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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 Low Risk Factor N/A 98.5 1.0 1.0 2.8 0.2 2.9 0.2 0.1
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 Low Risk Factor 1.2 11.7 15.6 26.2 45.7 N/A N/A 15.9 8.1 7.9
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 Low Risk Factor N/A N/A 9.1 12.8 16.2 N/A N/A 1.3 0.4 0.4
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 Low Risk Factor 1.0 1.0 1.0 1.0 1.0 3.8 3.1 3.1 3.3 3.2
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Low Risk Factor 0.8 0.8 0.8 0.9 0.9 0.3 0.6 0.4 0.4 0.0

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 Low Risk 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 Low Risk Factor 17.5 14.0 17.2 17.2 2.2 3.4 1.5 15.3
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
Net Return EUR CH0316370227 ISERRER ISERRER INDEX .ISERRER
Gross Return EUR CH0316370235 ISERFEGR .ISERFEGR
Price EUR CH0316370219 ISERFEP .ISERFEP

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
UNILEVER PLC Personal Care, Drug and Grocery Stores UK 2.882%
ZURICH INSURANCE GROUP Insurance Switzerland 2.490%
NOVARTIS Health Care Switzerland 2.376%
LONDON STOCK EXCHANGE Financial Services UK 2.269%
AIR LIQUIDE Chemicals France 2.147%
ESSILORLUXOTTICA Health Care France 2.144%
COMPASS GRP Consumer Products and Services UK 2.053%
SHELL Energy UK 2.021%
Holcim Construction and Materials Switzerland 1.964%
INTERCONTINENTAL HOTELS GRP Travel and Leisure UK 1.926%

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

4Based on the composition as of November 29, 2024