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STRATEGY INDICES

STOXX Australia 150 Minimum Variance Unconstrained

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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 (AUD bn) Components (AUD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Australia 150 Minimum Variance Unconstrained N/A 167.6 2.7 1.7 13.6 0.1 8.1 0.1 60.1
STOXX Australia 150 2,534.9 2,366.0 15.8 5.0 265.4 1.5 11.2 0.1 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
STOXX Australia 150 Minimum Variance Unconstrained 5.2 11.7 16.5 17.5 21.9 N/A N/A 16.8 5.6 4.1
STOXX Australia 150 3.8 15.2 23.5 33.5 52.1 N/A N/A 24.0 10.2 8.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Australia 150 Minimum Variance Unconstrained N/A N/A 10.0 10.6 14.6 N/A N/A 1.3 0.3 0.2
STOXX Australia 150 N/A N/A 11.5 13.0 17.6 N/A N/A 1.6 0.6 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Australia 150 Minimum Variance Unconstrained 0.8 0.9 0.9 0.9 0.9 5.3 5.7 5.8 6.8 7.7
Index to benchmark Beta Annualized information ratio
STOXX Australia 150 Minimum Variance Unconstrained 0.9 0.8 0.7 0.7 0.7 3.3 -0.7 -1.1 -0.7 -0.7

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

2Based on EURIBOR1M

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

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 20.0 18.5 19.3 19.3 2.3 4.7 1.0 10.7
STOXX Australia 150 21.4 18.9 18.5 18.5 2.4 4.5 1.8 1.6

Performance and annual returns

Methodology

On the basis of the underlying index, a covariance matrix is set up by determining the correlation between each component and specific factors. Using Axioma's factor model, the variance-covariance structure of the components is determined, which is then minimized with respect to applicable constraints. The constraints applied cover individual capping, effective number of assets, rebalancing and turnover. The full list of factors including the requirements to be met can be accessed in our Index rulebook: http://www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0180139377 SA1AUNGR .XA1AUNGR
Price EUR CH0180139054 SA1AUNP .SXA1AUNP
Net Return EUR CH0180139211 SA1AUNR .SXA1AUNR
Net Return USD CH0180139690 SA1AUNV .SXA1AUNV
Gross Return USD CH0180139856 SA1AUNGV .XA1AUNGV
Price USD CH0180139534 SA1AUNL .SXA1AUNL
Net Return AUD CH0212593427 SA1AUNU .SA1AUNU
Price AUD CH0212593419 SA1AUNA .SA1AUNA
Gross Return AUD CH0212593435 SA1AUNGU .SA1AUNGU

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Monthly
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
Coles Group Personal Care, Drug and Grocery Stores Australia 8.132%
TELSTRA GROUP Telecommunications Australia 7.894%
Origin Energy Ltd. Utilities Australia 7.495%
WOOLWORTHS GROUP Personal Care, Drug and Grocery Stores Australia 5.837%
Insurance Australia Group Ltd. Insurance Australia 4.683%
Bendigo & Adelaide Bank Ltd. Banks Australia 4.135%
AUSTRALIAN PIPELINE Energy Australia 4.018%
Transurban Group Industrial Goods and Services Australia 3.932%
MEDIBANK PRIVATE Insurance Australia 3.584%
SUNCORP GROUP LTD. Insurance Australia 2.951%

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.