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STRATEGY INDICES

STOXX China A 900 Minimum Variance Unconstrained

Index Description

The STOXX China A 900 Minimum Variance Unconstrained Index weights the components of the underlying STOXX China A 900 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 (CNY bn) Components (CNY bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX China A 900 Minimum Variance Unconstrained N/A 786.7 5.4 2.8 40.4 0.3 5.1 0.0 20.5
STOXX China A 900 48,212.2 22,301.3 24.8 12.0 983.7 4.1 4.4 0.0 7.5

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 4.5 13.3 12.0 19.6 45.3 N/A N/A 12.1 6.2 7.9
STOXX China A 900 2.8 4.2 -7.5 -18.6 5.0 N/A N/A -7.6 -6.7 1.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX China A 900 Minimum Variance Unconstrained N/A N/A 11.8 12.6 13.6 N/A N/A 0.7 0.4 0.5
STOXX China A 900 N/A N/A 14.6 16.3 18.1 N/A N/A -0.7 -0.5 0.0
Index to benchmark Correlation Tracking error (%)
STOXX China A 900 Minimum Variance Unconstrained 0.6 0.6 0.7 0.8 0.9 13.5 14.3 11.2 9.6 9.4
Index to benchmark Beta Annualized information ratio
STOXX China A 900 Minimum Variance Unconstrained 0.4 0.5 0.5 0.6 0.6 1.4 1.7 1.6 1.3 0.6

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

2Based on EURIBOR1M

(CNY, Gross Return), all data as of April 30, 2024

STRATEGY INDICES

STOXX China A 900 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 China A 900 Minimum Variance Unconstrained 12.2 10.9 12.2 12.2 1.0 4.1 1.6 N/A
STOXX China A 900 15.7 12.3 14.1 14.1 1.3 2.2 1.0 10,109.9

Performance and annual returns

Methodology

On the basis of the underlying index, a covariance matrix is set up by determining the correlations between each components 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
Price CNY CH0340519674 SA9CUNN .SA9CUNN
Gross Return CNY CH0340519658 SA9CUNGC .SA9CUNGC
Net Return CNY CH0340519666 SA9CUNC SA9CUNC INDEX .SA9CUNC
Net Return EUR CH0340519609 SA9CUNR .SA9CUNR
Price EUR CH0340519617 SA9CUNP .SA9CUNP
Gross Return EUR CH0340519591 SA9CUNGR .SA9CUNGR
Price USD CH0340519641 SA9CUNL .SA9CUNL
Net Return USD CH0340519633 SA9CUNV .SA9CUNV
Gross Return USD CH0340519625 SA9CUNGV .SA9CUNGV

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Monthly
Inception date Oct. 21, 2016
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

STRATEGY INDICES

STOXX China A 900 Minimum Variance Unconstrained

Top 10 Components4

Company Supersector Country Weight
CHINA YANGTZE PWR. 'A' Utilities China 5.133%
CHINA YANGTZE PWR. 'A' Utilities China 5.133%
BEIJING-SHANGHAI HSR 'A' Industrial Goods and Services China 4.007%
BEIJING-SHANGHAI HSR 'A' Industrial Goods and Services China