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FACTOR & STRATEGY INDICES

STOXX USA 900 ESG-X Ax Low Risk

Index Description

STOXX uses Axioma's risk model and optimizer to construct the factor indices. The STOXX ESG-X single and multi-factor indices are based on the respective STOXX ESG-X country or regional benchmark indices.

Key facts

  • Invest responsibly in targeted factor exposures with managed liquidity and risk profiles across various regions
  • Universe is based on the STOXX ESG-X benchmark family with standardized ESG exclusion screens
  • 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 (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX USA 900 ESG-X Ax Low Risk N/A 100.1 1.4 0.8 7.9 0.0 7.9 0.0 49.8
STOXX USA 900 ESG-X 44,111.6 42,294.0 53.0 14.5 3,098.7 3.8 7.3 0.0 3.2

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 900 ESG-X Ax Low Risk 3.4 11.8 18.0 34.8 65.4 N/A N/A 18.3 10.5 10.6
STOXX USA 900 ESG-X 5.2 18.2 27.0 42.1 114.6 N/A N/A 27.6 12.6 16.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 900 ESG-X Ax Low Risk N/A N/A 10.1 15.1 19.4 N/A N/A 1.4 0.6 0.5
STOXX USA 900 ESG-X N/A N/A 12.3 18.1 22.1 N/A N/A 1.8 0.6 0.7
Index to benchmark Correlation Tracking error (%)
STOXX USA 900 ESG-X Ax Low Risk 0.8 0.9 0.9 1.0 1.0 5.0 5.7 5.3 5.9 6.3
Index to benchmark Beta Annualized information ratio
STOXX USA 900 ESG-X Ax Low Risk 0.7 0.7 0.7 0.8 0.8 -4.5 -2.1 -1.5 -0.4 -1.0

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of June 28, 2024

FACTOR & STRATEGY INDICES

STOXX USA 900 ESG-X Ax Low Risk

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 900 ESG-X Ax Low Risk 27.7 23.0 27.7 27.7 6.0 2.0 3.9 22.7
STOXX USA 900 ESG-X 31.1 23.7 28.4 28.4 5.3 1.8 2.9 26.1

Performance and annual returns

Methodology

Bringing together the powerful indexing and analytics capabilities of Qontigo, 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 ESG-X screens are based on responsible policies of leading asset owners and aim to reduce reputational and idiosyncratic risks. 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 CH0524923932 SA9UELRR .SA9UELRR
Gross Return EUR CH0524923965 SA9UELRG .SA9UELRG
Price EUR CH0524923908 SA9UELRP .SA9UELRP
Net Return USD CH0524923718 SA9UELRV .SA9UELRV
Gross Return USD CH0524923858 SA9UELRZ SA9UELRZ INDEX .SA9UELRZ
Price USD CH0524924013 SA9UELRL .SA9UELRL

Quick Facts

Weighting Optimization
Cap Factor 4.5% / min (20x parent index weight, 8%) / 35%
No. of components Variable
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Mar. 19, 2012
Inception date Mar. 26, 2020
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

FACTOR & STRATEGY INDICES

STOXX USA 900 ESG-X Ax Low Risk

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 7.913%
Apple Inc. Technology USA 7.852%
VISA Inc. Cl A Industrial Goods and Services USA 5.117%
LINDE Chemicals USA 5.089%
Coca-Cola Co. Food, Beverage and Tobacco USA 4.348%
NVIDIA Corp. Technology USA 3.952%
Waste Management Inc. Utilities USA 3.452%
CME Group Inc. Cl A Financial Services USA 3.125%
T-Mobile US Inc Telecommunications USA 3.117%
JPMorgan Chase & Co. Banks USA 2.978%

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

4Based on the composition as of June 28, 2024