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FACTOR & STRATEGY INDICES
STOXX Developed Europe Equity Factor Screened
Index Description
The STOXX Equity Factor Screened Index Family is constructed by maximizing the index exposure to a multi-factor alpha signal while satisfying a set of constraints intended to closely track their parent indices. The index also has baseline exclusions and also reduces the greenhouse gas (GHG) intensity relative to its parent index
Key facts
- Designed to capture the fundamental drivers of equity performance.
- The index is constructed by maximizing the index exposure to a multi-factor alpha signal while satisfying a set of baseline exclusions and reducing greenhouse gas intensity relative to its parent index.
- Combines robust STOXX indexing capabilities with industry-leading Axioma factor risk models and portfolio optimizer.
- Reviewed quarterly in March, June, September and December to ensure consistent factor exposures over time
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 Developed Europe Equity Factor Screened | N/A | 97.8 | 0.6 | 0.5 | 5.0 | 0.0 | 5.1 | 0.0 | 20.5 |
STOXX Developed Europe | 12,493.3 | 9,853.7 | 23.5 | 9.3 | 328.1 | 0.2 | 3.3 | 0.0 | 4.1 |
Supersector weighting (top 10)
Banks | 14.0 |
---|---|
Health Care | 12.8 |
Industrial Goods and Services | 8.3 |
Energy | 7.4 |
Consumer Products and Services | 6.8 |
Insurance | 6.1 |
Personal Care, Drug and Grocery Stores | 6.0 |
Technology | 5.5 |
Food, Beverage and Tobacco | 5.2 |
Financial Services | 5.0 |
Country weighting
UK | 19.5 |
---|---|
France | 16.7 |
Switzerland | 11.9 |
Germany | 10.3 |
Netherlands | 7.6 |
Denmark | 7.0 |
Sweden | 6.8 |
Italy | 5.2 |
Spain | 4.1 |
Austria | 2.8 |
Risk and return figures1
Index returns | Return (%) | Annualized return (%) | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Last month | YTD | 1Y | 3Y | 5Y | Last month | YTD | 1Y | 3Y | 5Y | |
STOXX Developed Europe Equity Factor Screened | -3.7 | 6.0 | 16.0 | 10.9 | 43.1 | N/A | N/A | 15.9 | 3.5 | 7.4 |
STOXX Developed Europe | -3.2 | 8.7 | 20.1 | 17.9 | 48.3 | N/A | N/A | 20.0 | 5.6 | 8.2 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
STOXX Developed Europe Equity Factor Screened | N/A | N/A | 10.1 | 14.2 | 17.4 | N/A | N/A | 1.5 | 0.2 | 0.4 |
STOXX Developed Europe | N/A | N/A | 10.1 | 14.3 | 17.5 | N/A | N/A | 1.9 | 0.3 | 0.4 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
STOXX Developed Europe Equity Factor Screened | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 2.0 | 2.2 | 2.2 | 2.2 | 2.4 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
STOXX Developed Europe Equity Factor Screened | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | -3.1 | -1.4 | -1.6 | -0.9 | -0.3 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(EUR, Gross Return), all data as of October 31, 2024
FACTOR & STRATEGY INDICES
STOXX Developed Europe Equity Factor Screened
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 Developed Europe Equity Factor Screened | 12.2 | 11.5 | 11.5 | 11.5 | 1.6 | 4.3 | 0.9 | 16.8 |
STOXX Developed Europe | 16.7 | 14.7 | 15.4 | 15.4 | 2.0 | 3.8 | 1.3 | 16.0 |
Performance and annual returns
STOXX Developed Europe Equity Factor Screened | |
---|---|
953510400000 | 100 |
953596800000 | 99.47 |
953683200000 | 99.64 |
953769600000 | 99.23 |
953856000000 | 101.29 |
954115200000 | 101.45 |
954201600000 | 101.76 |
954288000000 | 101.76 |
954374400000 | 99.04 |
954460800000 | 99.89 |
