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STYLE INDICES

iSTOXX MUTB Japan Value 300

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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 Japan Value 300 N/A 163.5 0.5 0.4 2.8 0.1 1.7 0.1 39.4
STOXX Japan 600 876,685.2 751,689.9 1,252.8 402.7 31,321.6 91.1 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 Value 300 -1.3 9.8 8.0 48.9 51.3 N/A N/A 8.0 14.1 8.6
STOXX Japan 600 -0.7 13.0 12.3 37.6 57.4 N/A N/A 12.5 11.3 9.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Japan Value 300 N/A N/A 21.4 17.5 18.7 N/A N/A 0.3 0.6 0.4
STOXX Japan 600 N/A N/A 23.5 18.8 18.9 N/A N/A 0.4 0.4 0.4
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Japan Value 300 0.9 1.0 1.0 1.0 1.0 7.1 5.9 5.7 5.2 5.4
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Japan Value 300 0.7 0.9 0.9 0.9 1.0 -1.2 -0.5 -0.6 0.5 -0.2

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

2Based on EURIBOR1M

(JPY, Price), all data as of November 29, 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 11.6 11.5 11.4 11.4 0.9 2.4 0.5 31.6
STOXX Japan 600 14.7 14.7 14.3 14.3 1.4 1.9 1.0 24.3

Performance and annual returns

Methodology

The stocks are derived from their respective benchmark index. Real-estate investment trusts (REITs) according to ICB sector 351020 are excluded from the universe. Screening and selection are performed using fundamental indicators, liquidity and volatility. The components are selected based on a normalized value factor which is adjusted to account for regional and industry-specific biases. The indices are price-weighted based on the average weight of the squared root of three magnitudes (shareholder's equity, net income and cash flows) multiplied by the value score and applying a 2% capping.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0366800131 ISMJVG .ISMJVG
Net Return EUR CH0366800313 ISMJVN .ISMJVN
Price EUR CH0366800289 ISMJVP .ISMJVP
Gross Return JPY CH0366800123 ISMJVYG ISMJVYG INDEX .ISMJVYG
Price JPY CH0366800172 ISMJVYP .ISMJVYP
Net Return JPY CH0366800164 ISMJVYN .ISMJVYN
Gross Return USD CH0366800206 ISMJVU .ISMJVU
Price USD CH0366800339 ISMJVL .ISMJVL
Net Return USD CH0366800180 ISMJVV .ISMJVV

Quick Facts

Weighting Based on a combined fundamental factor
Cap Factor 2%
No. of components 300 Japan version; 600 Global version
Review frequency Semi-annual in June and December
Calculation/distribution Realtime
Calculation hours 00:00 CET�18:00 CET Japan version; 00:00 CET�22:15 CET Global version
Base value/base date 100 on Dec. 20, 2002
History Since Dec. 20, 2002
Inception date Aug. 9, 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
Nippon Telegraph & Telephone C Telecommunications Japan 1.740%
Toyota Motor Corp. Automobiles and Parts Japan 1.687%
Honda Motor Co. Ltd. Automobiles and Parts Japan 1.407%
PANASONIC HOLDINGS Consumer Products and Services Japan 1.247%
NIPPON STEEL Basic Resources Japan 1.197%
Sumitomo Mitsui Financial Grou Banks Japan 1.152%
KDDI Corp. Telecommunications Japan 1.056%
Orix Corp. Financial Services Japan 1.033%
Nissan Motor Co. Ltd. Automobiles and Parts Japan 1.021%
SONY GROUP CORP. Consumer Products and Services Japan 0.951%

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.