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ISTOXX INDICES

iSTOXX L&G Developed World Momentum

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Index Description

The iSTOXX L&G Developed World Single-Factor indices are designed to provide exposure to Value, Momentum, Low Volatility and Quality risk-premia factors, where style factor scores are provided by Legal and General Investment Management (LGIM). The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity. The four factor indices cover the Developed Markets and are constructed by aggregating the five regional indices (North America, Developed Europe ex UK, Japan, UK, Developed Asia Pacific ex Japan) using the regional weights of STOXX Developed World Index.

Key facts

  • Exposure to Value, Momentum, Low Volatility and Quality risk-premia factors.
  • The portfolio construction is performed using LGIM’s Style factor scores and Axioma’s portfolio optimization software and risk models.
  • The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity.
  • The indices are weighted according to a two-step approach using tilt and optimization.

Descriptive Statistics

Index Market Cap (GBP bn) Components (GBP bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX L&G Developed World Momentum N/A 8,123.3 8.5 1.8 555.3 0.0 6.8 0.0 N/A
STOXX Developed World 62,490.9 57,071.2 35.7 11.5 2,838.9 0.1 5.0 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
iSTOXX L&G Developed World Momentum 5.7 29.8 35.1 40.6 108.9 N/A N/A 35.1 12.0 15.8
STOXX Developed World 5.6 21.9 27.0 32.7 80.6 N/A N/A 27.0 9.9 12.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Developed World Momentum N/A N/A 12.2 14.5 17.4 N/A N/A 2.2 0.6 0.8
STOXX Developed World N/A N/A 10.7 14.3 17.1 N/A N/A 1.9 0.5 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G Developed World Momentum 1.0 1.0 1.0 1.0 1.0 2.5 3.0 2.9 2.5 2.6
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Developed World Momentum 1.1 1.1 1.1 1.0 1.0 0.5 2.3 2.2 0.8 1.1

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

2Based on EURIBOR1M

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

ISTOXX INDICES

iSTOXX L&G Developed World 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
iSTOXX L&G Developed World Momentum 24.9 21.9 24.5 24.5 4.1 1.7 2.6 32.9
STOXX Developed World 26.0 21.4 24.1 24.1 3.7 1.7 2.4 23.7

Performance and annual returns

Methodology

The iSTOXX L&G Developed World Single-Factor indices are designed to provide exposure to Value, Momentum, Low Volatility and Quality risk-premia factors, where style factor scores are provided by Legal and General Investment Management (LGIM). The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1362046299 SDWMP .SDWMP
Gross Return EUR CH1362046315 SDWMGR .SDWMGR
Net Return EUR CH1362046307 SDWMR .SDWMR
Price GBP CH1362046356 SDWMGB .SDWMGB
Gross Return GBP CH1362046372 SDWMGHB .SDWMGHB
Net Return GBP CH1362046364 SDWMHB SDWMHB INDEX .SDWMHB
Net Return USD CH1362046331 SDWMV .SDWMV
Gross Return USD CH1362046349 SDWMGV .SDWMGV
Price USD CH1362046323 SDWML .SDWML

Quick Facts

Weighting Price weighted with a weighting factor and capping factor
Cap Factor na
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 1000 as of Mar. 18, 2002
History Available since 18 Mar 2002
Inception date Nov. 11, 2024
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
NVIDIA Corp. Technology USA 6.835%
Amazon.com Inc. Retail USA 4.138%
META PLATFORMS CLASS A Technology USA 3.505%
Eli Lilly & Co. Health Care USA 2.942%
Microsoft Corp. Technology USA 2.868%
Costco Wholesale Corp. Retail USA 2.508%
JPMorgan Chase & Co. Banks USA 2.284%
Apple Inc. Technology USA 2.052%
BROADCOM Technology USA 1.672%
Berkshire Hathaway Inc. Cl B Financial Services USA 1.218%

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.