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FACTOR & STRATEGY INDICES

STOXX U.S. Small-Cap Equity Factor

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Index Description

The STOXX Equity Factor Index Family indices 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.

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 U.S. Small-Cap Equity Factor N/A 106.7 0.1 0.1 1.0 0.0 0.9 0.0 20.1
STOXX US Small Cap 5,782.4 5,309.4 2.9 1.8 39.3 0.0 0.7 0.0 12.1

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 U.S. Small-Cap Equity Factor 2.0 15.3 33.4 18.2 82.7 N/A N/A 34.7 5.9 13.0
STOXX US Small Cap 2.4 13.8 31.9 11.7 64.7 N/A N/A 31.7 3.7 10.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX U.S. Small-Cap Equity Factor N/A N/A 18.0 22.0 25.9 N/A N/A 1.5 0.1 0.4
STOXX US Small Cap N/A N/A 17.7 21.6 25.8 N/A N/A 1.4 0.0 0.3
Index to benchmark Correlation Tracking error (%)
STOXX U.S. Small-Cap Equity Factor 1.0 1.0 1.0 1.0 1.0 1.5 1.5 1.5 1.7 1.7
Index to benchmark Beta Annualized information ratio
STOXX U.S. Small-Cap Equity Factor 1.0 1.0 1.0 1.0 1.0 -3.0 1.0 0.5 0.9 1.0

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 U.S. Small-Cap 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. Small-Cap Equity Factor 45.8 22.7 16.7 16.7 2.4 2.0 1.2 13.7
STOXX US Small Cap 64.7 26.5 17.9 17.9 2.4 1.9 1.3 20.8

Performance and annual returns

Methodology

The STOXX Equity Factor Index Family indices 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.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0462363067 SMLFEN .SMLFEN
Price EUR CH0462363075 SMLFEP .SMLFEP
Gross Return EUR CH0462363059 SMLFEG .SMLFEG
Net Return USD CH0462363091 SMLFUN SMLFUN INDEX .SMLFUN
Price USD CH0462363109 SMLFUP SMLFUP INDEX .SMLFUP
Gross Return USD CH0462363083 SMLFUG SMLFUG INDEX .SMLFUG

Quick Facts

Weighting Optimization
Cap Factor N/A
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 March. 20, 2000
History Available from Mar. 20, 2000
Inception date December. 02, 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
APPLOVIN A Technology USA 0.946%
EMCOR GROUP Construction and Materials USA 0.895%
EVERCORE 'A' Financial Services USA 0.764%
DECKERS OUTDOOR Consumer Products and Services USA 0.701%
SPROUTS FARMERS MARKET Personal Care, Drug and Grocery Stores USA 0.585%
MICROSTRATEGY Technology USA 0.583%
MONDAYCOM Technology USA 0.562%
JABIL INC Technology USA 0.559%
ALLISON TNSM.HOLDINGS Industrial Goods and Services USA 0.546%
NVENT ELECTRIC Industrial Goods and Services USA 0.531%

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. Small-Cap 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.