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STRATEGY INDICES

STOXX Emerging Markets 800 LO Minimum Variance

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Index Description

The STOXX Minimum Variance Indices seek to represent the performance characteristics of a minimum variance strategy applied to a variety of STOXX regional and country benchmark indices. The index composition is determined by minimizing the total portfolio risk subject to a set of constraints. For most Minimum Variance Indices, STOXX offers two versions: a constrained version that limits deviations from the benchmark by imposing constraints on style and industry exposures, and an unconstrained version that allows larger deviations from the benchmark for a more optimal portfolio. The STOXX Minimum Variance Indices are designed in cooperation with Axioma, a leading provider of risk management solutions. The indices are available for different regions and countries worldwide.

Key facts

  • Provides lower volatility compared to its benchmark.
  • Turnover, liquidity and component constraints ensure tradability.
  • Capping constraints avoid concentration risk and ensure UCITS compliance.
  • Unconstrained version has more freedom to reduce risk in resulting portfolio.
  • Suitable for core allocation in a portfolio.

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Emerging Markets 800 LO Minimum Variance N/A 106.2 0.5 0.3 2.2 0.0 2.1 0.0 20.4
STOXX Emerging Markets 800 LO 8,211.9 4,989.4 6.2 2.9 536.8 0.7 10.8 0.0 20.1

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 Emerging Markets 800 LO Minimum Variance -1.7 8.5 14.1 15.8 38.3 N/A N/A 14.3 5.1 6.8
STOXX Emerging Markets 800 LO -3.7 5.7 11.8 4.0 28.3 N/A N/A 12.0 1.3 5.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Emerging Markets 800 LO Minimum Variance N/A N/A 10.0 11.4 13.3 N/A N/A 1.0 0.2 0.4
STOXX Emerging Markets 800 LO N/A N/A 14.3 15.4 17.5 N/A N/A 0.5 -0.1 0.2
Index to benchmark Correlation Tracking error (%)
STOXX Emerging Markets 800 LO Minimum Variance 0.9 0.9 0.9 0.9 1.0 6.4 6.9 6.8 6.3 6.4
Index to benchmark Beta Annualized information ratio
STOXX Emerging Markets 800 LO Minimum Variance 0.5 0.6 0.6 0.7 0.7 3.8 0.3 0.2 0.5 0.1

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

2Based on EURIBOR1M

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

STRATEGY INDICES

STOXX Emerging Markets 800 LO Minimum Variance

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 Emerging Markets 800 LO Minimum Variance 14.1 13.6 13.7 13.7 1.6 3.7 0.9 7.1
STOXX Emerging Markets 800 LO 13.1 11.7 11.9 11.9 1.5 3.1 0.8 24.5

Performance and annual returns

Methodology

The index universe is the corresponding STOXX benchmark index. Using Axioma's factor risk model, the total risk of the portfolio is minimized subject to a set of constraints. The constraints control turnover, limit active exposures compared to the benchmark, and ensure tradability. The full index methodology can be accessed in our index rulebook:

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

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return AUD CH0358649793 SAEMMVGU .SAEMMVGU
Net Return AUD CH0358649777 SAEMMVU .SAEMMVU
Price AUD CH0358649835 SAEMMVA .SAEMMVA
Price EUR CH0358649645 SAEMMVP .SAEMMVP
Gross Return EUR CH0358649629 SAEMMVGR .SAEMMVGR
Net Return EUR CH0358649678 SAEMMVR .SAEMMVR
Price JPY CH0358649827 SAEMMVK .SAEMMVK
Gross Return JPY CH0358649751 SAEMMVGF .SAEMMVGF
Net Return JPY CH0358649744 SAEMMVF .SAEMMVF
Net Return USD CH0358649710 SAEMMVV .SAEMMVV
Price USD CH0358649819 SAEMMVL .SAEMMVL
Gross Return USD CH0358649637 SAEMMVGV .SAEMMVGV

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:00:00 22:00:00
Base value/base date 100 as of May. 04, 2012
History Available daily back to Mar. 18, 2005
Inception date May 16, 2018
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
SK TELECOM Telecommunications South Korea 2.093%
FPT Corp Technology Vietnam 2.075%
SUN PHARMA INDUSTRIES Health Care India 1.992%
TSMC Technology Taiwan 1.973%
Tata Consultancy Services Ltd Technology India 1.959%
Chunghwa Telecom Co Ltd Telecommunications Taiwan 1.848%
Bank Central Asia Tbk PT Banks Indonesia 1.813%
INNER MONGOLIA YITAI COAL 'B' Energy China 1.781%
GAIL India Ltd Energy India 1.711%
Trent Retail India 1.696%

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.