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FACTOR & STRATEGY INDICES

STOXX USA 500 Ax Quality

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 Quality N/A 122.3 2.3 1.0 10.8 0.0 8.9 0.0 48.5
STOXX USA 500 60,816.4 58,562.6 116.9 41.4 4,940.8 7.7 8.4 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 Quality 1.3 20.3 27.2 104.9 140.5 N/A N/A 27.4 27.1 19.3
STOXX USA 500 2.2 17.6 21.7 86.3 120.5 N/A N/A 21.9 23.1 17.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 Ax Quality N/A N/A 19.5 16.5 18.2 N/A N/A 1.2 1.3 0.9
STOXX USA 500 N/A N/A 19.4 16.1 17.4 N/A N/A 0.9 1.1 0.8
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 Ax Quality 0.9 1.0 1.0 1.0 1.0 5.3 5.4 5.3 5.1 5.1
Index to benchmark Beta Annualized information ratio
STOXX USA 500 Ax Quality 0.9 1.0 1.0 1.0 1.0 -1.9 0.5 0.8 0.6 0.3

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of October 31, 2025

FACTOR & STRATEGY INDICES

STOXX USA 500 Ax Quality

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 Quality 35.8 28.5 30.9 28.5 12.3 0.8 1.7 33.0
STOXX USA 500 33.1 25.6 30.6 25.3 5.8 1.4 3.6 4.8

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
Net Return EUR CH0539523487 SA5UQUR .SA5UQUR
Gross Return EUR CH0539523495 SA5UQUGR .SA5UQUGR
Price EUR CH0539522984 SA5UQUP .SA5UQUP
Gross Return USD CH0539524170 SA5UQUGV SA5UQUGV INDEX .SA5UQUGV
Price USD CH0539523883 SA5UQUL .SA5UQUL
Net Return USD CH0539523966 SA5UQUV .SA5UQUV

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
Apple Inc. Technology USA 8.862%
NVIDIA Corp. Technology USA 8.737%
MasterCard Inc. Cl A Industrial Goods and Services USA 7.297%
Costco Wholesale Corp. Retail USA 7.225%
Lam Research Corp. Technology USA 4.812%
CROWDSTRIKE HOLDINGS A Technology USA 4.597%
WALMART INC. Retail USA 4.219%
ALPHABET CLASS C Technology USA 3.929%
META PLATFORMS CLASS A Technology USA 3.703%
ADOBE Technology USA 3.625%

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

4Based on the composition as of October 31, 2025