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STRATEGY INDICES

EURO STOXX Minimum Variance

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Index Description

The EURO STOXX Minimum Variance index weights the components of the underlying EURO STOXX 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 (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX Minimum Variance N/A 98.2 1.1 0.5 7.9 0.0 8.1 0.0 30.0
EURO STOXX 7,369.3 5,358.4 18.0 6.7 248.2 1.3 4.6 0.0 3.3

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
EURO STOXX Minimum Variance -3.1 6.6 14.1 9.5 21.4 N/A N/A 14.2 3.1 4.0
EURO STOXX -3.2 8.6 21.1 16.4 48.3 N/A N/A 21.4 5.2 8.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Minimum Variance N/A N/A 8.2 12.4 15.3 N/A N/A 1.6 0.1 0.2
EURO STOXX N/A N/A 11.8 16.8 19.6 N/A N/A 1.7 0.2 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX Minimum Variance 0.8 0.9 0.8 0.9 0.9 6.1 6.6 6.5 7.5 7.5
Index to benchmark Beta Annualized information ratio
EURO STOXX Minimum Variance 0.6 0.6 0.6 0.7 0.7 0.0 -0.4 -1.0 -0.4 -0.7

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

EURO STOXX 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
EURO STOXX Minimum Variance 18.3 15.0 18.2 18.2 2.0 3.6 1.1 19.7
EURO STOXX 16.5 13.6 14.6 14.6 1.7 3.9 1.1 19.8

Performance and annual returns