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ISTOXX INDICES

iSTOXX Europe Carry Factor

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Index Description

The iSTOXX Europe Factors Indices offer investors a straightforward and intuitive tool to extract factor risk premia on equities while controlling risks and keeping their focus on tradability. The selection and weighting are based on SunGard APT Risk model which uses a set of constraints to minimize risk and maximize factor exposure. These indices differ from each other by the factor or risk premia they are exploiting. The index family contains indices based on the following single factors: carry, low risk, momentum, quality, size and value. Additional multi-factor indices gather all stocks with a high overall tilt to single factors.

Key facts

  • Range of 6 different single factors indices
  • Multi-factor approach to gather highest exposure from each dimension
  • Selection and weighting based on an optimizer
  • Monthly rebalancing to allow for updates required by the changes in the market
  • Set of constraints to minimize risk and maximize factor exposure

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
iSTOXX Europe Carry Factor N/A 98.0 1.1 0.9 4.1 0.2 4.2 0.2 0.4
STOXX Europe Total Market 14,994.8 11,529.9 6.1 0.9 325.6 0.0 2.8 0.0 3.1

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 Europe Carry Factor 0.6 9.2 12.4 14.6 40.6 N/A N/A 12.6 4.7 7.1
STOXX Europe Total Market 1.1 9.5 14.1 19.7 43.9 N/A N/A 14.3 6.2 7.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Carry Factor N/A N/A 10.8 14.5 17.4 N/A N/A 0.8 0.1 0.3
STOXX Europe Total Market N/A N/A 10.4 14.5 17.7 N/A N/A 1.0 0.2 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Carry Factor 1.0 1.0 1.0 1.0 1.0 3.7 2.7 2.7 2.9 3.4
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Carry Factor 1.0 1.0 1.0 1.0 1.0 -1.5 -0.1 -0.5 -0.5 -0.2

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

2Based on EURIBOR1M

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

ISTOXX INDICES

iSTOXX Europe Carry Factor

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 Europe Carry Factor 14.6 12.2 12.6 12.6 1.7 3.4 0.9 4.0
STOXX Europe Total Market 36.3 14.0 8.8 8.8 2.0 3.7 1.2 423.7

Performance and annual returns

Methodology

Components are selected from the STOXX Europe Total Market Index following an optimization based factor exposure and a set of constraints.
Each factor, as input for the index optimization, consists of several base or sub-factors. Those sub-factors consist of different ratios calculated from base data (balance sheet, income statement, price or estimates for instance) or from other sub-factors. Those are grouped by topic or style and each group combined creates the final factor. The multi-factor derives its final factor value from the composite of all single factors of the index family.
The detailed methodology including the calculation formula can be found in our rulebook (http://www.stoxx.com/indices/rulebooks.html), while details regarding the optimization process can be found in the SunGard APT Modeling Guide (http://empower.fisglobal.com/rs/134-VDF-014/images/APT-Modelling-Guide.pdf)

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0316370185 ISECFEP .ISECFEP
Gross Return EUR CH0316370201 ISECFEGR .ISECFEGR
Net Return EUR CH0316370193 ISECFER ISECFER INDEX .ISECFER

Quick Facts

Weighting Optimizer: maximize the index factor exposure under a set of constraints
Cap Factor 10% on a component level
No. of components Variable
Review frequency Monthly
Calculation/distribution Price, Net Return and Gross Return (EUR): realtime (every 15’’)
Calculation hours Realtime: 09:00 CET – 18:00 CET
Base value/base date 100 as of Apr. 4, 2016
History Available daily back to Oct. 1, 2004
Inception date Apr. 4, 2016
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
ASML HLDG Technology Netherlands 4.162%
ROCHE HLDG P Health Care Switzerland 3.268%
HSBC Banks UK 3.017%
UNILEVER PLC Personal Care, Drug and Grocery Stores UK 2.897%
TOTALENERGIES Energy France 2.573%
UBS GROUP Financial Services Switzerland 2.433%
GSK Health Care UK 2.084%
MUENCHENER RUECK Insurance Germany 2.060%
DIAGEO Food, Beverage and Tobacco UK 2.013%
AXA Insurance France 1.941%

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

4Based on the composition as of November 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.

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.