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ISTOXX INDICES

iSTOXX Europe Value Factor Market Neutral

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Index Description

The iSTOXX Europe Single & Multi Factor Market Neutral indices aim at investing in the iSTOXX Europe Single & Multi Factor Equity indices while holding a short position in the STOXX Europe 600 Futures Roll Index. By doing so, the index extracts the alpha of the strategy while offsetting the market movements.

Key facts

  • Highly liquid futures
  • Range of 6 different single factors
  • Multi-factor approach to gather highest exposure from each dimension
  • Innovative strategy to offset market movements
  • Weekly rebalancing to be more reactive to the market
  • Integrated short position in the STOXX Europe 600 Futures Roll Index which is aimed to offset the market movements

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Europe Value Factor Market Neutral N/A N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe 600 N/A N/A N/A N/A N/A N/A N/A N/A N/A

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX Europe Value Factor Market Neutral 0.0 -4.9 -3.1 -14.9 -32.5 N/A N/A -3.2 -5.3 -7.6
STOXX Europe 600 1.1 9.3 13.5 19.2 41.4 N/A N/A 13.7 6.1 7.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Value Factor Market Neutral N/A N/A 5.4 5.6 6.2 N/A N/A -1.4 -1.4 -1.5
STOXX Europe 600 N/A N/A 10.4 14.5 17.7 N/A N/A 0.9 0.2 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Value Factor Market Neutral -0.1 -0.1 -0.1 0.0 0.0 14.6 12.6 12.2 15.6 18.6
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Value Factor Market Neutral 0.0 -0.1 -0.1 0.0 0.0 -1.0 -1.3 -1.4 -0.9 -1.0

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

2Based on EURIBOR1M

(EUR, Total Return - NR), all data as of November 29, 2024

ISTOXX INDICES

iSTOXX Europe Value Factor Market Neutral

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 Value Factor Market Neutral N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe 600 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

These indices are related to the iSTOXX Europe Single & Multi Factor indices and a rolling future strategy. The iSTOXX Europe Single Factor Market Neutral indices replicate a long position in one iSTOXX Europe Single Factor Index and a short position in the STOXX Europe 600 Futures Roll Index.

Additionally, the iSTOXX Europe Multi-Factor Market Neutral Index replicates a long position in the iSTOXX Europe Multi-Factor Index and a short position in the STOXX Europe 600 Futures Roll Index.

The weight of the short investment in the STOXX Europe 600 Futures Roll Index is defined by the beta of the constituents of the factor index to the STOXX Europe 600 (180 weekly returns). The beta is calculated within APT risk model (for information regarding the SunGard APT Modeling Guide please refer to: http://empower.fisglobal.com/rs/134-VDF-014/images/APT-Modelling-Guide.pdf). Those indices are reviewed once a week.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Total Return - NR EUR CH0351388795 ISEVMETN nan .ISEVMETN
Excess Return - NR EUR CH0351388811 ISEVMEEN ISEVMEEN INDEX .ISEVMEEN

Quick Facts

Weighting Beta: calculated within APT risk model between the constituents of the factor index and STOXX Europe 600
No. of components 2
Review frequency Weekly
Calculation/distribution Total Return – NR, Excess Return - NR (EUR): real-time (every 15’’)
Calculation hours Real-time: 09:00 CET – 18:00 CET
Base value/base date 100 as of Apr. 1, 2016
History Available daily back to Jul. 23, 2010
Inception date Jan. 19, 2017
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

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.