954720000000 | 97.9 |
954806400000 | 98.02 |
954892800000 | 95.53 |
954979200000 | 98.53 |
955065600000 | 99.85 |
955324800000 | 99.62 |
955411200000 | 97.6 |
955497600000 | 97.43 |
955584000000 | 97.83 |
955670400000 | 94.74 |
955929600000 | 93.35 |
956016000000 | 94.95 |
956102400000 | 96.41 |
956188800000 | 97.04 |
956275200000 | 97.04 |
956534400000 | 96.98 |
956620800000 | 97.72 |
956707200000 | 98.9 |
956793600000 | 98.23 |
956880000000 | 100.03 |
957139200000 | 100.17 |
957225600000 | 101.98 |
957312000000 | 100.78 |
957398400000 | 100.41 |
957484800000 | 100.58 |
957744000000 | 99.91 |
957830400000 | 98.29 |
957916800000 | 96.47 |
958003200000 | 97.87 |
958089600000 | 99.14 |
958348800000 | 98.23 |
958435200000 | 100.63 |
958521600000 | 99.35 |
958608000000 | 99.23 |
958694400000 | 96.11 |
958953600000 | 94.75 |
959040000000 | 95.48 |
959126400000 | 94.28 |
959212800000 | 96.21 |
959299200000 | 95.02 |
959558400000 | 96.06 |
959644800000 | 97.65 |
959731200000 | 98.02 |
959817600000 | 99.54 |
959904000000 | 102.02 |
960163200000 | 101.39 |
960249600000 | 100.8 |
960336000000 | 100.08 |
960422400000 | 100.06 |
960508800000 | 100.1 |
960768000000 | 100.21 |
960854400000 | 99.9 |
960940800000 | 100.77 |
961027200000 | 100.46 |
961113600000 | 99.87 |
961372800000 | 99.48 |
961459200000 | 100.33 |
961545600000 | 99.37 |
961632000000 | 98.97 |
961718400000 | 98.75 |
961977600000 | 98.66 |
962064000000 | 98.14 |
962150400000 | 98.22 |
962236800000 | 95.9 |
962323200000 | 96.99 |
962582400000 | 98.55 |
962668800000 | 98.38 |
962755200000 | 97.83 |
962841600000 | 98.44 |
962928000000 | 100.05 |
963187200000 | 99.82 |
963273600000 | 99.83 |
963360000000 | 100.7 |
963446400000 | 101.21 |
963532800000 | 101.34 |
963792000000 | 101.94 |
963878400000 | 100.78 |
963964800000 | 100.95 |
964051200000 | 101.41 |
964137600000 | 100.01 |
964396800000 | 100.16 |
964483200000 | 99.77 |
964569600000 | 99.56 |
964656000000 | 98.17 |
964742400000 | 97.57 |
965001600000 | 98.43 |
965088000000 | 98.57 |
965174400000 | 98.62 |
965260800000 | 97.59 |
965347200000 | 98.73 |
965606400000 | 99.17 |
965692800000 | 99.41 |
965779200000 | 100.35 |
965865600000 | 100.02 |
965952000000 | 100.19 |
966211200000 | 101.01 |
966297600000 | 100.77 |
966384000000 | 101.02 |
966470400000 | 100.35 |
966556800000 | 100.38 |
966816000000 | 100.61 |
966902400000 | 100.48 |
966988800000 | 100.37 |
967075200000 | 100.07 |
967161600000 | 100.51 |
967420800000 | 100.75 |
967507200000 | 100.5 |
967593600000 | 100.38 |
967680000000 | 100.98 |
967766400000 | 102.58 |
968025600000 | 103.46 |
968112000000 | 102.8 |
968198400000 | 102.66 |
968284800000 | 102.55 |
968371200000 | 101.04 |
968630400000 | 100.68 |
968716800000 | 100.62 |
968803200000 | 99.07 |
968889600000 | 99.8 |
968976000000 | 99.02 |
969235200000 | 98.68 |
969321600000 | 98.52 |
969408000000 | 97.23 |
969494400000 | 95.98 |
969580800000 | 95.62 |
969840000000 | 96.55 |
969926400000 | 95.69 |
970012800000 | 95.88 |
970099200000 | 95.77 |
970185600000 | 96.07 |
970444800000 | 96.98 |
970531200000 | 97.65 |
970617600000 | 97.14 |
970704000000 | 97.61 |
970790400000 | 96.96 |
971049600000 | 94.95 |
971136000000 | 95 |
971222400000 | 93.2 |
971308800000 | 93.63 |
971395200000 | 94.66 |
971654400000 | 95.3 |
971740800000 | 94.15 |
971827200000 | 93.6 |
971913600000 | 95.67 |
972000000000 | 96.49 |
972259200000 | 97.35 |
972345600000 | 99.48 |
972432000000 | 98.75 |
972518400000 | 97.87 |
972604800000 | 98.66 |
