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FACTOR & STRATEGY INDICES
STOXX USA 500 Industry Neutral Ax Momentum
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 Momentum | N/A | 126.8 | 1.5 | 1.0 | 10.3 | 0.1 | 8.1 | 0.0 | 50.0 |
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)
Technology | 37.4 |
---|---|
Industrial Goods and Services | 9.3 |
Health Care | 9.2 |
Retail | 8.9 |
Banks | 4.4 |
Media | 4.0 |
Energy | 3.4 |
Utilities | 3.4 |
Insurance | 3.3 |
Personal Care, Drug and Grocery Stores | 3.2 |
Country weighting
USA | 100.0 |
---|
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 Momentum | 9.2 | 58.7 | 68.6 | 59.8 | 177.8 | N/A | N/A | 69.3 | 16.9 | 22.8 |
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 Momentum | N/A | N/A | 17.4 | 20.4 | 23.8 | N/A | N/A | 2.8 | 0.6 | 0.8 |
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 Momentum | 0.9 | 0.9 | 0.9 | 1.0 | 1.0 | 9.1 | 8.0 | 7.8 | 6.0 | 6.3 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
STOXX USA 500 Industry Neutral Ax Momentum | 1.2 | 1.3 | 1.3 | 1.1 | 1.1 | 3.5 | 2.9 | 3.0 | 1.0 | 1.0 |
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 Momentum
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 Momentum | 35.2 | 29.5 | 33.1 | 33.1 | 8.2 | 1.1 | 2.9 | 32.3 |
STOXX USA 500 | 31.7 | 25.7 | 29.4 | 29.4 | 5.8 | 1.3 | 3.3 | 20.8 |
Performance and annual returns
STOXX USA 500 Industry Neutral Ax Momentum | |
---|---|
1041292800000 | 38.97 |
1041465600000 | 40.08 |
1041552000000 | 40.08 |
1041811200000 | 40.71 |
1041897600000 | 40.28 |
1041984000000 | 39.85 |
1042070400000 | 40.37 |
1042156800000 | 40.45 |
1042416000000 | 40.19 |
1042502400000 | 40.22 |
1042588800000 | 39.73 |
1042675200000 | 39.66 |
1042761600000 | 39.16 |
1043020800000 | 39.17 |
1043107200000 | 38.5 |
1043193600000 | 38.23 |
1043280000000 | 38.69 |
1043366400000 | 37.69 |
1043625600000 | 37.13 |
1043712000000 | 37.58 |
1043798400000 | 37.92 |
1043884800000 | 37.34 |
1043971200000 | 37.75 |
1044230400000 | 37.86 |
1044316800000 | 37.59 |
1044403200000 | 37.43 |
1044489600000 | 37.38 |
1044576000000 | 37.05 |
1044835200000 | 37.27 |
1044921600000 | 37.08 |
1045008000000 | 36.58 |
1045094400000 | 36.56 |
1045180800000 | 37.29 |
1045440000000 | 37.29 |
1045526400000 | 37.96 |
1045612800000 | 37.72 |
1045699200000 | 37.49 |
1045785600000 | 37.97 |
1046044800000 | 37.51 |
1046131200000 | 37.77 |
1046217600000 | 37.44 |
1046304000000 | 37.79 |
1046390400000 | 37.98 |
1046649600000 | 37.75 |
1046736000000 | 37.17 |
1046822400000 | 37.43 |
1046908800000 | 37.14 |
1046995200000 | 37.46 |
1047254400000 | 36.6 |
1047340800000 | 36.31 |
1047427200000 | 36.43 |
1047513600000 | 37.74 |
1047600000000 | 37.83 |
1047859200000 | 39.05 |
1047945600000 | 39.15 |
1048032000000 | 39.43 |
1048118400000 | 39.61 |
1048204800000 | 40.21 |
1048464000000 | 39.03 |
1048550400000 | 39.43 |
1048636800000 | 39.17 |
1048723200000 | 39.21 |
1048809600000 | 39.05 |
1049068800000 | 38.39 |
1049155200000 | 38.83 |
1049241600000 | 39.72 |
1049328000000 | 39.51 |
1049414400000 | 39.47 |
1049673600000 | 39.46 |
1049760000000 | 39.51 |
1049846400000 | 39.13 |
1049932800000 | 39.4 |
1050019200000 | 39.31 |
1050278400000 | 39.84 |
1050364800000 | 39.96 |
1050451200000 | 39.55 |
