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ISTOXX INDICES

iSTOXX USA Momentum Factor

Index Description

The iSTOXX® USA Single & Multi-factor indices offer investors a straightforward and intuitive tool to extract factor risk premia on equities while controlling risks and keeping focus on tradability. The selection and weighting are based on the 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 premium they are exploiting. The index family contains indices based on the following single factors: carry, low risk, momentum, quality, size and value. An additional multi-factor index gathers stocks with a high overall tilt to all single factors.

Key facts

  • Range of six different single-factor indices
  • Multi-factor approach to gather highest exposure from each dimension
  • Selection and weighting based on optimizer
  • Monthly rebalancing to be more reactive to the market
  • Set of constraints to minimize risk and maximize factor exposure

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 USA Momentum Factor N/A 113.3 1.5 1.5 7.0 0.2 6.1 0.2 0.0
STOXX USA 900 51,448.1 49,426.4 54.9 15.4 3,321.0 3.6 6.7 0.0 2.3

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 USA Momentum Factor 4.6 9.8 19.9 22.7 89.8 N/A N/A 20.3 7.1 13.8
STOXX USA 900 3.4 14.3 23.9 27.5 96.4 N/A N/A 24.4 8.5 14.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX USA Momentum Factor N/A N/A 12.3 17.8 21.1 N/A N/A 1.3 0.3 0.6
STOXX USA 900 N/A N/A 11.6 17.8 21.6 N/A N/A 1.7 0.4 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX USA Momentum Factor 0.9 0.9 0.9 1.0 1.0 2.6 4.0 4.0 3.8 3.9
Index to benchmark Beta Annualized information ratio
iSTOXX USA Momentum Factor 1.1 1.0 1.0 1.0 1.0 6.0 -2.1 -0.8 -0.4 -0.2

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of June 28, 2024

ISTOXX INDICES

iSTOXX USA Momentum 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 USA Momentum Factor 36.9 26.4 26.5 26.5 5.8 1.8 2.4 27.2
STOXX USA 900 29.1 22.8 26.5 26.5 4.9 1.8 2.8 26.3

Performance and annual returns