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ISTOXX INDICES

iSTOXX L&G Developed World Value

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 Value N/A 812,731.2 572.7 146.5 26,013.6 0.0 3.2 N/A 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 Value 5.6 20.7 26.8 35.4 70.8 N/A N/A 26.8 10.6 11.3
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 Value N/A N/A 10.4 13.8 17.4 N/A N/A 1.9 0.5 0.5
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 Value 1.0 1.0 1.0 1.0 1.0 4.4 3.4 3.3 3.4 3.6
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Developed World Value 1.2 0.9 0.9 0.9 1.0 0.0 -0.3 -0.1 0.2 -0.3

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 Value

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 Value 19.1 15.6 17.4 17.4 2.1 2.2 1.3 15.5
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
Net Return EUR CH1362046489 SDWVR .SDWVR
Price EUR CH1362046471 SDWVP .SDWVP
Gross Return EUR CH1362046497 SDWVGR .SDWVGR
Gross Return GBP CH1362046554 SDWVGHB .SDWVGHB
Net Return GBP CH1362046547 SDWVHB SDWVHB INDEX .SDWVHB
Price GBP CH1362046539 SDWVGB .SDWVGB
Gross Return USD CH1362046521 SDWVGV .SDWVGV
Net Return USD CH1362046513 SDWVV .SDWVV
Price USD CH1362046505 SDWVL .SDWVL

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
JPMorgan Chase & Co. Banks USA 3.200%
Apple Inc. Technology USA 2.705%
META PLATFORMS CLASS A Technology USA 2.534%
Amazon.com Inc. Retail USA 2.293%
Microsoft Corp. Technology USA 2.225%
NVIDIA Corp. Technology USA 2.116%
AT&T Inc. Telecommunications USA 1.941%
ALPHABET INC. CL A Technology USA 1.753%
ALPHABET CLASS C Technology USA 1.646%
International Business Machine Technology USA 1.592%

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

4Based on the composition as of November 29, 2024