1050537600000 | 40.07 |
1050883200000 | 39.98 |
1050969600000 | 40.69 |
1051056000000 | 41.04 |
1051142400000 | 40.82 |
1051228800000 | 40.39 |
1051488000000 | 40.97 |
1051574400000 | 41.04 |
1051660800000 | 40.97 |
1051747200000 | 40.91 |
1051833600000 | 41.64 |
1052092800000 | 41.51 |
1052179200000 | 41.89 |
1052265600000 | 41.69 |
1052352000000 | 41.3 |
1052438400000 | 41.82 |
1052697600000 | 42.27 |
1052784000000 | 42.25 |
1052870400000 | 42.14 |
1052956800000 | 42.42 |
1053043200000 | 42.3 |
1053302400000 | 41.24 |
1053388800000 | 41.22 |
1053475200000 | 41.5 |
1053561600000 | 41.88 |
1053648000000 | 41.97 |
1053907200000 | 41.95 |
1053993600000 | 42.71 |
1054080000000 | 42.67 |
1054166400000 | 42.49 |
1054252800000 | 43.17 |
1054512000000 | 43.09 |
1054598400000 | 43.33 |
1054684800000 | 44.04 |
1054771200000 | 44.17 |
1054857600000 | 43.86 |
1055116800000 | 43.46 |
1055203200000 | 43.78 |
1055289600000 | 44.56 |
1055376000000 | 44.84 |
1055462400000 | 44.51 |
1055721600000 | 45.5 |
1055808000000 | 45.52 |
1055894400000 | 45.42 |
1055980800000 | 44.75 |
1056067200000 | 44.64 |
1056326400000 | 44.15 |
1056412800000 | 44.21 |
1056499200000 | 44.03 |
1056585600000 | 44.58 |
1056672000000 | 44.28 |
1056931200000 | 44.09 |
1057017600000 | 44.39 |
1057104000000 | 45.04 |
1057190400000 | 44.82 |
1057276800000 | 44.83 |
1057536000000 | 45.63 |
1057622400000 | 45.98 |
1057708800000 | 45.71 |
1057795200000 | 45.18 |
1057881600000 | 45.61 |
1058140800000 | 45.9 |
1058227200000 | 45.66 |
1058313600000 | 45.29 |
1058400000000 | 44.54 |
1058486400000 | 45.13 |
1058745600000 | 44.58 |
1058832000000 | 45.08 |
1058918400000 | 45.46 |
1059004800000 | 44.93 |
1059091200000 | 45.53 |
1059350400000 | 45.48 |
1059436800000 | 45.22 |
1059523200000 | 45.11 |
1059609600000 | 45.25 |
1059696000000 | 44.83 |
1059955200000 | 44.85 |
1060041600000 | 44.14 |
1060128000000 | 44.11 |
1060214400000 | 44.24 |
1060300800000 | 44.42 |
1060560000000 | 44.6 |
1060646400000 | 45.08 |
1060732800000 | 44.84 |
1060819200000 | 45.12 |
1060905600000 | 45.25 |
1061164800000 | 45.91 |
1061251200000 | 46.16 |
1061337600000 | 46.19 |
1061424000000 | 46.45 |
1061510400000 | 45.99 |
1061769600000 | 45.82 |
1061856000000 | 45.95 |
1061942400000 | 45.96 |
1062028800000 | 46.28 |
1062115200000 | 46.49 |
1062374400000 | 46.49 |
1062460800000 | 46.94 |
1062547200000 | 47.01 |
1062633600000 | 47.07 |
1062720000000 | 46.82 |
1062979200000 | 47.13 |
1063065600000 | 46.67 |
1063152000000 | 46.05 |
1063238400000 | 46.36 |
1063324800000 | 46.54 |
1063584000000 | 46.72 |
1063670400000 | 47.36 |
1063756800000 | 47.37 |
1063843200000 | 47.96 |
1063929600000 | 47.89 |
1064188800000 | 47.27 |
1064275200000 | 47.42 |
1064361600000 | 46.7 |
1064448000000 | 46.39 |
1064534400000 | 46.07 |
1064793600000 | 46.57 |
1064880000000 | 46.17 |
1064966400000 | 47.13 |
1065052800000 | 47.45 |
1065139200000 | 48.11 |
1065398400000 | 48.52 |
1065484800000 | 48.68 |
1065571200000 | 48.56 |
1065657600000 | 48.85 |
1065744000000 | 49.03 |
1066003200000 | 49.33 |
1066089600000 | 49.42 |
1066176000000 | 49.06 |
1066262400000 | 49.17 |
1066348800000 | 48.52 |
1066608000000 | 48.54 |
1066694400000 | 48.66 |
1066780800000 | 48.15 |
1066867200000 | 48.13 |
1066953600000 | 48.02 |
