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FACTOR & STRATEGY INDICES

STOXX US 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 US Equity Factor Base N/A 114.4 0.2 0.0 7.3 0.0 6.3 0.0 19.2
STOXX US 52,325.5 50,099.1 86.5 31.8 3,434.8 0.7 6.9 0.0 2.2

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 US Equity Factor Base -0.7 23.6 41.5 28.9 102.8 N/A N/A 41.3 8.8 15.1
STOXX US -0.8 20.8 38.5 26.2 102.5 N/A N/A 38.3 8.0 15.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX US Equity Factor Base N/A N/A 12.5 18.0 22.0 N/A N/A 2.7 0.4 0.6
STOXX US N/A N/A 12.5 18.0 21.5 N/A N/A 2.5 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX US Equity Factor Base 1.0 1.0 1.0 1.0 1.0 2.4 2.7 2.6 2.5 2.5
Index to benchmark Beta Annualized information ratio
STOXX US Equity Factor Base 1.0 1.0 1.0 1.0 1.0 0.4 1.0 0.8 0.3 0.0

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of October 31, 2024

FACTOR & STRATEGY INDICES

STOXX US 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 US Equity Factor Base 22.5 20.6 21.3 21.3 5.2 2.1 1.9 22.5
STOXX US 28.4 24.2 26.4 26.4 5.4 1.9 3.1 25.7

Performance and annual returns