972864000000 | 98.95 |
972950400000 | 99.95 |
973036800000 | 99.73 |
973123200000 | 99.53 |
973209600000 | 99.67 |
973468800000 | 99.62 |
973555200000 | 99.8 |
973641600000 | 99.58 |
973728000000 | 98.59 |
973814400000 | 97.23 |
974073600000 | 95.82 |
974160000000 | 98.22 |
974246400000 | 98.69 |
974332800000 | 98.18 |
974419200000 | 97.71 |
974678400000 | 96.15 |
974764800000 | 96.68 |
974851200000 | 94.57 |
974937600000 | 95.64 |
975024000000 | 96.93 |
975283200000 | 97.31 |
975369600000 | 95.75 |
975456000000 | 95.55 |
975542400000 | 93.65 |
975628800000 | 94.94 |
975888000000 | 93.98 |
975974400000 | 96.47 |
976060800000 | 96.17 |
976147200000 | 95.67 |
976233600000 | 96.59 |
976492800000 | 98.49 |
976579200000 | 97.78 |
976665600000 | 97.17 |
976752000000 | 95.35 |
976838400000 | 93.7 |
977097600000 | 94.33 |
977184000000 | 95.14 |
977270400000 | 92.6 |
977356800000 | 91.93 |
977443200000 | 91.86 |
977702400000 | 92.11 |
977788800000 | 92.7 |
977875200000 | 96.15 |
977961600000 | 96.75 |
978048000000 | 96.57 |
978393600000 | 95.2 |
978480000000 | 94.38 |
978566400000 | 96.4 |
978652800000 | 96.3 |
978912000000 | 95.69 |
978998400000 | 94.75 |
979084800000 | 94.22 |
979171200000 | 94.98 |
979257600000 | 95.74 |
979516800000 | 96.08 |
979603200000 | 94.65 |
979689600000 | 97.07 |
979776000000 | 97 |
979862400000 | 97 |
980121600000 | 96.94 |
980208000000 | 96.7 |
980294400000 | 97.81 |
980380800000 | 98.1 |
980467200000 | 97.94 |
980726400000 | 98.19 |
980812800000 | 98.2 |
980899200000 | 98.37 |
980985600000 | 97.46 |
981072000000 | 96.94 |
981331200000 | 96.65 |
981417600000 | 97.26 |
981504000000 | 96.2 |
981590400000 | 96.37 |
981676800000 | 95.22 |
981936000000 | 95.87 |
982022400000 | 96.11 |
982108800000 | 95.09 |
982195200000 | 96.34 |
982281600000 | 94.45 |
982540800000 | 94.02 |
982627200000 | 93.79 |
982713600000 | 93.1 |
982800000000 | 92.91 |
982886400000 | 91.44 |
983145600000 | 92.06 |
983232000000 | 92.19 |
983318400000 | 91.8 |
983404800000 | 91.14 |
983491200000 | 91.23 |
983750400000 | 92.3 |
983836800000 | 93.41 |
983923200000 | 93.75 |
984009600000 | 93.53 |
984096000000 | 92.38 |
984355200000 | 90.52 |
984441600000 | 89.58 |
984528000000 | 88.05 |
984614400000 | 89.49 |
984700800000 | 87.41 |
984960000000 | 86.86 |
985046400000 | 87.94 |
985132800000 | 86.53 |
985219200000 | 83.17 |
985305600000 | 85.16 |
985564800000 | 87.69 |
985651200000 | 89.57 |
985737600000 | 88.48 |
985824000000 | 88.68 |
985910400000 | 89.03 |
986169600000 | 88.81 |
986256000000 | 86.05 |
986342400000 | 86.39 |
986428800000 | 88.22 |
986515200000 | 87.89 |
986774400000 | 88.99 |
986860800000 | 91.12 |
986947200000 | 91.82 |
987033600000 | 91.58 |
987120000000 | 91.74 |
987379200000 | 91.8 |
987465600000 | 91.33 |
987552000000 | 93.44 |
987638400000 | 93.51 |
987724800000 | 92.75 |
987984000000 | 92.16 |
988070400000 | 92.44 |
988156800000 | 92.34 |
988243200000 | 92.68 |
988329600000 | 94.18 |
988588800000 | 95.22 |
988675200000 | 94.92 |
988761600000 | 94.57 |
988848000000 | 93.03 |
988934400000 | 93.65 |
989193600000 | 94.18 |
989280000000 | 94.11 |
989366400000 | 93.57 |
989452800000 | 97.9 |
989539200000 | 98.74 |
989798400000 | 97.39 |
989884800000 | 98.43 |
989971200000 | 98.61 |
990057600000 | 99.64 |
990144000000 | 100.51 |
990403200000 | 101.18 |
990489600000 | 102.08 |
990576000000 | 101.2 |
990662400000 | 101.11 |
990748800000 | 100.63 |
991008000000 | 100.73 |
991094400000 | 100.36 |
991180800000 | 99.25 |