1067212800000 | 48.01 |
1067299200000 | 48.75 |
1067385600000 | 48.95 |
1067472000000 | 48.99 |
1067558400000 | 49.01 |
1067817600000 | 49.54 |
1067904000000 | 49.5 |
1067990400000 | 49.62 |
1068076800000 | 49.86 |
1068163200000 | 49.61 |
1068422400000 | 48.99 |
1068508800000 | 48.87 |
1068595200000 | 49.66 |
1068681600000 | 49.69 |
1068768000000 | 49.42 |
1069027200000 | 48.95 |
1069113600000 | 48.3 |
1069200000000 | 48.74 |
1069286400000 | 48.42 |
1069372800000 | 48.5 |
1069632000000 | 49.61 |
1069718400000 | 49.86 |
1069804800000 | 50.08 |
1069891200000 | 50.08 |
1069977600000 | 50.3 |
1070236800000 | 50.92 |
1070323200000 | 50.67 |
1070409600000 | 50.29 |
1070496000000 | 50.3 |
1070582400000 | 49.9 |
1070841600000 | 50.16 |
1070928000000 | 49.46 |
1071014400000 | 49.35 |
1071100800000 | 50.16 |
1071187200000 | 50.38 |
1071446400000 | 50.07 |
1071532800000 | 49.99 |
1071619200000 | 50.18 |
1071705600000 | 51 |
1071792000000 | 51.04 |
1072051200000 | 51.09 |
1072137600000 | 51.2 |
1072224000000 | 51.2 |
1072396800000 | 51.35 |
1072656000000 | 51.92 |
1072742400000 | 51.96 |
1072828800000 | 52.03 |
1073001600000 | 51.67 |
1073260800000 | 52.5 |
1073347200000 | 52.81 |
1073433600000 | 52.91 |
1073520000000 | 53.06 |
1073606400000 | 52.81 |
1073865600000 | 53 |
1073952000000 | 52.84 |
1074038400000 | 53.23 |
1074124800000 | 53.26 |
1074211200000 | 53.8 |
1074470400000 | 53.8 |
1074556800000 | 54.05 |
1074643200000 | 54.14 |
1074729600000 | 54.23 |
1074816000000 | 54.16 |
1075075200000 | 54.76 |
1075161600000 | 54.23 |
1075248000000 | 53.37 |
1075334400000 | 53.2 |
1075420800000 | 53.4 |
1075680000000 | 53.32 |
1075766400000 | 53.42 |
1075852800000 | 52.89 |
1075939200000 | 53.12 |
1076025600000 | 54.02 |
1076284800000 | 53.9 |
1076371200000 | 54.11 |
1076457600000 | 54.74 |
1076544000000 | 54.37 |
1076630400000 | 54.1 |
1076889600000 | 54.1 |
1076976000000 | 54.6 |
1077062400000 | 54.39 |
1077148800000 | 54.04 |
1077235200000 | 53.84 |
1077494400000 | 53.31 |
1077580800000 | 53.09 |
1077667200000 | 53.47 |
1077753600000 | 53.96 |
1077840000000 | 54.2 |
1078099200000 | 54.73 |
1078185600000 | 54.43 |
1078272000000 | 54.47 |
1078358400000 | 54.77 |
1078444800000 | 55.08 |
1078704000000 | 54.66 |
1078790400000 | 54.09 |
1078876800000 | 53.11 |
1078963200000 | 52.22 |
1079049600000 | 53.06 |
1079308800000 | 52.21 |
1079395200000 | 52.34 |
1079481600000 | 53.31 |
1079568000000 | 53.19 |
1079654400000 | 52.65 |
1079913600000 | 51.78 |
1080000000000 | 51.88 |
1080086400000 | 52 |
1080172800000 | 53.12 |
1080259200000 | 53.16 |
1080518400000 | 53.85 |
1080604800000 | 54.18 |
1080691200000 | 54.12 |
1080777600000 | 54.78 |
1080864000000 | 55.34 |
1081123200000 | 55.58 |
1081209600000 | 55.37 |
1081296000000 | 54.98 |
1081382400000 | 55.02 |
1081728000000 | 55.18 |
1081814400000 | 54.24 |
1081900800000 | 54.03 |
1081987200000 | 53.93 |
1082073600000 | 54.02 |
1082332800000 | 54.29 |
1082419200000 | 53.42 |
1082505600000 | 54.15 |
1082592000000 | 55.36 |
1082678400000 | 55.48 |
1082937600000 | 55.59 |
1083024000000 | 55.41 |
1083110400000 | 54.61 |
1083196800000 | 53.89 |
1083283200000 | 53.59 |
1083542400000 | 53.99 |
1083628800000 | 54.17 |
1083715200000 | 54.54 |
1083801600000 | 53.88 |
1083888000000 | 53.02 |
