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We look into the economic risks of employing factor-style strategies such as those in the STOXX Factor Indices, by screening them through Axioma’s Macroeconomic Projection model. The findings show that some styles have more economic exposure than others, and that macro variables can be correlated with industry, country and style factors, to different degrees.
Lukas Smart, Head of US iShares Sustainable and Factors Product Segments, and Arun Singhal, Global Head of Index Product Management at STOXX, discuss the recent update to BlackRock’s multi-factor offering and the outlook for factor investing.
This paper focuses on creating SDG portfolios that maximize exposure to one, two or all SDGs. The study shows that it is quite possible to create a portfolio that significantly improves the exposure to SDGs without taking on too much active risk. An optimizer can help manage that active risk.
Eli Levy, co-chief executive officer of More Investment House, talks to us about a new ETF tracking the STOXX Europe 600 Low Carbon Index.
If the theme of the first quarter was the COVID 19-induced shock, then the second quarter’s theme was disjointedness. For factor indices, this led to mixed results.
The global financial crisis significantly changed the industry composition of European equities, enhancing sector diversification relative to the market’s own history and to other major regions.
STOXX has launched an innovative index that allows a systematic investment in the best-performing mutual funds across various asset classes, bringing in a strictly rules-based alternative to active fund selection.
Minimum variance strategies have gained significant traction especially since the global financial crisis. They aim at reducing or minimizing variance, i.e. the square of volatility as measured by standard deviation, or, in this case, price fluctuations of portfolio prices around their mean.
A recent report by Research Affiliates1 states that while momentum is one of the most compelling risk premia factors, there is a significant performance gap between theoretical and live results, with the latter proving considerably weaker.
The countdown to Britain’s yet-unmanaged departure from the European Union is causing anxiety across the country – with the stock market appearing as one noticeable exception.
The STOXX® Europe 600 SRI index is aligned with the new ESMA guidelines on fund names. Investors, meanwhile, will have a say whether other derivatives’ underlying methodologies will change. We asked experts from Eurex and STOXX what this means for the segment.
The STOXX World AC benchmark rose 2.6% in August, recovering from a drop of 6.5% in the month’s first three sessions. Investors forecast the Federal Reserve will cut interest rates in September.