of the portfolio is minimized subject to a set of constraints. The constraints control turnover as well as active exposures compared to the benchmark, and ensure tradability. The full index methodology can be accessed in our index rulebook: http://www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0389352094 ISMGJMVN .ISMGJMVN
Price EUR CH0389352078 ISMGJMVP .ISMGJMVP
Gross Return EUR CH0389352128 ISMGJMVG .ISMGJMVG
Gross Return JPY CH0389352003 ISMGJMVT ISMGJMVT INDEX .ISMGJMVT
Price JPY CH0389352052 ISMGJMVY .ISMGJMVY
Net Return JPY CH0389352102 ISMGJMVR .ISMGJMVR
Gross Return USD CH0389352060 ISMGJMVU .ISMGJMVU
Net Return USD CH0389351914 ISMGJMVV .ISMGJMVV
Price USD CH0389351989 ISMGJMVL .ISMGJMVL

Quick Facts

Weighting Optimization
Cap Factor 0.02
No. of components Variable
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 00:00:00 18:00:00
Base value/base date 100 as of Dec. 20, 2002
History Available daily back to Dec. 20, 2002
Inception date Nov. 29, 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
T-Mobile US Inc Telecommunications USA 2.227%
Boston Scientific Corp. Health Care USA 2.206%
Coca-Cola Co. Food, Beverage and Tobacco USA 2.161%
Cencora Personal Care, Drug and Grocery Stores USA 2.091%
Kimberly-Clark Corp. Personal Care, Drug and Grocery Stores USA 2.071%
Duke Energy Corp. Utilities USA 2.068%
Southern Co. Utilities USA 2.067%
Waste Management Inc. Utilities USA 2.049%
WALMART INC. Retail USA 2.004%
NESTLE Food, Beverage and Tobacco Switzerland 2.004%

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

4Based on the composition as of February 28, 2025