1084147200000 | 52.05 |
1084233600000 | 52.78 |
1084320000000 | 52.94 |
1084406400000 | 53.07 |
1084492800000 | 52.97 |
1084752000000 | 52.34 |
1084838400000 | 52.78 |
1084924800000 | 52.76 |
1085011200000 | 52.73 |
1085097600000 | 52.95 |
1085356800000 | 53.1 |
1085443200000 | 54.24 |
1085529600000 | 54.77 |
1085616000000 | 54.98 |
1085702400000 | 54.99 |
1085961600000 | 54.99 |
1086048000000 | 55.22 |
1086134400000 | 55.32 |
1086220800000 | 54.54 |
1086307200000 | 54.8 |
1086566400000 | 55.57 |
1086652800000 | 55.56 |
1086739200000 | 54.52 |
1086825600000 | 54.66 |
1086912000000 | 54.66 |
1087171200000 | 53.99 |
1087257600000 | 54.44 |
1087344000000 | 54.4 |
1087430400000 | 54.32 |
1087516800000 | 54.31 |
1087776000000 | 54.07 |
1087862400000 | 54.39 |
1087948800000 | 55.07 |
1088035200000 | 54.97 |
1088121600000 | 55 |
1088380800000 | 54.77 |
1088467200000 | 54.73 |
1088553600000 | 55.2 |
1088640000000 | 54.75 |
1088726400000 | 54.49 |
1088985600000 | 54.49 |
1089072000000 | 53.89 |
1089158400000 | 54.16 |
1089244800000 | 53.56 |
1089331200000 | 53.65 |
1089590400000 | 53.53 |
1089676800000 | 53.55 |
1089763200000 | 53.36 |
1089849600000 | 53.25 |
1089936000000 | 52.65 |
1090195200000 | 52.37 |
1090281600000 | 52.9 |
1090368000000 | 51.87 |
1090454400000 | 51.86 |
1090540800000 | 51.47 |
1090800000000 | 51.14 |
1090886400000 | 51.86 |
1090972800000 | 51.92 |
1091059200000 | 52.27 |
1091145600000 | 52.4 |
1091404800000 | 52.53 |
1091491200000 | 52.07 |
1091577600000 | 51.69 |
1091664000000 | 50.69 |
1091750400000 | 49.92 |
1092009600000 | 49.84 |
1092096000000 | 50.66 |
1092182400000 | 50.42 |
1092268800000 | 49.83 |
1092355200000 | 49.66 |
1092614400000 | 50.41 |
1092700800000 | 50.74 |
1092787200000 | 51.42 |
1092873600000 | 51.34 |
1092960000000 | 51.8 |
1093219200000 | 51.75 |
1093305600000 | 51.83 |
1093392000000 | 52.32 |
1093478400000 | 52.37 |
1093564800000 | 52.64 |
1093824000000 | 52.15 |
1093910400000 | 52.45 |
1093996800000 | 52.82 |
1094083200000 | 53.43 |
1094169600000 | 53.2 |
1094428800000 | 53.2 |
1094515200000 | 53.35 |
1094601600000 | 53.16 |
1094688000000 | 53.46 |
1094774400000 | 53.83 |
1095033600000 | 54.14 |
1095120000000 | 54.41 |
1095206400000 | 53.95 |
1095292800000 | 54.19 |
1095379200000 | 54.51 |
1095638400000 | 54.43 |
1095724800000 | 54.8 |
1095811200000 | 54.21 |
1095897600000 | 54.06 |
1095984000000 | 54.25 |
1096243200000 | 53.84 |
1096329600000 | 54.21 |
1096416000000 | 54.47 |
1096502400000 | 54.81 |
1096588800000 | 55.56 |
1096848000000 | 55.84 |
1096934400000 | 55.74 |
1097020800000 | 56.11 |
1097107200000 | 55.53 |
1097193600000 | 55.09 |
1097452800000 | 55.3 |
1097539200000 | 55.24 |
1097625600000 | 54.81 |
1097712000000 | 54.67 |
1097798400000 | 54.97 |
1098057600000 | 55.27 |
1098144000000 | 54.65 |
1098230400000 | 54.48 |
1098316800000 | 54.82 |
1098403200000 | 54.18 |
1098662400000 | 53.98 |
1098748800000 | 54.43 |
1098835200000 | 55.38 |
1098921600000 | 55.41 |
1099008000000 | 55.54 |
1099267200000 | 55.58 |
1099353600000 | 55.5 |
1099440000000 | 56.24 |
1099526400000 | 57.01 |
1099612800000 | 57.09 |
1099872000000 | 57.19 |
1099958400000 | 57.1 |
1100044800000 | 57.33 |
1100131200000 | 58.17 |
1100217600000 | 58.67 |
1100476800000 | 58.43 |
