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FACTOR & STRATEGY INDICES

STOXX International Small-Cap Equity Factor

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 International Small-Cap Equity Factor N/A 103.3 0.1 0.1 0.7 0.0 0.7 0.0 20.0
STOXX International Developed Markets Small Cap 3,938.2 2,859.9 0.8 0.4 14.1 0.0 0.5 0.0 22.1

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 International Small-Cap Equity Factor 2.4 5.2 11.8 -1.9 24.9 N/A N/A 11.7 -0.6 4.5
STOXX International Developed Markets Small Cap 2.6 4.9 10.5 -2.4 23.7 N/A N/A 10.5 -0.8 4.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX International Small-Cap Equity Factor N/A N/A 9.9 12.3 14.6 N/A N/A 0.7 -0.2 0.2
STOXX International Developed Markets Small Cap N/A N/A 9.9 12.3 14.5 N/A N/A 0.6 -0.2 0.2
Index to benchmark Correlation Tracking error (%)
STOXX International Small-Cap Equity Factor 1.0 1.0 1.0 1.0 1.0 1.3 1.2 1.2 1.3 1.4
Index to benchmark Beta Annualized information ratio
STOXX International Small-Cap Equity Factor 1.0 1.0 1.0 1.0 1.0 -2.3 0.5 0.9 0.1 0.1

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

2Based on EURIBOR1M

(EUR, Price), all data as of May 31, 2024

FACTOR & STRATEGY INDICES

STOXX International 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 International Small-Cap Equity Factor 0.0 13.1 12.6 12.6 1.3 3.2 0.7 7.1
STOXX International Developed Markets Small Cap 0.0 15.0 13.5 13.5 1.3 2.7 0.8 13.4

Performance and annual returns