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FACTOR & STRATEGY INDICES

STOXX USA 500 Industry Neutral Ax Multi-Factor

Index Description

STOXX Industry Neutral Single and Multi-Factor Indices aim to harvest the risk premia of several academically validated style factors — Value, Momentum, Quality, Size and Low Risk within each ICB Industry. 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 industry neutral factor indices. The STOXX industry neutral single and multi-factor indices are based on the respective STOXX country or regional benchmark indices.

Key facts

  • Invest in targeted factor exposures with managed liquidity and risk profiles across various regions
  • Use of Axiomas 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
  • Strict neutrality imposed on ICB Industries to remove industry bets relative to the respective benchmarks
  • 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 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 Industry Neutral Ax Multi-Factor N/A 118.9 1.0 0.4 9.5 0.0 8.0 0.0 50.5
STOXX USA 500 53,698.7 51,733.1 103.5 41.2 3,608.4 8.0 7.0 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 Industry Neutral Ax Multi-Factor 6.6 30.5 38.9 38.2 87.4 N/A N/A 39.3 11.4 13.5
STOXX USA 500 6.4 28.6 34.4 34.9 104.1 N/A N/A 34.8 10.5 15.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 Industry Neutral Ax Multi-Factor N/A N/A 13.9 18.0 22.2 N/A N/A 2.2 0.4 0.5
STOXX USA 500 N/A N/A 12.5 18.0 21.5 N/A N/A 2.1 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 Industry Neutral Ax Multi-Factor 1.0 0.9 0.9 1.0 1.0 3.7 4.5 4.4 4.8 5.2
Index to benchmark Beta Annualized information ratio
STOXX USA 500 Industry Neutral Ax Multi-Factor 1.1 1.1 1.1 1.0 1.0 0.7 0.4 0.8 0.1 -0.3

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

2Based on EURIBOR1M

(USD, Net Return), all data as of November 29, 2024

FACTOR & STRATEGY INDICES

STOXX USA 500 Industry Neutral 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 Industry Neutral Ax Multi-Factor 25.5 22.3 24.0 24.0 3.8 1.0 1.9 25.9
STOXX USA 500 31.7 25.7 29.4 29.4 5.8 1.3 3.3 20.8

Performance and annual returns

Methodology

Bringing together the powerful indexing and analytics capabilities of Qontigo, the STOXX Industry Neutral 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 country controls and industry neutrality constraints, 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
Gross Return EUR CH0462360188 SA5UNMFU .SA5UNMFU
Net Return EUR CH0462360170 SA5UNMFR .SA5UNMFR
Price EUR CH0462360162 SA5UNMFP .SA5UNMFP
Net Return USD CH0462360204 SA5UNMFV SA5UNMFV INDEX .SA5UNMFV
Gross Return USD CH0462360212 SA5UNMFS SA5UNMFS INDEX .SA5UNMFS
Price USD CH0462360196 SA5UNMFL .SA5UNMFL

Quick Facts

Weighting Optimization
Cap Factor 4.5%/ 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar.,Jun.,Sep.,Dec.)
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available since 31 Dec 2002
Inception date Feb. 17, 2021
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
META PLATFORMS CLASS A Technology USA 7.983%
NVIDIA Corp. Technology USA 6.625%
Costco Wholesale Corp. Retail USA 6.573%
GE Aerospace Industrial Goods and Services USA 4.647%
Vertex Pharmaceuticals Inc. Health Care USA 4.108%
Amphenol Corp. Cl A Technology USA 3.332%
Apple Inc. Technology USA 3.329%
REGENERON PHARMS. Health Care USA 3.001%
CADENCE DESIGN SYS. Technology USA 2.376%
Bank of New York Mellon Corp. Financial Services USA 2.354%

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

4Based on the composition as of November 29, 2024