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FACTOR & STRATEGY INDICES

STOXX U.S. Equity Factor

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Index Description

The STOXX U.S. Equity Factor Index and the STOXX International Equity Factor Index are 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.

Key facts

  • Designed to capture the fundamental drivers of equity performance
  • Diversified multi-factor exposure to a combination of five target style factors: momentum, quality, value, low volatility and low size
  • 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 U.S. Equity Factor N/A 1.1 0.0 0.0 0.1 0.0 6.6 0.0 20.1
STOXX USA 900 54,182.8 52,151.3 57.9 16.4 3,434.8 2.5 6.6 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
STOXX U.S. Equity Factor -0.7 22.0 39.8 27.7 100.9 N/A N/A 41.3 8.8 15.3
STOXX USA 900 -0.8 20.3 38.1 24.1 95.6 N/A N/A 38.6 7.5 14.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX U.S. Equity Factor N/A N/A 12.9 18.4 22.1 N/A N/A 2.6 0.3 0.6
STOXX USA 900 N/A N/A 12.6 18.1 21.7 N/A N/A 2.5 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX U.S. Equity Factor 1.0 1.0 1.0 1.0 1.0 1.2 1.4 1.5 1.4 1.6
Index to benchmark Beta Annualized information ratio
STOXX U.S. Equity Factor 1.0 1.0 1.0 1.0 1.0 1.0 1.5 0.8 0.6 0.2

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

2Based on EURIBOR1M

(USD, Net Return), all data as of October 31, 2024

FACTOR & STRATEGY INDICES

STOXX U.S. Equity 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
STOXX U.S. Equity Factor 24.2 21.8 22.8 22.8 5.3 1.4 2.3 25.4
STOXX USA 900 28.3 24.0 25.8 25.8 5.1 1.4 2.9 25.5

Performance and annual returns

Methodology

The STOXX U.S. Equity Factor Index and the STOXX International Equity Factor Index are 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.

Universe: The constituents of the STOXX U.S. Equity Factor Index and the STOXX International Equity Factor Index are selected from their parent indices STOXX USA 900 and STOXX Global 1800 ex USA respectively.

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.

The detailed methodology including the calculation formula can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0462361087 SEFUEG .SEFUEG
Net Return EUR CH0462361079 SEFUEN .SEFUEN
Price EUR CH0462361061 SEFUEP .SEFUEP
Net Return USD CH0462361046 SEFUUN LRGFUN INDEX .SEFUUN
Gross Return USD CH0462361053 SEFUUG LRGFUG INDEX .SEFUUG
Price USD CH0462361038 SEFUUP LRGFUP INDEX .SEFUUP

Quick Facts

Weighting The final index weights are the result of an optimization process. The indices are optimized to maximize exposure to select factors subject to constraints.
No. of components Variable
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 15:30:00 22:15:00
Base value/base date 100 as of Dec. 31, 2002
History Available from Dec. 31, 2002
Inception date Mar. 08, 2022
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 6.620%
NVIDIA Corp. Technology USA 6.239%
Microsoft Corp. Technology USA 5.683%
Amazon.com Inc. Retail USA 2.789%
META PLATFORMS CLASS A Technology USA 2.237%
BROADCOM Technology USA 1.914%
ALPHABET CLASS C Technology USA 1.850%
JPMorgan Chase & Co. Banks USA 1.587%
Procter & Gamble Co. Personal Care, Drug and Grocery Stores USA 1.312%
VISA Inc. Cl A Industrial Goods and Services USA 1.270%

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 U.S. Equity Factor

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.