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ISTOXX INDICES

iSTOXX Europe Carry Factor

Index Description

The iSTOXX Europe Factors Indices offer investors a straightforward and intuitive tool to extract factor risk premia on equities while controlling risks and keeping their focus on tradability. The selection and weighting are based on SunGard APT Risk model which uses a set of constraints to minimize risk and maximize factor exposure. These indices differ from each other by the factor or risk premia they are exploiting. The index family contains indices based on the following single factors: carry, low risk, momentum, quality, size and value. Additional multi-factor indices gather all stocks with a high overall tilt to single factors.

Key facts

  • Range of 6 different single factors indices
  • Multi-factor approach to gather highest exposure from each dimension
  • Selection and weighting based on an optimizer
  • Monthly rebalancing to allow for updates required by the changes in the market
  • Set of constraints to minimize risk and maximize factor exposure

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
iSTOXX Europe Carry Factor N/A 101.4 1.1 0.9 4.7 0.2 4.7 0.2 0.5
STOXX Europe Total Market 15,588.8 11,985.8 6.3 0.9 403.3 0.0 3.4 0.0 3.3

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 Europe Carry Factor 0.4 9.2 12.4 8.2 36.9 N/A N/A 12.6 2.7 6.6
STOXX Europe Total Market 1.2 9.3 14.5 9.9 37.4 N/A N/A 14.8 3.2 6.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Carry Factor N/A N/A 10.5 14.6 17.3 N/A N/A 0.7 0.0 0.3
STOXX Europe Total Market N/A N/A 10.3 14.6 17.7 N/A N/A 0.9 0.1 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Carry Factor 1.0 1.0 1.0 1.0 1.0 2.7 2.5 2.5 2.9 3.4
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Carry Factor 1.0 1.0 1.0 1.0 1.0 -3.4 -0.1 -0.8 -0.2 -0.1

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

2Based on EURIBOR1M

(EUR, Price), all data as of August 30, 2024

ISTOXX INDICES

iSTOXX Europe Carry 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
iSTOXX Europe Carry Factor 17.3 12.3 13.8 13.8 1.7 2.7 0.9 6.9
STOXX Europe Total Market -0.5 14.4 15.4 15.4 2.1 3.0 1.3 14.8

Performance and annual returns

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