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ISTOXX INDICES

iSTOXX USA Dynamic Quality Value

Index Description

The iSTOXX USA Dynamic Quality Value Index concept allocates dynamically to both a value and an income strategy. The allocation of the strategies is governed by a risk-adjusted momentum signal. The value strategy is the iSTOXX USA Pure Value Index, which aims at investing in quality companies with sound fundamentals and attractive valuation. The income strategy is the iSTOXX USA Income Index, which aims at investing in quality companies with sustainable income and high dividends.

Key facts

  • Dynamic allocation between value and income strategies.
  • Momentum signal determines allocation.
  • Capping mechanism ensures balanced approach.
  • Rebalanced monthly.

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 Dynamic Quality Value N/A 10.1 0.0 0.0 0.2 0.0 1.8 0.1 117.5
STOXX USA 900 52,225.3 50,153.7 55.7 16.1 3,230.8 3.4 6.4 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 Dynamic Quality Value 3.8 14.3 19.4 28.0 70.6 N/A N/A 20.0 8.9 11.5
STOXX USA 900 1.5 16.1 21.7 27.0 96.4 N/A N/A 22.0 8.4 14.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX USA Dynamic Quality Value N/A N/A 11.8 15.7 21.1 N/A N/A 1.2 0.4 0.5
STOXX USA 900 N/A N/A 12.0 17.9 21.7 N/A N/A 1.4 0.3 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX USA Dynamic Quality Value 0.7 0.8 0.8 0.9 0.9 10.6 7.0 6.6 7.5 7.8
Index to benchmark Beta Annualized information ratio
iSTOXX USA Dynamic Quality Value 0.7 0.8 0.9 0.8 0.9 2.4 -0.4 -0.4 -0.1 -0.4

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of July 31, 2024

ISTOXX INDICES

iSTOXX USA Dynamic Quality 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 USA Dynamic Quality Value 17.8 15.1 17.2 17.2 3.1 2.8 1.2 8.2
STOXX USA 900 28.9 23.0 26.3 26.3 5.0 1.8 0.7 31.9

Performance and annual returns