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FACTOR & STRATEGY INDICES

STOXX USA 900 ESG-X 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 ESG-X single and multi-factor indices are based on the respective STOXX ESG-X country or regional benchmark indices. This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.Per the ESMA guidelines on funds’ names using ESG or sustainability-related terms, this index meets an 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy. Index Guides, Benchmark statement, and other reports are available under the Data tab.

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 Multi-Factor N/A 100.7 0.8 0.3 10.1 0.0 10.1 0.0 49.6
STOXX USA 900 ESG-X 42,094.0 40,286.5 50.4 14.2 2,842.1 2.2 7.1 0.0 3.5

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 900 ESG-X Ax Multi-Factor 4.1 18.9 40.0 62.6 124.5 N/A N/A 40.2 17.6 17.6
STOXX USA 900 ESG-X 3.3 12.4 26.3 43.6 114.0 N/A N/A 26.6 12.9 16.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 900 ESG-X Ax Multi-Factor N/A N/A 13.9 18.7 22.3 N/A N/A 2.1 0.7 0.7
STOXX USA 900 ESG-X N/A N/A 12.3 18.0 22.1 N/A N/A 1.6 0.6 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 900 ESG-X Ax Multi-Factor 0.8 0.9 0.9 1.0 1.0 5.3 6.7 5.8 5.7 5.7
Index to benchmark Beta Annualized information ratio
STOXX USA 900 ESG-X Ax Multi-Factor 1.0 1.1 1.0 1.0 1.0 1.8 2.1 1.8 0.6 0.1

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of May 31, 2024

FACTOR & STRATEGY INDICES

STOXX USA 900 ESG-X 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 900 ESG-X Ax Multi-Factor 20.0 18.0 19.8 18.0 3.9 1.6 1.5 24.3
STOXX USA 900 ESG-X 29.9 22.8 27.3 22.4 5.0 1.8 2.8 25.3

Performance and annual returns

Methodology

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 ESG-X single and multi-factor indices are based on the respective STOXX ESG-X country or regional benchmark indices.

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.Per the ESMA guidelines on funds’ names using ESG or sustainability-related terms, this index meets an 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy.
Index Guides, Benchmark statement, and other reports are available under the Data tab.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0524923973 SA9UEMFP .SA9UEMFP
Net Return EUR CH0524923924 SA9UEMFR .SA9UEMFR
Gross Return EUR CH0524923577 SA9UEMFG .SA9UEMFG
Gross Return USD CH0524923783 SA9UEMFZ SA9UEMFZ INDEX .SA9UEMFZ
Price USD CH0524923742 SA9UEMFL .SA9UEMFL
Net Return USD CH0524923825 SA9UEMFV .SA9UEMFV

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.

Top 10 Components4

Company Supersector Country Weight
NVIDIA Corp. Technology USA 10.053%
META PLATFORMS CLASS A Technology USA 7.406%
Costco Wholesale Corp. Retail USA 4.991%
Accenture PLC Cl A Industrial Goods and Services USA 4.852%
Apple Inc. Technology USA 3.858%
CADENCE DESIGN SYS. Technology USA 3.316%
PHILLIPS 66 Energy USA 2.684%
MARATHON PETROLEUM Energy USA 2.442%
REGENERON PHARMS. Health Care USA 2.122%
Bank of New York Mellon Corp. Financial Services USA 2.109%

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

4Based on the composition as of May 31, 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.