991267200000 | 99.5 |
991353600000 | 99.22 |
991612800000 | 99.65 |
991699200000 | 100.51 |
991785600000 | 99.83 |
991872000000 | 99.52 |
991958400000 | 99.28 |
992217600000 | 98.48 |
992304000000 | 96.53 |
992390400000 | 97.17 |
992476800000 | 95.53 |
992563200000 | 94.72 |
992822400000 | 94.04 |
992908800000 | 94.32 |
992995200000 | 93.71 |
993081600000 | 93.9 |
993168000000 | 94.21 |
993427200000 | 94.18 |
993513600000 | 92.81 |
993600000000 | 93.22 |
993686400000 | 94.58 |
993772800000 | 95.22 |
994032000000 | 96.52 |
994118400000 | 95.37 |
994204800000 | 94.93 |
994291200000 | 94.25 |
994377600000 | 92.23 |
994636800000 | 92.14 |
994723200000 | 91.41 |
994809600000 | 90.16 |
994896000000 | 91.45 |
994982400000 | 91.92 |
995241600000 | 91.57 |
995328000000 | 90.56 |
995414400000 | 89.69 |
995500800000 | 91.17 |
995587200000 | 90.39 |
995846400000 | 90.59 |
995932800000 | 89.38 |
996019200000 | 88.14 |
996105600000 | 88.84 |
996192000000 | 90.4 |
996451200000 | 91.47 |
996537600000 | 92.33 |
996624000000 | 92.68 |
996710400000 | 92.84 |
996796800000 | 92.28 |
997056000000 | 92.15 |
997142400000 | 92.19 |
997228800000 | 91.31 |
997315200000 | 89.64 |
997401600000 | 88.92 |
997660800000 | 89.34 |
997747200000 | 90.4 |
997833600000 | 89.86 |
997920000000 | 88.93 |
998006400000 | 87.78 |
998265600000 | 87.72 |
998352000000 | 88.76 |
998438400000 | 88.77 |
998524800000 | 89.06 |
998611200000 | 90.22 |
998870400000 | 90.33 |
998956800000 | 89.55 |
999043200000 | 89.33 |
999129600000 | 87.69 |
999216000000 | 87.95 |
999475200000 | 87.17 |
999561600000 | 88.63 |
999648000000 | 90.14 |
999734400000 | 89.3 |
999820800000 | 87.23 |
1000080000000 | 86.43 |
1000166400000 | 81.32 |
1000252800000 | 82.5 |
1000339200000 | 82.96 |
1000425600000 | 79.07 |
1000684800000 | 80.47 |
1000771200000 | 79.7 |
1000857600000 | 78.07 |
1000944000000 | 75.22 |
1001030400000 | 73.11 |
1001289600000 | 76.59 |
1001376000000 | 77.55 |
1001462400000 | 78.45 |
1001548800000 | 79.26 |
1001635200000 | 81.73 |
1001894400000 | 80.1 |
1001980800000 | 80.62 |
1002067200000 | 81.25 |
1002153600000 | 83.78 |
1002240000000 | 83.47 |
1002499200000 | 83.42 |
1002585600000 | 83.26 |
1002672000000 | 85.09 |
1002758400000 | 86.67 |
1002844800000 | 85.95 |
1003104000000 | 84.68 |
1003190400000 | 85.29 |
1003276800000 | 87.14 |
1003363200000 | 85.87 |
1003449600000 | 84.55 |
1003708800000 | 85.4 |
1003795200000 | 87.44 |
1003881600000 | 87.66 |
1003968000000 | 86.27 |
1004054400000 | 88.06 |
1004313600000 | 86.44 |
1004400000000 | 84.43 |
1004486400000 | 85.67 |
1004572800000 | 86.15 |
1004659200000 | 89.45 |
1004918400000 | 92.86 |
1005004800000 | 92.91 |
1005091200000 | 93.52 |
1005177600000 | 95.24 |
1005264000000 | 94.35 |
1005523200000 | 92.62 |
1005609600000 | 95.59 |
1005696000000 | 95.75 |
1005782400000 | 96.42 |
1005868800000 | 97 |
1006128000000 | 97.94 |
1006214400000 | 96.53 |
1006300800000 | 96.33 |
1006387200000 | 97.02 |
1006473600000 | 96.54 |
1006732800000 | 96.56 |
1006819200000 | 95.58 |
1006905600000 | 94.28 |
1006992000000 | 94.21 |
1007078400000 | 94.23 |
1007337600000 | 93.98 |
1007424000000 | 95.12 |
1007510400000 | 97.65 |
1007596800000 | 97.95 |
1007683200000 | 97.13 |
1007942400000 | 95.77 |
1008028800000 | 95.76 |
1008115200000 | 94.88 |
1008201600000 | 93.45 |
1008288000000 | 92.59 |
1008547200000 | 94.58 |
1008633600000 | 94.57 |
1008720000000 | 93.82 |
1008806400000 | 93.37 |
1008892800000 | 94.95 |
1009152000000 | 95.17 |
