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ISTOXX INDICES

iSTOXX World Min Vol

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Index Description

The iSTOXX World Min Vol ESG index (iSTOXX World MV ESG) is designed to track the performance of an optimized minimum variance portfolio that will incorporate tilts towards companies that exhibit low volatility, favorable fundamentals (specifically profitability and leverage), and superior ESG scores. The index is constructed in two steps, first by creating a minimum variance portfolio based on the STOXX World index, and second by improving the Climate and ESG profiles of this portfolio, using data from ISS ESG and LGIM, respectively. The index rules ensure tradability, diversification, positive exposure to fundamental quality (i.e., positive exposure to profitability and low leverage), and untargeted factor and industry/country/region exposures are risk managed and imposed on the index components such that the index achieves an overall ESG score that exceeds that of the EURO STOXX 50 Index excluding its worst 22% ESG scorers.

Key facts

  • Innovative sustainability-focused multifactor index
  • Explicitly designed to minimize portfolio volatility while incorporating quality, ESG and climate considerations
  • Embedded diversification elements across non-target factors, industry and country exposures

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 World Min Vol N/A 101.2 0.4 0.1 4.9 0.0 4.8 N/A 32.3
STOXX World AC 71,153.8 59,884.5 16.1 3.0 2,513.4 0.0 4.2 0.0 5.1

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 World Min Vol -1.7 1.5 7.8 13.0 27.1 N/A N/A 7.9 4.2 5.0
STOXX World AC -3.1 5.2 8.8 14.9 31.3 N/A N/A 8.7 4.7 5.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX World Min Vol N/A N/A 8.0 10.0 12.3 N/A N/A 0.5 0.3 0.4
STOXX World AC N/A N/A 12.7 14.5 17.4 N/A N/A 0.4 0.2 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX World Min Vol 0.8 0.8 0.8 0.9 0.9 7.0 7.1 7.6 7.9 8.2
Index to benchmark Beta Annualized information ratio
iSTOXX World Min Vol 0.6 0.5 0.5 0.6 0.6 2.2 -0.7 -0.2 -0.2 -0.1

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

2Based on EURIBOR1M

(USD, Price), all data as of October 31, 2023

ISTOXX INDICES

iSTOXX World Min Vol

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 World Min Vol 18.8 17.0 17.5 17.5 3.0 2.2 1.3 20.8
STOXX World AC 19.2 16.6 17.1 17.1 0.1 1.8 1.6 9.2

Performance and annual returns

Methodology

The iSTOXX World Min Vol ESG index (iSTOXX World MV ESG) is designed to track the performance of an optimized minimum variance portfolio that will incorporate tilts towards companies that exhibit low volatility, favorable fundamentals (specifically profitability and leverage), and superior ESG scores.

The index is constructed in two steps, first by creating a minimum variance portfolio based on the STOXX World index, and second by improving the Climate and ESG profiles of this portfolio, using data from ISS ESG and LGIM, respectively. The index rules ensure tradability, diversification, positive exposure to fundamental quality (i.e., positive exposure to profitability and low leverage), and untargeted factor and industry/country/region exposures are risk managed and imposed on the index components such that the index achieves an overall ESG score that exceeds that of the EURO STOXX 50 Index excluding its worst 22% ESG scorers.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price GBP CH1169655508 ISWMV .ISWMV
Net Return GBP CH1169655516 ISWMVV .ISWMVV
Gross Return GBP CH1169655524 ISWMVGV ISWMVGV INDEX .ISWMVGV
Price USD CH1169655532 ISWMVP .ISWMVP
Net Return USD CH1169655540 ISWMVU .ISWMVU
Gross Return USD CH1169655557 ISWMVGU .ISWMVGU

Quick Facts

Weighting Price weighted with a weighting factor and capping factor
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 100 as of June. 18, 2018
History Available from June. 18, 2018
Inception date July. 25, 2022
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
WALMART INC. Retail USA 4.817%
Costco Wholesale Corp. Retail USA 4.810%
NOVO NORDISK B Health Care Denmark 4.788%
Procter & Gamble Co. Personal Care, Drug and Grocery Stores USA 4.561%
Exxon Mobil Corp. Energy USA 3.202%
Johnson & Johnson Health Care USA 3.160%
Vertex Pharmaceuticals Inc. Health Care USA 3.063%
REGENERON PHARMS. Health Care USA 2.398%
McKesson Corp. Personal Care, Drug and Grocery Stores USA 2.028%
CADENCE DESIGN SYS. Technology USA 2.025%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of October 31, 2023

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.