1100563200000 | 58.06 |
1100649600000 | 58.56 |
1100736000000 | 58.76 |
1100822400000 | 58.16 |
1101081600000 | 58.69 |
1101168000000 | 58.85 |
1101254400000 | 59.34 |
1101340800000 | 59.34 |
1101427200000 | 59.45 |
1101686400000 | 59.61 |
1101772800000 | 59.5 |
1101859200000 | 60.26 |
1101945600000 | 60.2 |
1102032000000 | 60.32 |
1102291200000 | 60.25 |
1102377600000 | 59.47 |
1102464000000 | 59.71 |
1102550400000 | 60.04 |
1102636800000 | 59.54 |
1102896000000 | 60.25 |
1102982400000 | 60.35 |
1103068800000 | 60.58 |
1103155200000 | 60.31 |
1103241600000 | 60.07 |
1103500800000 | 60.25 |
1103587200000 | 60.86 |
1103673600000 | 61.15 |
1103760000000 | 61.13 |
1103846400000 | 61.13 |
1104105600000 | 60.67 |
1104192000000 | 61.27 |
1104278400000 | 61.26 |
1104364800000 | 61.19 |
1104451200000 | 60.98 |
1104710400000 | 60.11 |
1104796800000 | 59.39 |
1104883200000 | 59.16 |
1104969600000 | 59.3 |
1105056000000 | 59.4 |
1105315200000 | 59.66 |
1105401600000 | 59.06 |
1105488000000 | 59.31 |
1105574400000 | 59.13 |
1105660800000 | 59.65 |
1105920000000 | 59.65 |
1106006400000 | 60.31 |
1106092800000 | 59.57 |
1106179200000 | 58.19 |
1106265600000 | 58.07 |
1106524800000 | 57.46 |
1106611200000 | 57.64 |
1106697600000 | 58.1 |
1106784000000 | 58.21 |
1106870400000 | 58.03 |
1107129600000 | 58.76 |
1107216000000 | 59.09 |
1107302400000 | 59.43 |
1107388800000 | 59.13 |
1107475200000 | 59.86 |
1107734400000 | 59.65 |
1107820800000 | 59.85 |
1107907200000 | 59.21 |
1107993600000 | 59.69 |
1108080000000 | 60.14 |
1108339200000 | 60.49 |
1108425600000 | 60.72 |
1108512000000 | 60.89 |
1108598400000 | 60.37 |
1108684800000 | 60.18 |
1108944000000 | 60.18 |
1109030400000 | 59.28 |
1109116800000 | 59.79 |
1109203200000 | 60.53 |
1109289600000 | 61.29 |
1109548800000 | 60.69 |
1109635200000 | 60.86 |
1109721600000 | 60.69 |
1109808000000 | 60.31 |
1109894400000 | 60.9 |
1110153600000 | 61.05 |
1110240000000 | 60.43 |
1110326400000 | 59.72 |
1110412800000 | 59.59 |
1110499200000 | 59.38 |
1110758400000 | 59.9 |
1110844800000 | 59.83 |
1110931200000 | 59.34 |
1111017600000 | 59.58 |
1111104000000 | 59.56 |
1111363200000 | 59.45 |
1111449600000 | 58.87 |
1111536000000 | 58.64 |
1111622400000 | 58.64 |
1111968000000 | 58.81 |
1112054400000 | 58.23 |
1112140800000 | 59.15 |
1112227200000 | 59.1 |
1112313600000 | 58.88 |
1112572800000 | 59.31 |
1112659200000 | 59.54 |
1112745600000 | 59.5 |
1112832000000 | 59.84 |
1112918400000 | 59.45 |
1113177600000 | 59.4 |
1113264000000 | 59.7 |
1113350400000 | 58.9 |
1113436800000 | 57.93 |
1113523200000 | 56.87 |
1113782400000 | 57.03 |
1113868800000 | 57.74 |
1113955200000 | 56.77 |
1114041600000 | 57.99 |
1114128000000 | 57.39 |
1114387200000 | 58.23 |
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1551139200000 | 242.69 |
1551225600000 | 242.64 |
1551312000000 | 241.64 |
1551398400000 | 243.02 |
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1551744000000 | 240.06 |
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1552003200000 | 234.88 |
1552262400000 | 237.64 |
1552348800000 | 237.65 |
1552435200000 | 239.39 |
1552521600000 | 239.19 |
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1552867200000 | 241.46 |
1552953600000 | 242.18 |
1553040000000 | 241.82 |