1009238400000 | 95.67 |
1009324800000 | 95.64 |
1009411200000 | 96.88 |
1009497600000 | 97.37 |
1009756800000 | 97.21 |
1009929600000 | 95.88 |
1010016000000 | 97.85 |
1010102400000 | 98.53 |
1010361600000 | 97.89 |
1010448000000 | 97.26 |
1010534400000 | 97.24 |
1010620800000 | 96.36 |
1010707200000 | 97.12 |
1010966400000 | 95.14 |
1011052800000 | 95.94 |
1011139200000 | 94.89 |
1011225600000 | 95.98 |
1011312000000 | 95.71 |
1011571200000 | 95.27 |
1011657600000 | 95.28 |
1011744000000 | 95.91 |
1011830400000 | 97.09 |
1011916800000 | 96.83 |
1012176000000 | 97.64 |
1012262400000 | 96.44 |
1012348800000 | 95.51 |
1012435200000 | 96.86 |
1012521600000 | 97.37 |
1012780800000 | 96.33 |
1012867200000 | 94.87 |
1012953600000 | 94.07 |
1013040000000 | 94.66 |
1013126400000 | 94.7 |
1013385600000 | 95.4 |
1013472000000 | 95.45 |
1013558400000 | 96.21 |
1013644800000 | 97.27 |
1013731200000 | 96.63 |
1013990400000 | 96.06 |
1014076800000 | 94.27 |
1014163200000 | 93.9 |
1014249600000 | 94.83 |
1014336000000 | 93.92 |
1014595200000 | 95.07 |
1014681600000 | 95.82 |
1014768000000 | 97.3 |
1014854400000 | 96.93 |
1014940800000 | 97.94 |
1015200000000 | 99.74 |
1015286400000 | 99.42 |
1015372800000 | 99.65 |
1015459200000 | 100.17 |
1015545600000 | 101.01 |
1015804800000 | 100.49 |
1015891200000 | 99.77 |
1015977600000 | 99.75 |
1016064000000 | 99.76 |
1016150400000 | 100.67 |
1016409600000 | 101.27 |
1016496000000 | 101.51 |
1016582400000 | 100.88 |
1016668800000 | 100.79 |
1016755200000 | 101.31 |
1017014400000 | 100.77 |
1017100800000 | 100.92 |
1017187200000 | 101.21 |
1017273600000 | 102.28 |
1017360000000 | 102.24 |
1017619200000 | 102.26 |
1017705600000 | 101.78 |
1017792000000 | 101.53 |
1017878400000 | 100.78 |
1017964800000 | 100.84 |
1018224000000 | 99.72 |
1018310400000 | 99.97 |
1018396800000 | 100.67 |
1018483200000 | 99.24 |
1018569600000 | 99.76 |
1018828800000 | 100.25 |
1018915200000 | 101.69 |
1019001600000 | 101.76 |
1019088000000 | 101.16 |
1019174400000 | 101.39 |
1019433600000 | 100.86 |
1019520000000 | 100.62 |
1019606400000 | 100.28 |
1019692800000 | 99.22 |
1019779200000 | 99.09 |
1020038400000 | 98.95 |
1020124800000 | 99.43 |
1020211200000 | 99.16 |
1020297600000 | 99.38 |
1020384000000 | 98.9 |
1020643200000 | 98.74 |
1020729600000 | 97.94 |
1020816000000 | 99.73 |
1020902400000 | 99.32 |
1020988800000 | 98.58 |
1021248000000 | 99.41 |
1021334400000 | 100.57 |
1021420800000 | 100.92 |
1021507200000 | 100.53 |
1021593600000 | 99.91 |
1021852800000 | 99.56 |
1021939200000 | 99.54 |
1022025600000 | 98.3 |
1022112000000 | 98.64 |
1022198400000 | 98.88 |
1022457600000 | 98.89 |
1022544000000 | 97.86 |
1022630400000 | 97.61 |
1022716800000 | 96.44 |
1022803200000 | 97.04 |
1023062400000 | 96.51 |
1023148800000 | 94.94 |
1023235200000 | 94.42 |
1023321600000 | 94.1 |
1023408000000 | 92.91 |
1023667200000 | 93.05 |
1023753600000 | 93.93 |
1023840000000 | 92.1 |
1023926400000 | 91.08 |
1024012800000 | 89 |
1024272000000 | 91.44 |
1024358400000 | 91.03 |
1024444800000 | 89.72 |
1024531200000 | 87.79 |
1024617600000 | 87.49 |
1024876800000 | 85.49 |
1024963200000 | 87.22 |
1025049600000 | 85.54 |
1025136000000 | 86.47 |
1025222400000 | 89.3 |
1025481600000 | 89.54 |
1025568000000 | 87.46 |
1025654400000 | 85.32 |
1025740800000 | 86.64 |
1025827200000 | 89.69 |
1026086400000 | 89.33 |
1026172800000 | 88.26 |
1026259200000 | 86.07 |
1026345600000 | 83.17 |
1026432000000 | 82.92 |
1026691200000 | 78.97 |
