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STRATEGY INDICES

iSTOXX MUTB Global ex Japan Minimum Variance

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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 16,453.9 141.8 119.0 405.5 2.1 2.5 0.0 60.4
STOXX Global 1800 ex Japan 11,025,407.8 10,205,247.9 7,363.1 2,495.1 541,927.3 179.9 5.3 0.0 2.6

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 Global ex Japan Minimum Variance 0.9 22.7 20.6 62.6 84.0 N/A N/A 20.6 17.5 12.9
STOXX Global 1800 ex Japan 3.4 31.3 31.4 73.4 156.2 N/A N/A 31.9 20.3 20.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Global ex Japan Minimum Variance N/A N/A 12.5 14.0 17.4 N/A N/A 1.3 0.9 0.7
STOXX Global 1800 ex Japan N/A N/A 16.2 19.1 21.9 N/A N/A 1.5 0.8 0.8
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Global ex Japan Minimum Variance 0.8 0.8 0.8 0.8 0.8 9.7 9.6 9.4 11.9 11.8
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Global ex Japan Minimum Variance 0.5 0.6 0.6 0.6 0.7 -3.2 -0.9 -1.1 -0.3 -0.7

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

2Based on EURIBOR1M

(JPY, Gross Return), all data as of November 29, 2024

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 22.8 18.6 22.3 22.3 3.3 3.2 1.4 36.6
STOXX Global 1800 ex Japan 27.3 21.9 25.0 25.0 4.0 2.4 2.6 25.7

Performance and annual returns

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 2.464%
WALMART INC. Retail USA 2.323%
Procter & Gamble Co. Personal Care, Drug and Grocery Stores USA 2.084%
Waste Management Inc. Utilities USA 2.037%
Duke Energy Corp. Utilities USA 2.019%
Southern Co. Utilities USA 2.017%
McKesson Corp. Personal Care, Drug and Grocery Stores USA 1.993%
Kimberly-Clark Corp. Personal Care, Drug and Grocery Stores USA 1.965%
Cencora Personal Care, Drug and Grocery Stores USA 1.964%
American Electric Power Co. In Utilities USA 1.940%

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.