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STRATEGY INDICES

STOXX Australia 150 Minimum Variance Unconstrained

Index Description

The STOXX Australia 150 Minimum Variance Unconstrained index weights the components of the underlying STOXX Australia 150 index so that portfolio variance is minimized. STOXX uses Axioma's factor model for the optimization process. The unconstrained version applies loosely stated constraints to seek an improved risk profile. It targets investors seeking a more optimal portfolio in terms of replicated volatility.

Key facts

  • Minimized volatility is suitable for risk-averse investors. At the same time, the return of the index is higher than the benchmark.
  • Suitable as a liquid underlying for ETFs and structured products. It is easy to replicate as it has fewer components than the underlying Index. It also has predictable rebalancing dates and is optimized to allow tracking (low turnover, transaction costs analysis, etc.).
  • Capping constraints are applied in accordance with the Undertakings for Collective Investment in Transferable Securities (UCITS) directive to ensure that funds can easily track the index.
  • Two versions - Constrained and Unconstrained - cater to different investor needs.
  • The Unconstrained version offers a first-of-its-kind index for a true minimum variance mandate.

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Australia 150 Minimum Variance Unconstrained N/A 102.0 1.9 1.1 8.1 0.0 8.0 0.0 60.2
STOXX Australia 150 1,289.9 1,207.8 8.1 2.9 142.5 0.7 11.8 0.1 1.7

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
STOXX Australia 150 Minimum Variance Unconstrained 3.6 -4.1 -8.0 13.7 25.8 N/A N/A -8.0 4.4 4.8
STOXX Australia 150 6.2 0.2 -5.3 23.9 46.1 N/A N/A -5.3 7.5 8.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Australia 150 Minimum Variance Unconstrained N/A N/A 13.0 14.1 18.1 N/A N/A -0.8 0.2 0.2
STOXX Australia 150 N/A N/A 15.5 16.8 21.1 N/A N/A -0.5 0.3 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Australia 150 Minimum Variance Unconstrained 0.9 0.9 0.9 0.9 0.9 6.2 5.9 5.9 7.1 7.9
Index to benchmark Beta Annualized information ratio
STOXX Australia 150 Minimum Variance Unconstrained 0.7 0.8 0.8 0.8 0.8 -4.8 -0.9 -0.6 -0.5 -0.5

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of November 30, 2023

STRATEGY INDICES

STOXX Australia 150 Minimum Variance Unconstrained

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
STOXX Australia 150 Minimum Variance Unconstrained 21.0 18.4 18.7 18.7 2.4 3.6 1.0 1.5
STOXX Australia 150 19.1 16.9 16.5 16.5 2.2 4.0 2.1 6.1

Performance and annual returns