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FACTOR & STRATEGY INDICES

STOXX Developed Europe Equity Factor Base

Index Description

The STOXX Equity Factor Base Index Family is constructed by maximizing the index exposure to a multi-factor alpha signal while satisfying a set of constraints intended to closely track their parent indices.

Key facts

  • Designed to capture the fundamental drivers of equity performance.
  • The index is constructed by maximizing the index exposure to a multi-factor alpha signal.
  • Combines robust STOXX indexing capabilities with industry-leading Axioma factor risk models and portfolio optimizer.
  • Reviewed quarterly in March, June, September and December to ensure consistent factor exposures over time

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 Developed Europe Equity Factor Base N/A 101.5 0.7 0.5 6.4 0.0 6.3 0.0 N/A
STOXX Developed Europe 14,434.0 11,421.8 26.8 10.4 446.4 0.1 3.9 0.0 4.1

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 Developed Europe Equity Factor Base 3.6 10.9 18.7 10.6 56.6 N/A N/A 18.7 3.4 9.4
STOXX Developed Europe 4.0 12.4 20.0 14.2 57.6 N/A N/A 20.0 4.5 9.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Developed Europe Equity Factor Base N/A N/A 12.8 18.3 20.2 N/A N/A 1.0 0.1 0.4
STOXX Developed Europe N/A N/A 13.0 18.5 20.3 N/A N/A 1.1 0.2 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Developed Europe Equity Factor Base 1.0 1.0 1.0 1.0 1.0 2.5 2.2 2.2 2.2 2.3
Index to benchmark Beta Annualized information ratio
STOXX Developed Europe Equity Factor Base 1.1 1.0 1.0 1.0 1.0 -1.5 -0.9 -0.5 -0.5 0.0

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

2Based on EURIBOR1M

(USD, Net Return), all data as of August 30, 2024

FACTOR & STRATEGY INDICES

STOXX Developed Europe Equity Factor Base

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 Developed Europe Equity Factor Base 13.4 11.3 12.7 12.7 1.6 3.6 0.9 7.6
STOXX Developed Europe 18.7 14.4 16.5 16.5 2.1 3.1 1.4 15.2

Performance and annual returns

Methodology

The STOXX Developed Europe Equity Factor Base Index is constructed by maximizing the index exposure to a multi-factor alpha signal while satisfying a set of constraints intended to closely track its parent index.

Universe: the constituents of the STOXX Developed Europe Equity Factor Base Index are selected from its parent index STOXX Developed Europe.

Weighting scheme: the final index weights are the result of an optimization process. The indices are optimized to maximize exposure to select factors subject to constraints.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1357496301 SEFBER .SEFBER
Gross Return EUR CH1357496319 SEFBEGR .SEFBEGR
Price EUR CH1357496293 SEFBEP .SEFBEP
Price GBP CH1357496350 SEFBEGB .SEFBEGB
Net Return GBP CH1357496368 SEFBEHB .SEFBEHB
Gross Return GBP CH1357496376 SEFBEGHB .SEFBEGHB
Gross Return USD CH1357496343 SEFBEGV .SEFBEGV
Net Return USD CH1357496335 SEFBEV .SEFBEV
Price USD CH1357496327 SEFBEL .SEFBEL

Quick Facts

Weighting Optimization
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 100 as of Mar. 20, 2000
History Available since 20 Mar 2000
Inception date July. 04, 2024
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

FACTOR & STRATEGY INDICES

STOXX Developed Europe Equity Factor Base

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 6.274%
ASML HLDG Technology Netherlands 3.270%
MUENCHENER RUECK Insurance Germany 2.697%
AHOLD DELHAIZE Personal Care, Drug and Grocery Stores Netherlands 2.220%
LVMH MOET HENNESSY Consumer Products and Services France 2.073%
UBS GROUP Financial Services Switzerland 1.946%
REPSOL Energy Spain 1.910%
CREDIT AGRICOLE Banks France 1.865%
AIB GROUP Banks Ireland 1.826%
NOVARTIS Health Care Switzerland 1.800%

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

4Based on the composition as of August 30, 2024