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FACTOR & STRATEGY INDICES

STOXX USA 500 Ax Multi-Factor

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Index Description

STOXX single and multi-factor indices aim to harvest the risk premia of several academically validated style factors – Value, Momentum, Quality, Size and Low Risk. At the same time the rules ensure tradability and diversification as well as limit untargeted systematic exposures. STOXX uses Axioma's risk model and optimizer to construct the factor indices. The STOXX USA 500 single and multi-factor indices are based on the STOXX USA 500 benchmark.

Key facts

  • Invest in targeted factor exposures with managed liquidity and risk profiles across various regions.
  • Use of Axioma's factor risk models and portfolio construction expertise to define the factors based on extensive validation from research and having a clear economic rationale.
  • Factor family consists of 5 single factor indices (Value, Momentum, Quality, Low Risk, and Size) and one multi-factor index.
  • Same index construction rules applied across the factor family.
  • Single factor indices maximize the target factor while constraining the exposure to other factors.
  • Multi-factor index employs a bottom-up approach by maximizing the exposure to an equally weighted aggregated multi-factor score.
  • Ensures tradability by managing turnover and exposure to illiquid positions.
  • Ensures diversification using country and industry controls.

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
STOXX USA 500 Ax Multi-Factor N/A 110.9 1.0 0.3 9.6 0.0 8.6 0.0 50.5
STOXX USA 500 49,665.3 47,828.4 95.7 36.9 3,230.9 9.2 6.8 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
STOXX USA 500 Ax Multi-Factor 1.4 2.9 18.7 56.6 129.4 N/A N/A 18.8 16.2 18.2
STOXX USA 500 -0.4 -4.7 12.9 42.3 105.3 N/A N/A 13.0 12.5 15.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 Ax Multi-Factor N/A N/A 20.5 19.2 18.7 N/A N/A 0.8 0.6 0.8
STOXX USA 500 N/A N/A 19.8 18.9 18.3 N/A N/A 0.5 0.5 0.7
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 Ax Multi-Factor 1.0 1.0 1.0 1.0 1.0 7.2 6.0 5.3 5.3 5.2
Index to benchmark Beta Annualized information ratio
STOXX USA 500 Ax Multi-Factor 0.9 1.0 1.0 1.0 1.0 2.9 4.0 0.9 0.6 0.4

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of April 30, 2025

FACTOR & STRATEGY INDICES

STOXX USA 500 Ax Multi-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
STOXX USA 500 Ax Multi-Factor 24.3 21.0 24.1 21.0 4.0 1.3 2.1 25.2
STOXX USA 500 26.6 22.0 25.1 21.8 5.0 1.5 2.9 29.0

Performance and annual returns

Methodology

Bringing together the powerful indexing and analytics capabilities, the STOXX Factor Index suite delivers more clarity to the market for factor investors by relying on the institutionally tested analytics of Axioma Factor Risk Models and advanced portfolio construction techniques. The use of Axioma's risk models ensures strong exposure to the respective target factor (Value, Momentum, Quality, Low Risk, Size, Multi-Factor) while allowing for ease of control over unintended exposures. The inclusion of constraints targets benchmark tracking with industry and country controls, and ensures tradability by limiting exposure to less liquid names and turnover while controlling for effective number of names and weights.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0539524295 SA5UMFP .SA5UMFP
Net Return EUR CH0539524188 SA5UMFR .SA5UMFR
Gross Return EUR CH0539524204 SA5UMFGR .SA5UMFGR
Price USD CH0539524261 SA5UMFL .SA5UMFL
Gross Return USD CH0539524022 SA5UMFGV SA5UMFGV INDEX .SA5UMFGV
Net Return USD CH0539523925 SA5UMFV .SA5UMFV

Quick Facts

Weighting Optimization
Cap Factor 4.5% / min (20x parent index weight, 8%) / 35%
No. of components Variable
Review frequency Quaterly
Calculation/distribution dayend
Calculation hours 22:30:00 22:30:00
Base value/base date 100 as of Mar. 19, 2012
History Available since 19 Mar 2012
Inception date May 06, 2020
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
Costco Wholesale Corp. Retail USA 8.633%
AT&T Inc. Telecommunications USA 7.361%
META PLATFORMS CLASS A Technology USA 7.090%
NVIDIA Corp. Technology USA 5.271%
SPOTIFY TECHNOLOGY Media USA 3.782%
Amphenol Corp. Cl A Technology USA 3.666%
Trane Technologies Construction and Materials USA 3.409%
GE Aerospace Industrial Goods and Services USA 3.104%
TJX Cos. Retail USA 2.914%
Cintas Corp. Industrial Goods and Services USA 2.890%

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

4Based on the composition as of April 30, 2025

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.