1026777600000 | 78.74 |
1026864000000 | 81.13 |
1026950400000 | 82.53 |
1027036800000 | 78.83 |
1027296000000 | 75.58 |
1027382400000 | 74.31 |
1027468800000 | 73.11 |
1027555200000 | 75.9 |
1027641600000 | 76.62 |
1027900800000 | 80.8 |
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1548288000000 | 259.79 |
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1548806400000 | 260.9 |
1548892800000 | 261.87 |
1548979200000 | 263.45 |
1549238400000 | 263.7 |
1549324800000 | 267.39 |
1549411200000 | 267.46 |
1549497600000 | 263.65 |
1549584000000 | 261.98 |
1549843200000 | 264.37 |
1549929600000 | 265.66 |
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1550102400000 | 266.45 |
1550188800000 | 269.91 |
1550448000000 | 270.18 |
1550534400000 | 269.83 |
1550620800000 | 270.65 |
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1550793600000 | 270.7 |
1551052800000 | 271.56 |
1551139200000 | 272.74 |
1551225600000 | 271.91 |
1551312000000 | 271.86 |
1551398400000 | 273.45 |
1551657600000 | 273.71 |
1551744000000 | 273.99 |
1551830400000 | 273.54 |
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1552003200000 | 269.88 |
1552262400000 | 272.02 |
1552348800000 | 271.54 |
1552435200000 | 272.64 |
1552521600000 | 274.74 |
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1552867200000 | 277.71 |
1552953600000 | 279.15 |
1553040000000 | 276.11 |
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1553212800000 | 272.93 |
1553472000000 | 271.73 |
1553558400000 | 273.8 |
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1553731200000 | 272.8 |
1553817600000 | 274.6 |
1554076800000 | 278.02 |
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1554336000000 | 281.47 |
1554422400000 | 281.9 |
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1554768000000 | 279.84 |
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1554940800000 | 281.58 |
1555027200000 | 282.09 |
1555286400000 | 283.1 |
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1555459200000 | 283.25 |
1555545600000 | 283.98 |
1555632000000 | 283.98 |
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1556064000000 | 283.62 |
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1556496000000 | 284.4 |
1556582400000 | 283.69 |
1556668800000 | 283.5 |
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1556841600000 | 283.15 |
1557100800000 | 280.61 |
1557187200000 | 277.63 |
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1557705600000 | 271.51 |
1557792000000 | 274.23 |
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1557964800000 | 278.8 |
1558051200000 | 278.55 |
1558310400000 | 275.97 |
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1558569600000 | 273.53 |
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1558915200000 | 276.19 |
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1559088000000 | 272.02 |
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1559520000000 | 272.61 |
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1560124800000 | 278.71 |
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1560384000000 | 280.84 |
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1561075200000 | 283 |
1561334400000 | 282.19 |
1561420800000 | 281.79 |
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1561680000000 | 282.71 |
1561939200000 | 284.76 |
1562025600000 | 285.43 |
1562112000000 | 287.68 |
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1562544000000 | 285.59 |
1562630400000 | 284.09 |
