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STRATEGY INDICES

STOXX Global 1800 Minimum Variance

Index Description

The STOXX Global 1800 Minimum Variance index weights the components of the underlying STOXX Global 1800 index so that portfolio variance is minimized. STOXX uses Axioma's factor model for the optimization process. The constrained version creates a portfolio similar to the underlying benchmark index, but with a more attractive risk profile. This is achieved by applying a range of factors, country and industry exposure constraints to ensure that components have no high allocation bias.

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.
  • Constraints on diversification and security, country, industry and factor exposure are applied.

Descriptive Statistics

Index Market Cap (JPY bn) Components (JPY bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Global 1800 Minimum Variance N/A 16,045.6 143.3 85.7 1,211.6 5.0 7.6 0.0 30.4
STOXX Global 1800 10,868,235.7 9,918,447.7 5,510.2 1,804.3 455,351.9 143.6 4.6 0.0 2.9

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 Global 1800 Minimum Variance 0.5 14.4 23.7 68.3 110.7 N/A N/A 24.0 19.2 16.3
STOXX Global 1800 0.1 17.1 37.0 70.0 135.3 N/A N/A 37.5 19.6 18.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global 1800 Minimum Variance N/A N/A 11.0 13.4 16.2 N/A N/A 1.8 1.2 0.9
STOXX Global 1800 N/A N/A 12.6 17.1 20.2 N/A N/A 2.4 0.9 0.8
Index to benchmark Correlation Tracking error (%)
STOXX Global 1800 Minimum Variance 0.9 0.9 0.9 0.9 0.9 6.7 5.5 6.0 7.8 7.8
Index to benchmark Beta Annualized information ratio
STOXX Global 1800 Minimum Variance 0.6 0.7 0.8 0.7 0.7 0.7 -1.3 -1.8 -0.2 -0.4

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

2Based on EURIBOR1M

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

STRATEGY INDICES

STOXX Global 1800 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 Global 1800 Minimum Variance 22.9 18.5 22.3 22.3 2.6 3.2 1.6 32.6
STOXX Global 1800 23.0 18.6 21.1 21.1 3.1 2.8 2.1 6.5

Performance and annual returns