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STYLE INDICES

iSTOXX MUTB Global ex Japan Value 600

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Index Description

The iSTOXX MUTB Value indices select stocks from the respective STOXX universe that are identified as value companies, identified by their book-to-price, earnings-to-price and cash-flow-to-price ratios.

Key facts

  • Strategy to achieve exposure to the value-risk premium factor
  • Regional and industry value factor biases adjusted
  • Volatility and liquidity issues addressed through screening

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 Value 600 N/A 171.5 0.3 0.2 1.3 0.0 0.8 0.0 38.6
STOXX Global 1800 ex Japan 10,694,969.8 9,883,507.7 7,131.0 2,421.5 523,200.9 157.3 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 Value 600 3.4 20.4 28.9 61.6 118.0 N/A N/A 28.7 17.3 16.8
STOXX Global 1800 ex Japan 4.4 26.5 35.2 60.9 152.3 N/A N/A 35.7 17.3 20.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Global ex Japan Value 600 N/A N/A 14.5 17.8 22.1 N/A N/A 1.6 0.7 0.6
STOXX Global 1800 ex Japan N/A N/A 15.9 19.1 21.8 N/A N/A 1.8 0.7 0.8
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Global ex Japan Value 600 0.9 0.9 0.9 0.9 0.9 6.2 7.1 7.0 7.2 7.9
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Global ex Japan Value 600 0.8 0.8 0.8 0.9 1.0 -1.9 -0.9 -0.8 -0.2 -0.4

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

2Based on EURIBOR1M

(JPY, Net Return), all data as of October 31, 2024

STYLE INDICES

iSTOXX MUTB Global ex Japan Value 600

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 Value 600 13.7 12.1 13.1 13.1 1.4 3.4 0.9 18.2
STOXX Global 1800 ex Japan 25.1 21.5 23.2 23.2 3.9 1.9 2.5 23.2

Performance and annual returns