Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

ISTOXX INDICES

iSTOXX USA Dynamic Quality Value

Export PDF

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 1,018.9 4.0 1.9 18.1 0.8 1.8 0.1 187.2
STOXX USA 900 57,775.1 55,527.8 61.7 17.6 3,608.4 3.6 6.5 0.0 2.5

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 7.7 25.4 33.0 42.0 75.1 N/A N/A 34.4 12.8 12.1
STOXX USA 900 6.6 28.6 35.0 35.9 105.8 N/A N/A 35.6 10.9 15.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX USA Dynamic Quality Value N/A N/A 12.1 16.0 21.1 N/A N/A 2.2 0.5 0.5
STOXX USA 900 N/A N/A 12.6 18.2 21.7 N/A N/A 2.1 0.4 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX USA Dynamic Quality Value 0.9 0.9 0.9 0.9 0.9 6.5 6.8 6.8 7.5 7.9
Index to benchmark Beta Annualized information ratio
iSTOXX USA Dynamic Quality Value 1.0 0.8 0.8 0.8 0.9 2.0 -0.4 -0.3 0.1 -0.5

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of November 29, 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 20.3 17.4 18.9 18.9 3.5 3.0 1.3 12.1
STOXX USA 900 31.5 25.4 28.7 28.7 5.4 1.8 3.1 19.6

Performance and annual returns

Methodology

The parent indices are the iSTOXX USA Pure Value Index and the iSTOXX USA Income Index. The index's strategy shifts its relative target allocation between the value and income strategies in 15 percentage point increments. Target allocation is adjusted monthly based on a risk-adjusted momentum signal. A strategy can have a maximum weight of 80%.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return USD CH0392431182 ISXUQVGV ISXUQVGV INDEX .ISXUQVGV
Price USD CH0392431158 ISXUQVL ISXUQVL INDEX .ISXUQVL
Net Return USD CH0392431174 ISXUQVV ISXUQVV INDEX .ISXUQVV

Quick Facts

Weighting Dynamic Allocation
Cap Factor 35%-80%
No. of components Variable
Review frequency Monthly
Calculation/distribution Realtime 15 sec
Calculation hours 15:30:00 22:00:00
Base value/base date 100 as of May. 31, 2005
History Available from May. 31, 2005
Inception date Dec. 20, 2017
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
APPLOVIN A Technology USA 1.779%
International Business Machine Technology USA 1.574%
Valero Energy Corp. Energy USA 1.528%
Gilead Sciences Inc. Health Care USA 1.496%
PayPal Holdings Industrial Goods and Services USA 1.473%
HP Inc. Technology USA 1.470%
ALPHABET CLASS C Technology USA 1.441%
Bristol-Myers Squibb Co. Health Care USA 1.434%
Apple Inc. Technology USA 1.423%
CITIZENS FINANCIAL GROUP Banks USA 1.322%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of November 29, 2024

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.