1562716800000 | 283.39 |
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1562889600000 | 283.67 |
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1563235200000 | 285.58 |
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1563494400000 | 283.36 |
1563753600000 | 283.8 |
1563840000000 | 286.44 |
1563926400000 | 287.39 |
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1564099200000 | 286.17 |
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1565827200000 | 269.3 |
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1566432000000 | 276.68 |
1566518400000 | 275.02 |
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1566864000000 | 276.84 |
1566950400000 | 275.56 |
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1567555200000 | 282.53 |
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1568073600000 | 285.05 |
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1568592000000 | 287.78 |
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1568851200000 | 289.64 |
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1569456000000 | 288.69 |
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1570147200000 | 282.53 |
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1570579200000 | 282.58 |
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1570752000000 | 291.31 |
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1571097600000 | 293.2 |
1571184000000 | 292.25 |
1571270400000 | 292.49 |
1571356800000 | 291.29 |
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1571702400000 | 293.62 |
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1572393600000 | 296.87 |
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1574035200000 | 301.03 |
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1574380800000 | 299.27 |
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1574985600000 | 301.72 |
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1576627200000 | 306.78 |
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1578528000000 | 309.28 |
1578614400000 | 309.33 |
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1580083200000 | 308.92 |
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1582070400000 | 326.18 |
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1721174400000 | 438.44 |
1721260800000 | 438.66 |
1721347200000 | 435.36 |
1721606400000 | 439.24 |
1721692800000 | 439.53 |
1721779200000 | 436.8 |
1721865600000 | 432.61 |
1721952000000 | 435.09 |
1722211200000 | 435 |
1722297600000 | 437.23 |
1722384000000 | 439.69 |
1722470400000 | 434.7 |
1722556800000 | 421 |
1722816000000 | 411.26 |
1722902400000 | 413.43 |
1722988800000 | 418.69 |
1723075200000 | 419.3 |
1723161600000 | 422.19 |
1723420800000 | 422.16 |
1723507200000 | 424.45 |
1723593600000 | 426.82 |
1723680000000 | 432.27 |
1723766400000 | 433.5 |
1724025600000 | 436.58 |
1724112000000 | 434.59 |
1724198400000 | 435.76 |
1724284800000 | 437.96 |
1724371200000 | 440.15 |
1724630400000 | 440.29 |
1724716800000 | 440.86 |
1724803200000 | 441.97 |
1724889600000 | 444.74 |
1724976000000 | 446.06 |
1725235200000 | 446.17 |
1725321600000 | 441.42 |
1725408000000 | 436.61 |
1725494400000 | 435.07 |
1725580800000 | 429.67 |
1725840000000 | 432.46 |
1725926400000 | 428.86 |
1726012800000 | 429.75 |
1726099200000 | 433.8 |
1726185600000 | 436.84 |
1726444800000 | 436.83 |
1726531200000 | 438.11 |
1726617600000 | 435.98 |
1726704000000 | 441.1 |
1726790400000 | 434.99 |
1727049600000 | 435.45 |
1727136000000 | 438.43 |
