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ISTOXX INDICES

iSTOXX USA Value Factor

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Index Description

The iSTOXX® USA Single & Multi-factor indices offer investors a straightforward and intuitive tool to extract factor risk premia on equities while controlling risks and keeping focus on tradability. The selection and weighting are based on the 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 premium they are exploiting. The index family contains indices based on the following single factors: carry, low risk, momentum, quality, size and value. An additional multi-factor index gathers stocks with a high overall tilt to all single factors.

Key facts

  • Range of six different single-factor indices
  • Multi-factor approach to gather highest exposure from each dimension
  • Selection and weighting based on optimizer
  • Monthly rebalancing to be more reactive to the market
  • Set of constraints to minimize risk and maximize factor exposure

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX USA Value Factor N/A 111.4 1.5 1.5 6.3 0.2 5.6 0.2 N/A
STOXX USA 900 57,775.1 55,527.8 61.7 17.6 3,608.4 3.6 6.5 0.0 2.5

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 USA Value Factor 5.8 30.9 39.9 36.5 89.3 N/A N/A 40.7 11.0 13.8
STOXX USA 900 6.6 28.6 35.0 35.9 105.8 N/A N/A 35.6 10.9 15.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX USA Value Factor N/A N/A 12.8 18.3 22.0 N/A N/A 2.4 0.4 0.5
STOXX USA 900 N/A N/A 12.6 18.2 21.7 N/A N/A 2.1 0.4 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX USA Value Factor 0.9 0.9 0.9 1.0 1.0 5.3 4.2 4.3 4.7 5.1
Index to benchmark Beta Annualized information ratio
iSTOXX USA Value Factor 0.9 0.9 1.0 1.0 1.0 -1.9 0.4 0.8 0.0 -0.3

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

2Based on EURIBOR1M

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

ISTOXX INDICES

iSTOXX USA Value 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 USA Value Factor 30.7 17.7 21.5 21.5 3.0 3.0 1.3 27.3
STOXX USA 900 31.5 25.4 28.7 28.7 5.4 1.8 3.1 19.6

Performance and annual returns

Methodology

Components are selected from the STOXX® USA 900 Index according to optimization-based factor expo-sure and a set of constraints.
Each factor, as input for the index optimization, consists of several base or sub-factors. These sub-factors consist of different ratios calculated from base data (e.g. balance sheet, income statement or price) or from other sub-factors. Sub-factors are then grouped by topic or style; each group combined creates the final factor.
The multi-factor index derives a company’s final factor score from its composite score across 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 USD CH0384293384 ISUVFUP .ISUVFUP
Gross Return USD CH0384293319 ISUVFUGR .ISUVFUGR
Net Return USD CH0384293335 ISUVFUR ISUVFUR INDEX .ISUVFUR

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
Base value/base date 100 as of Apr. 01, 2016
Inception date Nov. 22, 2017
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
Apple Inc. Technology USA 5.626%
NVIDIA Corp. Technology USA 5.483%
Microsoft Corp. Technology USA 4.763%
BROADCOM Technology USA 2.638%
WALMART INC. Retail USA 2.444%
Amazon.com Inc. Retail USA 2.429%
Verizon Communications Inc. Telecommunications USA 1.930%
Bristol-Myers Squibb Co. Health Care USA 1.756%
ABBVIE Health Care USA 1.749%
Intel Corp. Technology USA 1.719%

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.