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STRATEGY INDICES

iSTOXX MUTB Japan Minimum Variance

Index Description

The iSTOXX® MUTB Minimum Variance indices seek to minimize risk by reducing the volatility in a portfolio. The index optimizes the benchmark index with respect to volatility. During the optimization, constraints are enforced with the aim of staying close to the benchmark and ensuring tradability. The iSTOXX MUTB Minimum Variance indices are available for the following regions: Japan, Global ex Japan, and Global.

Key facts

  • Minimized volatility is suitable for risk-averse investors.
  • Suitable as a liquid underlying for ETFs and structured products
  • Turnover and liquidity constraints ensure tradability.
  • Capping constraints are applied to avoid concentration risk.

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
iSTOXX MUTB Japan Minimum Variance N/A 16,399.7 126.2 93.2 341.2 1.9 2.1 0.0 60.0
STOXX Japan 600 849,695.7 719,777.5 1,199.6 388.9 36,928.9 88.2 5.1 0.0 2.1

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
iSTOXX MUTB Japan Minimum Variance 5.2 5.2 27.7 40.0 41.8 N/A N/A 27.7 11.8 7.2
STOXX Japan 600 7.8 7.8 31.9 49.2 81.1 N/A N/A 32.5 14.4 12.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Japan Minimum Variance N/A N/A 10.3 11.9 13.2 N/A N/A 2.1 0.8 0.5
STOXX Japan 600 N/A N/A 14.0 15.8 16.6 N/A N/A 1.7 0.8 0.7
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Japan Minimum Variance 0.8 0.8 0.8 0.9 0.9 7.0 7.0 8.3 8.3 8.1
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Japan Minimum Variance 0.7 0.7 0.6 0.6 0.7 -4.2 -4.2 -0.5 -0.3 -0.7

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

2Based on EURIBOR1M

(JPY, Gross Return), all data as of January 31, 2024

STRATEGY INDICES

iSTOXX MUTB Japan 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
iSTOXX MUTB Japan Minimum Variance 20.4 18.2 18.2 18.2 1.5 3.0 0.9 20.1
STOXX Japan 600 16.2 15.7 14.9 14.9 1.5 2.8 1.0 28.3

Performance and annual returns