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STYLE INDICES

iSTOXX MUTB Japan Value 300

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 Japan Value 300 N/A 167.5 0.6 0.4 3.0 0.1 1.8 0.1 39.4
STOXX Japan 600 890,881.1 763,714.4 1,272.9 397.8 33,875.1 92.9 4.4 0.0 2.1

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 Value 300 -3.3 13.9 15.4 58.3 100.5 N/A N/A 15.4 16.5 14.9
STOXX Japan 600 -2.7 15.7 18.1 46.1 98.1 N/A N/A 18.4 13.6 14.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Japan Value 300 N/A N/A 21.6 17.4 18.5 N/A N/A 0.6 0.8 0.7
STOXX Japan 600 N/A N/A 22.9 18.5 18.5 N/A N/A 0.6 0.6 0.7
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Japan Value 300 1.0 1.0 1.0 1.0 1.0 8.4 5.7 5.3 5.0 5.2
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Japan Value 300 0.9 0.9 0.9 0.9 1.0 -1.3 -0.3 -0.3 0.5 0.0

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

2Based on EURIBOR1M

(JPY, Gross Return), all data as of August 30, 2024

STYLE INDICES

iSTOXX MUTB Japan Value 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 Value 300 10.8 11.4 10.7 10.7 0.9 2.7 0.6 29.5
STOXX Japan 600 15.6 14.7 15.1 15.1 1.4 2.2 1.0 28.5

Performance and annual returns