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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 98.1 0.7 0.4 4.9 0.0 5.0 0.0 55.7
STOXX China A 900 6,585.1 3,077.8 3.4 1.6 114.1 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 -4.2 23.5 22.8 23.7 62.0 N/A N/A 23.1 7.4 10.2
STOXX China A 900 -0.1 14.7 9.7 -17.1 17.5 N/A N/A 9.8 -6.1 3.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX China A 900 Minimum Variance Unconstrained AM N/A N/A 16.0 16.3 16.4 N/A N/A 1.8 0.5 0.6
STOXX China A 900 N/A N/A 21.1 20.2 20.7 N/A N/A 0.4 -0.4 0.1
Index to benchmark Correlation Tracking error (%)
STOXX China A 900 Minimum Variance Unconstrained AM 0.9 0.8 0.8 0.9 0.9 13.5 13.2 12.7 10.2 9.9
Index to benchmark Beta Annualized information ratio
STOXX China A 900 Minimum Variance Unconstrained AM 0.7 0.6 0.6 0.7 0.7 -3.7 0.5 0.8 1.2 0.5

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of October 31, 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 11.2 12.4 12.4 1.1 4.2 1.2 12.3
STOXX China A 900 16.8 13.8 15.1 15.1 1.4 3.0 1.0 44.8

Performance and annual returns