Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

ISTOXX INDICES

iSTOXX Europe Low Risk Factor Market Neutral

Index Description

The iSTOXX Europe Single & Multi Factor Market Neutral indices aim at investing in the iSTOXX Europe Single & Multi Factor Equity indices while holding a short position in the STOXX Europe 600 Futures Roll Index. By doing so, the index extracts the alpha of the strategy while offsetting the market movements.

Key facts

  • Highly liquid futures
  • Range of 6 different single factors
  • Multi-factor approach to gather highest exposure from each dimension
  • Innovative strategy to offset market movements
  • Weekly rebalancing to be more reactive to the market
  • Integrated short position in the STOXX Europe 600 Futures Roll Index which is aimed to offset the market movements

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Europe Low Risk Factor Market Neutral N/A N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe 600 N/A N/A N/A N/A N/A N/A N/A N/A N/A

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 Market Neutral 0.2 -0.7 -1.0 3.8 -5.1 N/A N/A -1.0 1.3 -1.1
STOXX Europe 600 3.3 10.1 17.8 25.5 58.7 N/A N/A 18.1 7.9 9.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Low Risk Factor Market Neutral N/A N/A 3.0 3.6 3.8 N/A N/A -1.5 -0.1 -0.5
STOXX Europe 600 N/A N/A 9.9 14.5 17.6 N/A N/A 1.2 0.4 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Low Risk Factor Market Neutral N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Low Risk Factor Market Neutral N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

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

2Based on EURIBOR1M

(EUR, Total Return - NR), all data as of May 31, 2024

ISTOXX INDICES

iSTOXX Europe Low Risk Factor Market Neutral

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 Market Neutral N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe 600 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

These indices are related to the iSTOXX Europe Single & Multi Factor indices and a rolling future strategy. The iSTOXX Europe Single Factor Market Neutral indices replicate a long position in one iSTOXX Europe Single Factor Index and a short position in the STOXX Europe 600 Futures Roll Index.

Additionally, the iSTOXX Europe Multi-Factor Market Neutral Index replicates a long position in the iSTOXX Europe Multi-Factor Index and a short position in the STOXX Europe 600 Futures Roll Index.

The weight of the short investment in the STOXX Europe 600 Futures Roll Index is defined by the beta of the constituents of the factor index to the STOXX Europe 600 (180 weekly returns). The beta is calculated within APT risk model (for information regarding the SunGard APT Modeling Guide please refer to: http://empower.fisglobal.com/rs/134-VDF-014/images/APT-Modelling-Guide.pdf). Those indices are reviewed once a week.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Excess Return - NR EUR CH0351388092 ISERMEEN ISERMEEN INDEX .ISERMEEN
Total Return - NR EUR CH0351388068 ISERMETN nan .ISERMETN

Quick Facts

Weighting Beta: calculated within APT risk model between the constituents of the factor index and STOXX Europe 600
No. of components 2
Review frequency Weekly
Calculation/distribution Total Return – NR, Excess Return - NR (EUR): real-time (every 15’’)
Calculation hours Real-time: 09:00 CET – 18:00 CET
Base value/base date 100 as of Apr. 1, 2016
History Available daily back to Jul. 23, 2010
Inception date Jan. 19, 2017
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.