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1553212800000 | 239.5 |
1553472000000 | 239.74 |
1553558400000 | 240.68 |
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1553731200000 | 240.63 |
1553817600000 | 242.55 |
1554076800000 | 245.24 |
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1554768000000 | 245.09 |
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1554940800000 | 246.84 |
1555027200000 | 247.68 |
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1556064000000 | 246.57 |
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1556496000000 | 245.32 |
1556582400000 | 246.1 |
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1556841600000 | 244.87 |
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1557273600000 | 239.4 |
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1557705600000 | 233.76 |
1557792000000 | 236.45 |
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1558051200000 | 239.44 |
1558310400000 | 238 |
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1558569600000 | 236.57 |
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1558915200000 | 237.07 |
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1559088000000 | 234.45 |
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1563235200000 | 257.11 |
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1563840000000 | 258.36 |
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1566432000000 | 254.54 |
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1566950400000 | 252.65 |
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1568592000000 | 253.67 |
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1568851200000 | 255.75 |
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1570147200000 | 253.41 |
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1570579200000 | 250.98 |
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1571097600000 | 256.16 |
1571184000000 | 253.85 |
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1571356800000 | 252.26 |
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1573430400000 | 254.44 |
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1574035200000 | 260.79 |
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1576627200000 | 265.99 |
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1576800000000 | 269.12 |
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1578528000000 | 275.75 |
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1579564800000 | 281.73 |
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1580169600000 | 280.88 |
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1581033600000 | 282.57 |
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1581379200000 | 286.82 |
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1581984000000 | 292.89 |
1582070400000 | 294.3 |
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1666569600000 | 361.16 |
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1666915200000 | 373.29 |
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1723420800000 | 604.0599 |
1723507200000 | 615.83 |
1723593600000 | 621.57 |
1723680000000 | 631.96 |
1723766400000 | 631.0599 |
1724025600000 | 636.96 |
1724112000000 | 634.89 |
1724198400000 | 640.12 |
1724284800000 | 634.19 |
