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STRATEGY INDICES

STOXX USA 900 Minimum Variance

Index Description

The STOXX USA 900 Minimum Variance Unconstrained index weights the components of the underlying STOXX USA 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 (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX USA 900 Minimum Variance N/A 100.3 1.2 0.4 8.1 0.0 8.0 0.0 29.8
STOXX USA 900 46,211.8 44,353.6 49.2 14.6 2,895.3 3.6 6.5 0.0 2.8

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 USA 900 Minimum Variance 3.1 13.1 21.7 49.6 66.4 N/A N/A 22.8 14.8 10.9
STOXX USA 900 3.4 13.1 30.9 45.7 106.1 N/A N/A 31.7 13.5 15.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 900 Minimum Variance N/A N/A 10.9 13.7 17.7 N/A N/A 1.6 0.9 0.5
STOXX USA 900 N/A N/A 12.4 17.7 21.9 N/A N/A 2.1 0.6 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 900 Minimum Variance 0.9 0.8 0.8 0.8 0.9 5.6 7.8 8.1 10.2 10.4
Index to benchmark Beta Annualized information ratio
STOXX USA 900 Minimum Variance 0.6 0.6 0.7 0.6 0.7 -0.6 0.1 -1.1 0.0 -0.5

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of March 29, 2024

STRATEGY INDICES

STOXX USA 900 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 USA 900 Minimum Variance 26.8 19.5 26.0 26.0 4.5 2.5 1.6 21.9
STOXX USA 900 28.3 22.2 26.0 26.0 4.7 2.0 2.7 1.7

Performance and annual returns

Methodology

On the basis of the underlying index, a covariance matrix is set up by determining the correlation between each component 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
Net Return EUR CH0180138205 SA9UMVR .SXA9UMVR
Price EUR CH0180138049 SA9UMVP .SXA9UMVP
Gross Return EUR CH0180138361 SA9UMVGR .XA9UMVGR
Price USD CH0180138528 SA9UMVL SA9UMVL INDEX .SXA9UMVL
Gross Return USD CH0180138841 SA9UMVGV SA9UMVGV INDEX .XA9UMVGV
Net Return USD CH0180138684 SA9UMVV SA9UMVV INDEX .SXA9UMVV

Quick Facts

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

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://qontigo.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.

STRATEGY INDICES

STOXX USA 900 Minimum Variance

Top 10 Components4

Company Supersector Country Weight
WALMART INC. Retail USA 8.037%
Check Point Software Technolog Technology USA 6.341%
Merck & Co. Inc. Health Care USA 5.752%
Roper Technologies Inc. Technology USA 5.513%
Republic Services Inc. Utilities USA 5.433%
Johnson & Johnson Health Care USA 4.677%
Verizon Communications Inc. Telecommunications USA 3.941%
Costco Wholesale Corp. Retail USA 3.696%
META PLATFORMS CLASS A Technology USA 2.853%
T-Mobile US Inc Telecommunications USA 2.849%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of March 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.