1727222400000 | 437.56 |
1727308800000 | 442.34 |
1727395200000 | 442.76 |
1727654400000 | 438.43 |
1727740800000 | 435.83 |
1727827200000 | 435.29 |
1727913600000 | 431.48 |
1728000000000 | 434.04 |
1728259200000 | 435.55 |
1728345600000 | 433.36 |
1728432000000 | 436.34 |
1728518400000 | 436.79 |
1728604800000 | 439.28 |
1728864000000 | 440.77 |
1728950400000 | 436.93 |
1729036800000 | 436.09 |
1729123200000 | 439.51 |
1729209600000 | 440.11 |
1729468800000 | 436.85 |
1729555200000 | 435.42 |
1729641600000 | 433.82 |
1729728000000 | 433.6 |
1729814400000 | 433.02 |
1730073600000 | 434.5 |
1730160000000 | 432.57 |
1730246400000 | 427.43 |
1730332800000 | 421.99 |
STOXX Developed Europe Equity Factor Screened | STOXX Developed Europe | |
---|---|---|
2017 | 13.265648598761 | 10.62969840645 |
2018 | -9.5989661842737 | -9.8770234019747 |
2019 | 25.95285338244 | 27.180124682508 |
2020 | 0.032265742646586 | -2.2428189345997 |
2021 | 26.712880863362 | 25.991387782053 |
2022 | -11.488980010252 | -9.3295585319332 |
2023 | 15.293742942352 | 16.263454956283 |
2024 | 7.1689884884358 | 10.464390139571 |
Methodology
The STOXX Developed Europe Equity Factor Screened Index is constructed by maximizing the index exposure to a multi-factor alpha signal while satisfying a set of baseline exclusions and reducing greenhouse gas intensity relative to its parent index
Universe: the constituents of the STOXX Developed Europe Equity Factor Screened Index are selected from its parent index STOXX Developed Europe.
Weighting scheme: the final index weights are the result of an optimization process. The indices are optimized to maximize exposure to select factors subject to constraints.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Price EUR | CH1357496566 | SEFSEP | SEFSEP INDEX | .SEFSEP |
Net Return EUR | CH1357496574 | SEFSER | SEFSER INDEX | .SEFSER |
Gross Return EUR | CH1357496582 | SEFSEGR | SEFSEGR INDEX | .SEFSEGR |
Price GBP | CH1357496624 | SEFSEGB | .SEFSEGB | |
Gross Return GBP | CH1357496640 | SEFSEGHB | .SEFSEGHB | |
Net Return GBP | CH1357496632 | SEFSEHB | .SEFSEHB | |
Net Return USD | CH1357496608 | SEFSEV | SEFSEV INDEX | .SEFSEV |
Gross Return USD | CH1357496616 | SEFSEGV | SEFSEGV INDEX | .SEFSEGV |
Price USD | CH1357496590 | SEFSEL | SEFSEL INDEX | .SEFSEL |
Quick Facts
Weighting | Optimization |
Cap Factor | na |
No. of components | Variable |
Review frequency | Quarterly |
Calculation/distribution | realtime 15 sec |
Calculation hours | 00:00:00 22:15:00 |
Base value/base date | 100 as of Mar. 20, 2000 |
History | Available since 20 Mar 2000 |
Inception date | July. 04, 2024 |
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet. |
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
NOVO NORDISK B | Health Care | Denmark | 5.073% |
MUENCHENER RUECK | Insurance | Germany | 2.756% |
ASML HLDG | Technology | Netherlands | 2.715% |
AHOLD DELHAIZE | Personal Care, Drug and Grocery Stores | Netherlands | 2.191% |
CREDIT AGRICOLE | Banks | France | 2.121% |
REPSOL | Energy | Spain | 2.098% |
NESTLE | Food, Beverage and Tobacco | Switzerland | 2.012% |
LVMH MOET HENNESSY | Consumer Products and Services | France | 2.006% |
UBS GROUP | Financial Services | Switzerland | 1.905% |
AIB GROUP | Banks | Ireland | 1.738% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of October 31, 2024
FACTOR & STRATEGY INDICES
STOXX Developed Europe Equity Factor Screened
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.