iSTOXX® EUROPE MINIMUM VARIANCE INDEX - STOXX.com

STRATEGY INDEX
iSTOXX® EUROPE MINIMUM VARIANCE INDEX
STOXX® GLOBAL TMI
STOXX® GLOBAL 1800
REGIONS SIZES SUPERSECTORS STYLE, STRATEGIES & THEME BLUE CHIPS
SCOPE AND OBJECTIVE
The iSTOXX® Europe Minimum Variance index aims to minimize the volatility
of the underlying index, the STOXX® Europe 600 index by weighting the
underlying index components so that the portfolio variance is minimized.
Optimization results show that the minimum variance portfolio can be
created without the need to trade all 600 components.
KEY ADVANTAGES
VOLATILITY AND SHARPE RATIO SIGNIFICANTLY IMPROVED
Lowest possible volatility is suitable for risk-averse investors. At the same time
the index’ return improved compared to the benchmark.
HIGLY LIQUID AND EASY TO REPLICATE
Suitable as liquid underlying for exchange traded funds and structured
products. Easy replication possible as fewer components compared to
STOXX® Europe 600 index.
ANNUAL RETURNS
30%
20%
10%
0%
-10%
-20%
-30%
-40%
-50%
iSTOXX Europe Minimum Variance (PR)
STOXX EUROPE 600
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
RISK / LIQUIDITY
ANNUALIZED VOLATILITY, 3 Months
30%
25%
20%
15%
10%
5%
STOXX EUROPE 600
STOXX® All Europe
100
0%
100 200
LIQUIDITY (ADTV, 3 Months) IN EUR BILLION
COMPOSITION
GEOGRAPHIC ALLOCATION
A
SECTOR ALLOCATION
B
A
C
B
D
E
F
H G
H
D
G
E
F
C
FACTSHEET 1/2
A United Kingdom 47.9%
B Switzerland 24.3%
C Germany 9.8%
D Netherlands 5.1%
E Denmark 3.5%
F France 3.3%
G Belgium 2.7%
H Others 3.4%
A Health Care 25.9%
B Food & Beverage 19.6%
C Oil & Gas 10.9%
D Pers.&Househ.Goods 10.2%
E Telecommunications 9.2%
F Utilities 5.5%
G Ind.Goods&Services 4.5%
H Others 14.3%
Largest Components Index Weight M cap* [€ bn] Currency
NESTLE 8.7% 152.5 C H F
NOVA RTIS 6.3% 110.6 C H F
VODAFONE GRP 6.1% 107.9 GB P
B P 5.5% 97.8 GBP
ROYAL DUTCH SHELL A 5.3% 93.7 EUR
*Free-f loat market capit alization
INDEX PERFORMANCE*
200
180
160
140
120
100
80
60
iSTOXX Europe Minimum Variance (PR)
40
20
0
STOXX EUROPE 600
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Data as of June 12, 2012 *rebased December 28, 2001, Price EUR, back tested

FACTSHEET 2/2
STRATEGY INDEX
iSTOXX® EUROPE MINIMUM VARIANCE INDEX
INDEX METHODOLOGY
On the basis of the STOXX® Europe 600 index, the components are ranked
according to their liquidity (ADTV over 50 days). The top 300 constituents are
selected.
The remaining index constituents are then weighted using an optimization
procedure that aims to minimize portfolio variance under certain constraints.
The mathematical model minimizes the variance of the STOXX® Europe 600
index portfolio.
To avoid extreme company or sector concentrations, the constituent level is
capped at 4.5% and the sector level at 20%.
Quick Facts
Weighting scheme Free float market capitalization and liquidity
Review frequency M onthly
Components Variable
Component capping 4.5% for components, 20% for sectors
Currencies EUR
Calculation hours 9:00 - 17:45 CET
Calculation frequencies Realtime 15 sec., End-of-Day
Launch date June 24, 2011
Base value 100 as of December 28, 2001
History back to December 28, 2001
VERSIONS AND SYMBOLS
Index ISIN Symbol Bloomberg Reuters
Price EUR CH0124001618 ISEM VP ISEM VP Index .ISEM VP
Net Ret. EUR CH0124001543 ISEM VT ISEM VT Index .ISEM VT
Grs. Ret. EUR CH0128395313 ISEM VGT ISEM VGT Index .ISEM VGT
STOXX is part of Deutsche Börse and SIX
ABOUT STOXX
STOXX Ltd. is part of Deutsche Börse and SIX Group, and is an independent, leading index
specialist. STOXX is providing innovative index solutions for global markets and across all asset
classes. The indices are licensed to the world’s largest issuers of financial products, capital owners
and asset managers as well as to more than 400 companies around the world.
CUSTOMIZATION
The index can be used as basis for the definition of Customized indices, which can be tailored to
specific client or mandate needs. STOXX offers customization in almost unlimited forms for
example in terms of component selection, weighting schemes and personalized calculation
methodologies.
DISCLAIMER
STOXX® indices are protected through intellectual property rights. ‘STOXX’ and ‘EURO STOXX 50’
are registered trademarks. The use of the STOXX® indices for financial products or for other
purposes requires a license from STOXX. STOXX does not make any warranties or
representations, express or implied with respect to the timeliness, sequence, accuracy,
KEY RATIOS
Name
iSTOXX Europe
Minimum Variance (PR)
Performance YTD 2.3% -0.4%
Performance 1 Y -0.4% -9.4%
Performance 3 Y (annualized) 8.0% 4.3%
Performance 5 Y (annualized) -3.8% -9.2%
Volatility 30 D (annualized) 10.5% 18.0%
Volatility 1 Y (annualized) 13.4% 22.9%
Sharpe ratio 1 Y -0.13 -0.47
M arket capitalization (EUR) 1762 bn 4864 bn
M arket capitalization (USD) 2507 bn 6920 bn
ADTV (3 months, EUR) 120 bn 104 bn
P/E (trailing) 19.0 22.2
P/E (projected) 15.4 13.4
Dividended yield 2.3% 2.5%
Price/Book 3.1 1.6
KEY PERFORMANCE
STOXX EUROPE 600
The iSTOXX® Europe Minimum Variance index shows a significant increase of
return compared to the underlying STOXX® Europe 600 index.
completeness, currentness, merchantability, quality or fitness for any particular purpose of its
index data. STOXX® is not providing investment advice through the publication of the STOXX®
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 on the merits of that company. Financial instruments based on the STOXX® indices are in
no way sponsored, endorsed, sold or promoted by STOXX.
BACK TESTED PERFORMANCE
This document contains index performance data based on back testing, 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. Back tested performance information is purely
hypothetical and is provided in this document solely for information purposes. Back tested
performance does not represent actual performance and should not be interpreted as an
indication of actual performance.
CONTACT DETAILS
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