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FACTOR & STRATEGY INDICES

STOXX Developed Europe Equity Factor Screened

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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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Developed Europe Equity Factor Screened N/A 106.2 0.7 0.5 5.4 0.0 5.1 0.0 20.5
STOXX Developed Europe 13,563.4 10,697.7 25.5 10.1 356.2 0.2 3.3 0.0 4.1

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
STOXX Developed Europe Equity Factor Screened -6.4 4.2 19.1 4.0 39.2 N/A N/A 19.0 1.3 6.8
STOXX Developed Europe -5.8 6.8 23.4 10.6 44.3 N/A N/A 23.3 3.4 7.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Developed Europe Equity Factor Screened N/A N/A 12.4 18.3 20.2 N/A N/A 1.6 0.0 0.3
STOXX Developed Europe N/A N/A 12.5 18.4 20.3 N/A N/A 1.9 0.1 0.3
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

(USD, 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 4.4 0.9 16.8
STOXX Developed Europe 16.7 14.7 15.4 15.4 2.0 4.0 1.3 16.0

Performance and annual returns

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.

Versions and symbols

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.