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STRATEGY INDICES

STOXX China A 900 Minimum Variance Unconstrained AM

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Index Description

The STOXX China A 900 Minimum Variance Unconstrained AM (Accessible Market) Index represents a portfolio of the China A shares, which are accessible to foreign investors through the Northbound Trading segments of the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect programs. The index universe is the STOXX China A 900 Minimum Variance Unconstrained Index. The STOXX Minimum Variance Indices seek to minimize risk by reducing the volatility in a portfolio. STOXX offers two versions of STOXX Minimum Variance Indices: constrained and unconstrained. The unconstrained version provides a strategy which gives the investors the freedom to implement a pure minimum variance strategy with improved volatility rather than following the parent benchmark.

Key facts

  • Minimized volatility is suitable for risk-averse investors.
  • 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 fixed rebalancing dates as well as turnover and liquidity constraints.
  • Filter applied to ensure that only China A shares available to foreign investors are part of the index.
  • 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.
  • 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 China A 900 Minimum Variance Unconstrained AM N/A 98.0 0.7 0.4 4.9 0.0 5.0 0.0 55.6
STOXX China A 900 6,661.9 3,102.2 3.4 1.7 115.2 0.6 3.7 0.0 6.3

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 China A 900 Minimum Variance Unconstrained AM 2.0 25.9 24.8 24.4 64.6 N/A N/A 25.2 7.6 10.6
STOXX China A 900 0.9 15.7 12.5 -19.0 18.5 N/A N/A 12.7 -6.9 3.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX China A 900 Minimum Variance Unconstrained AM N/A N/A 16.1 16.3 16.4 N/A N/A 1.2 0.3 0.5
STOXX China A 900 N/A N/A 21.5 20.3 20.7 N/A N/A 0.4 -0.5 0.1
Index to benchmark Correlation Tracking error (%)
STOXX China A 900 Minimum Variance Unconstrained AM 0.8 0.8 0.8 0.9 0.9 12.5 13.1 13.0 10.3 10.0
Index to benchmark Beta Annualized information ratio
STOXX China A 900 Minimum Variance Unconstrained AM 0.5 0.6 0.6 0.7 0.7 0.9 0.6 0.7 1.3 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 29, 2024

STRATEGY INDICES

STOXX China A 900 Minimum Variance Unconstrained AM

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 China A 900 Minimum Variance Unconstrained AM 12.5 11.3 12.3 12.3 1.1 4.4 1.1 12.2
STOXX China A 900 16.8 14.0 14.6 14.6 1.4 3.2 1.0 43.4

Performance and annual returns

Methodology

All components of the STOXX China A 900 Minimum Variance Unconstrained Index that are eligible for Northbound trading (for both buying and selling) on either Shanghai-Hong Kong Stock Connect or Shenzhen-Hong Kong Stock Connect build up the composition list. The relative weighting of the remaining stocks remains unchanged compared to the parent index.

http://www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price CNY CH0355981645 SA9CUNAN .SA9CUNAN
Gross Return CNY CH0355981629 SA9CUNAD .SA9CUNAD
Net Return CNY CH0355981637 SA9CUNAC SA9CUNAC INDEX .SA9CUNAC
Net Return EUR CH0355981538 SA9CUNAR .SA9CUNAR
Price EUR CH0355981553 SA9CUNAP .SA9CUNAP
Gross Return EUR CH0355981512 SA9CUNAG .SA9CUNAG
Price USD CH0355981611 SA9CUNAL .SA9CUNAL
Net Return USD CH0355981595 SA9CUNAV .SA9CUNAV
Gross Return USD CH0355981579 SA9CUNAH .SA9CUNAH

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
BEIJING-SHANGHAI HSR 'A' Industrial Goods and Services China 4.977%
CHINA YANGTZE PWR. 'A' Utilities China 4.889%
Daqin Railway 'A' Industrial Goods and Services China 3.559%
AGRICULTURAL BANK OF CHINA 'A' Banks China 3.416%
INDSTRL & COML.BK.OF CHINA 'A' Banks China 3.279%
CHINA UTD.NET.COMMS.'A' Telecommunications China 3.090%
BANK OF COMMS.'A' Banks China 2.748%
BANK OF CHINA 'A' Banks China 2.707%
HENAN SHUANGHUI INV. & DEV. A Food, Beverage and Tobacco China 2.382%
Fuyao Glass 'A' Industrial Goods and Services China 2.366%

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.