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STRATEGY INDICES

STOXX Emerging Markets 800 LO Minimum Variance

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 110.6 0.6 0.4 2.5 0.0 2.2 0.0 20.0
STOXX Emerging Markets 800 LO 7,656.1 4,670.9 5.8 2.7 487.1 0.7 10.4 0.0 15.7

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 -1.2 -1.2 13.7 16.6 26.8 N/A N/A 14.0 5.3 4.9
STOXX Emerging Markets 800 LO -3.6 -3.6 7.1 -2.3 18.8 N/A N/A 7.2 -0.8 3.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Emerging Markets 800 LO Minimum Variance N/A N/A 10.0 11.4 13.1 N/A N/A 0.8 0.3 0.3
STOXX Emerging Markets 800 LO N/A N/A 12.9 15.0 17.1 N/A N/A 0.2 -0.2 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 6.1 6.1 5.7 5.8 6.0
Index to benchmark Beta Annualized information ratio
STOXX Emerging Markets 800 LO Minimum Variance 0.6 0.6 0.7 0.7 0.7 4.7 4.7 1.0 0.9 0.1

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of January 31, 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 15.7 14.2 14.5 14.5 1.6 3.7 0.8 3.2
STOXX Emerging Markets 800 LO 11.9 12.2 10.7 10.7 1.4 3.4 0.7 0.8

Performance and annual returns