1724371200000 | 642.1 |
1724630400000 | 637.55 |
1724716800000 | 638.9299 |
1724803200000 | 634.13 |
1724889600000 | 633.9299 |
1724976000000 | 642.26 |
1725235200000 | 642.26 |
1725321600000 | 621.04 |
1725408000000 | 619.61 |
1725494400000 | 613.8 |
1725580800000 | 601.09 |
1725840000000 | 609.9299 |
1725926400000 | 613.54 |
1726012800000 | 624.37 |
1726099200000 | 633.51 |
1726185600000 | 640.89 |
1726444800000 | 643.49 |
1726531200000 | 643.34 |
1726617600000 | 642.4299 |
1726704000000 | 656.39 |
1726790400000 | 660.62 |
1727049600000 | 663.62 |
1727136000000 | 665.82 |
1727222400000 | 667.66 |
1727308800000 | 665.8 |
1727395200000 | 662.53 |
1727654400000 | 666.1799 |
1727740800000 | 660.64 |
1727827200000 | 662.9 |
1727913600000 | 664.84 |
1728000000000 | 673.55 |
1728259200000 | 670.01 |
1728345600000 | 678.73 |
1728432000000 | 683.45 |
1728518400000 | 681.58 |
1728604800000 | 689.78 |
1728864000000 | 694.1 |
1728950400000 | 685.9299 |
1729036800000 | 690.62 |
1729123200000 | 690.21 |
1729209600000 | 694.0599 |
1729468800000 | 695.13 |
1729555200000 | 690.53 |
1729641600000 | 684.57 |
1729728000000 | 685.15 |
1729814400000 | 683.61 |
1730073600000 | 686.32 |
1730160000000 | 689.35 |
1730246400000 | 684.02 |
1730332800000 | 672.78 |
1730419200000 | 670.97 |
1730678400000 | 668.3 |
1730764800000 | 681.16 |
1730851200000 | 698.46 |
1730937600000 | 712.2 |
1731024000000 | 721.5 |
1731283200000 | 723.52 |
1731369600000 | 721.92 |
1731456000000 | 718.98 |
1731542400000 | 711.71 |
1731628800000 | 702.35 |
1731888000000 | 707.51 |
1731974400000 | 719.6799 |
1732060800000 | 725.03 |
1732147200000 | 728.84 |
1732233600000 | 732.65 |
1732492800000 | 728.71 |
1732579200000 | 735.38 |
1732665600000 | 729.47 |
1732752000000 | 729.47 |
1732838400000 | 734.63 |
STOXX USA 500 Industry Neutral Ax Momentum | STOXX USA 500 | |
---|---|---|
2017 | 29.291439966673 | 21.507777896667 |
2018 | -4.4365885537364 | -5.2142578580445 |
2019 | 27.13134847624 | 31.416318368718 |
2020 | 38.460002742851 | 21.522157304344 |
2021 | 23.640863248329 | 25.778671662474 |
2022 | -22.661256590351 | -20.206240612985 |
2023 | 30.164069640719 | 26.793689508651 |
2024 | 65.623753946645 | 31.603038145673 |
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.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Net Return EUR | CH0462360238 | SA5UNMOR | .SA5UNMOR | |
Price EUR | CH0462360220 | SA5UNMOP | .SA5UNMOP | |
Gross Return EUR | CH0462360246 | SA5UNMOU | .SA5UNMOU | |
Gross Return USD | CH0462360279 | SA5UNMOS | SA5UNMOS INDEX | .SA5UNMOS |
Price USD | CH0462360253 | SA5UNMOL | .SA5UNMOL | |
Net Return USD | CH0462360261 | SA5UNMOV | SA5UNMOV INDEX | .SA5UNMOV |
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 |
---|---|---|---|
NVIDIA Corp. | Technology | USA | 8.125% |
META PLATFORMS CLASS A | Technology | USA | 6.973% |
GE Aerospace | Industrial Goods and Services | USA | 6.236% |
Eli Lilly & Co. | Health Care | USA | 4.757% |
WALMART INC. | Retail | USA | 3.153% |
Apple Inc. | Technology | USA | 2.850% |
Costco Wholesale Corp. | Retail | USA | 2.761% |
APPLOVIN A | Technology | USA | 2.676% |
Netflix Inc. | Media | USA | 2.438% |
Microsoft Corp. | Technology | USA | 2.397% |
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.