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ISTOXX INDICES

iSTOXX MUTB Japan Momentum 300

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Index Description

The iSTOXX MUTB Momentum Indices aim to capture the performance of companies with the strongest historical price movements. Components are selected according to a momentum score factor which is calculated based on a stock's price movements over the past 12 months and adjusted to account for market beta, size and book-to-price biases.

Key facts

  • Offers exposure to stocks with high momentum factor
  • Built-in safeguards to avoid market beta, size and book-to-price biases
  • Turnover buffer to reduce trading costs
  • Rebalanced quarterly in order to be more reactive to the market

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 Japan Momentum 300 N/A 108.0 0.4 0.4 0.6 0.1 0.6 0.1 77.5
STOXX Japan 600 5,837.4 5,005.1 8.3 2.7 208.6 0.6 4.2 0.0 2.0

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 Japan Momentum 300 2.0 9.5 15.8 11.4 22.0 N/A N/A 15.8 3.7 4.1
STOXX Japan 600 0.7 8.0 12.8 10.9 27.0 N/A N/A 13.0 3.5 5.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Japan Momentum 300 N/A N/A 20.7 19.0 19.1 N/A N/A 0.6 0.1 0.2
STOXX Japan 600 N/A N/A 22.8 20.0 19.6 N/A N/A 0.4 0.0 0.2
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Japan Momentum 300 1.0 1.0 1.0 1.0 1.0 4.7 6.4 6.3 5.2 5.2
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Japan Momentum 300 0.9 0.9 0.9 0.9 0.9 3.3 0.2 0.4 0.2 -0.2

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

2Based on EURIBOR1M

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

ISTOXX INDICES

iSTOXX MUTB Japan Momentum 300

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 Japan Momentum 300 14.2 13.4 13.6 13.6 1.1 2.6 0.7 27.5
STOXX Japan 600 14.7 14.7 14.3 14.3 1.4 2.2 1.0 24.3

Performance and annual returns

Methodology

The iSTOXX MUTB Momentum Indices are derived from their respective benchmark index. All REITs are excluded from the universe. A momentum score is calculated for each eligible stock based on 12-month historical price movements. Scores are adjusted to account for market beta, size and book-to-price biases. The stocks with the highest momentum scores are selected for the respective index and weighted accordingly. The indices apply a turnover buffer and are reviewed quarterly.

The detailed methodology including the calculation formula can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0421048338 ISMJMN .ISMJMN
Gross Return EUR CH0421048502 ISMJMG .ISMJMG
Price EUR CH0421048361 ISMJMP .ISMJMP
Net Return JPY CH0421048379 ISMJMYN .ISMJMYN
Price JPY CH0421048494 ISMJMYP .ISMJMYP
Gross Return JPY CH0421048460 ISMJMYG ISMJMYG INDEX .ISMJMYG
Price USD CH0421048510 ISMJML .ISMJML
Gross Return USD CH0421048486 ISMJMU .ISMJMU
Net Return USD CH0421048536 ISMJMV .ISMJMV

Quick Facts

Weighting Based on a momentum score
Cap Factor N/A
No. of components 300
Review frequency quarterly
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Dec. 20, 2002
Inception date Jun. 29, 2018
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
MONEX GROUP Financial Services Japan 0.585%
RAKUTEN BANK Banks Japan 0.563%
Mitsubishi Heavy Industries Lt Industrial Goods and Services Japan 0.549%
SANWA HOLDINGS Construction and Materials Japan 0.547%
Fujikura Ltd. Industrial Goods and Services Japan 0.539%
Ryohin Keikaku Co. Ltd. Retail Japan 0.526%
MEIDENSHA Industrial Goods and Services Japan 0.517%
Sapporo Holdings Ltd. Food, Beverage and Tobacco Japan 0.517%
TAKASAGO THERMAL ENGR. Construction and Materials Japan 0.508%
MEBUKI FINANCIAL GROUP Banks Japan 0.508%

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.