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FACTOR & STRATEGY INDICES

STOXX Europe 600 Industry Neutral Ax Quality

Index Description

STOXX Industry Neutral Single and Multi-Factor Indices aim to harvest the risk premia of several academically validated style factors — Value, Momentum, Quality, Size and Low Risk within each ICB Industry. At the same time the rules ensure tradability and diversification as well as limit untargeted systematic exposures. STOXX uses Axioma's risk model and optimizer to construct the industry neutral factor indices. The STOXX industry neutral single and multi-factor indices are based on the respective STOXX country or regional benchmark indices.

Key facts

  • Invest in targeted factor exposures with managed liquidity and risk profiles across various regions
  • Use of Axiomas factor risk models and portfolio construction expertise to define the factors based on extensive validation from research and having a clear economic rationale
  • Factor family consists of 5 single factor indices (Value, Momentum, Quality, Low Risk, and Size) and one multi-factor index
  • Same index construction rules applied across the factor family
  • Strict neutrality imposed on ICB Industries to remove industry bets relative to the respective benchmarks
  • Single factor indices maximize the target factor while constraining the exposure to other factors
  • Multi-factor index employs a bottom-up approach by maximizing the exposure to an equally weighted aggregated multi-factor score
  • Ensures tradability by managing turnover and exposure to illiquid positions
  • Ensures diversification using country controls

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
STOXX Europe 600 Industry Neutral Ax Quality N/A 99.2 1.0 0.6 6.9 0.0 7.0 0.0 50.2
STOXX Europe 600 13,409.1 10,702.4 17.8 6.2 325.6 1.1 3.0 0.0 3.5

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
STOXX Europe 600 Industry Neutral Ax Quality 2.8 4.9 9.7 8.6 49.6 N/A N/A 9.9 2.8 8.5
STOXX Europe 600 1.2 10.0 14.2 21.4 45.4 N/A N/A 14.4 6.7 7.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 Industry Neutral Ax Quality N/A N/A 11.5 16.2 18.2 N/A N/A 0.5 0.0 0.4
STOXX Europe 600 N/A N/A 10.4 14.5 17.7 N/A N/A 1.0 0.3 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 Industry Neutral Ax Quality 1.0 0.9 0.9 1.0 1.0 3.7 3.9 3.8 5.1 5.4
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 Industry Neutral Ax Quality 1.0 1.0 1.0 1.1 1.0 5.4 -1.3 -1.1 -0.7 0.1

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

FACTOR & STRATEGY INDICES

STOXX Europe 600 Industry Neutral Ax Quality

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
STOXX Europe 600 Industry Neutral Ax Quality 17.7 15.3 16.1 16.1 2.5 3.0 1.3 18.4
STOXX Europe 600 17.8 14.0 15.9 15.9 2.0 3.7 1.3 -80.8

Performance and annual returns

Methodology

Bringing together the powerful indexing and analytics capabilities of Qontigo, the STOXX Industry Neutral Factor Index suite delivers more clarity to the market for factor investors by relying on the institutionally tested analytics of Axioma Factor Risk Models and advanced portfolio construction techniques. The use of Axioma�s risk models ensures strong exposure to the respective target factor (Value, Momentum, Quality, Low Risk, Size, Multi-Factor) while allowing for ease of control over unintended exposures. The inclusion of constraints targets benchmark tracking with country controls and industry neutrality constraints, and ensures tradability by limiting exposure to less liquid names and turnover while controlling for effective number of names and weights.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0462360469 SAXPNQUP .SAXPNQUP
Gross Return EUR CH0462360485 SAXPNQUU SAXPNQUU INDEX .SAXPNQUU
Net Return EUR CH0462360477 SAXPNQUR SAXPNQUR INDEX .SAXPNQUR
Gross Return USD CH0462360519 SAXPNQUS .SAXPNQUS
Net Return USD CH0462360501 SAXPNQUV .SAXPNQUV
Price USD CH0462360493 SAXPNQUL .SAXPNQUL

Quick Facts

Weighting Optimization
Cap Factor 4.5%/ 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar.,Jun.,Sep.,Dec.)
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available since 31 Dec 2002
Inception date Feb. 17, 2021
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
3I GROUP PLC. Financial Services UK 6.989%
NOVO NORDISK B Health Care Denmark 6.658%
PARTNERS GRP HLDG Financial Services Switzerland 5.809%
SAFRAN Industrial Goods and Services France 3.684%
ROCHE HLDG P Health Care Switzerland 3.295%
INVESTOR B Financial Services Sweden 3.277%
HERMES INTERNATIONAL Consumer Products and Services France 2.977%
TELEFONICA Telecommunications Spain 2.784%
AHOLD DELHAIZE Personal Care, Drug and Grocery Stores Netherlands 2.772%
ENGIE Utilities France 2.582%

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

4Based on the composition as of November 29, 2024