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ISTOXX INDICES

iSTOXX Ang Research Enhanced U.S. Large Cap Value

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Index Description

The iSTOXX Ang Research Enhanced Index Family is designed to deliver enhanced exposure to well-established equity style factors while closely tracking the risk characteristics of its parent benchmark. Constituents are drawn from the STOXX US Universal Value Index and weighted using an optimization framework that seeks to maximize exposure to predefined factor scores—Momentum, Quality, Enhanced Value, and Cyclical Value—subject to constraints on tracking error, sector and industry exposure, liquidity, diversification, and turnover. Single factor indices focus on their respective factor, while the multi factor index applies a dynamic approach in which factor weights are adjusted over time based on model driven signals that assess market conditions, relative factor performance, and factor exposure trends to determine the combined factor allocation.

Key facts

  • U.S. large‑cap equities selected from the STOXX US Universal Value Index, aiming to enhance returns through dynamic multi‑factor exposure while closely tracking the parent index.
  • Systematic exposure to Momentum, Quality, Enhanced Value, and Cyclical Value, with factor weights dynamically adjusted using model‑driven signals reflecting market conditions and relative factor strength.
  • Portfolio constructed via optimization with strict constraints on tracking error (max. 1%), sector and industry exposure, issuer concentration, liquidity, and turnover.

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
iSTOXX Ang Research Enhanced U.S. Large Cap Value N/A 101.8 0.4 0.2 5.0 0.0 4.9 0.0 N/A
STOXX US Universal Value N/A 11,620.1 26.5 11.5 591.1 0.3 5.1 0.0 N/A

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
iSTOXX Ang Research Enhanced U.S. Large Cap Value 1.5 17.5 25.6 69.9 74.8 N/A N/A 26.6 20.1 12.2
STOXX US Universal Value 1.4 15.8 22.0 62.0 64.4 N/A N/A 22.0 17.5 10.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Ang Research Enhanced U.S. Large Cap Value N/A N/A 10.7 12.9 14.5 N/A N/A 2.0 1.3 0.7
STOXX US Universal Value N/A N/A 10.6 12.6 14.2 N/A N/A 1.7 1.1 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX Ang Research Enhanced U.S. Large Cap Value 1.0 1.0 1.0 1.0 1.0 1.2 1.4 1.4 1.3 1.3
Index to benchmark Beta Annualized information ratio
iSTOXX Ang Research Enhanced U.S. Large Cap Value 1.0 1.0 1.0 1.0 1.0 0.9 1.6 2.1 1.3 0.9

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of August 31, 2026

ISTOXX INDICES

iSTOXX Ang Research Enhanced U.S. Large Cap Value

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
iSTOXX Ang Research Enhanced U.S. Large Cap Value 19.4 16.0 18.3 15.7 3.5 2.3 N/A 23.5
STOXX US Universal Value 23.1 18.2 21.2 17.8 3.6 2.1 N/A 26.1

Performance and annual returns

Methodology

The iSTOXX Ang Research Enhanced Index Family is designed to provide optimized exposure to selected equity factors while closely tracking the relevant STOXX U.S. parent indices. Constituents are selected from the respective parent index universes and are weighted through an Axioma-based optimization process. The index maximizes exposure to factor scores such as Momentum, Quality, Enhanced Value, Cyclical Value, or a Dynamic Multi-Factor Score. The Dynamic Multi-Factor Score combines factor signals using model-driven weights based on market similarity, factor momentum, and factor exposure trends. Optimization constraints are applied to manage active risk, diversification, sector exposure, liquidity, turnover, and tracking error. The indices are reviewed quarterly in March, June, September, and December.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1546182192 ISAULVA .ISAULVA
Net Return EUR CH1546182218 ISAULVC .ISAULVC
Gross Return EUR CH1546182200 ISAULVB .ISAULVB
Price USD CH1546182226 ISAULVD .ISAULVD
Net Return USD CH1546182242 ISAULVF .ISAULVF
Gross Return USD CH1546182234 ISAULVE ISAULVE INDEX .ISAULVE

Quick Facts

Weighting Price Weighted
Cap Factor NA
No. of components Variable
Review frequency Quarterly in March, June, September and December
Calculation/distribution End of day
Calculation hours 22:30:00 22:30:00
Base value/base date 1000 as of June. 24, 2002
History Available from June 24, 2002
Inception date Aug 28, 2026
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
Amazon.com Inc. Retail USA 4.948%
Apple Inc. Technology USA 2.518%
JPMorgan Chase & Co. Banks USA 2.394%
ALPHABET INC. CL A Technology USA 2.239%
EXXONMOBIL HOLDINGS CORPORATION Energy USA 2.043%
Johnson & Johnson Healthcare USA 1.918%
WALMART INC. Retail USA 1.837%
Micron Technology Inc. Technology USA 1.719%
Berkshire Hathaway Inc. Cl B Financial Services USA 1.703%
META PLATFORMS CLASS A Technology USA 1.609%

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

4Based on the composition as of August 31, 2026

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.