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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 108.7 0.2 0.0 6.8 0.0 6.2 0.0 19.2
STOXX US 55,526.9 53,097.0 91.9 34.0 3,608.4 0.6 6.8 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 6.3 29.9 36.0 31.4 92.1 N/A N/A 36.0 9.5 13.9
STOXX US 6.0 26.7 32.5 29.6 91.9 N/A N/A 32.5 9.0 13.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX US Equity Factor Base N/A N/A 12.7 18.1 22.0 N/A N/A 2.2 0.3 0.5
STOXX US N/A N/A 12.5 18.1 21.6 N/A N/A 2.0 0.3 0.5
Index to benchmark Correlation Tracking error (%)
STOXX US Equity Factor Base 1.0 1.0 1.0 1.0 1.0 2.3 2.6 2.6 2.4 2.5
Index to benchmark Beta Annualized information ratio
STOXX US Equity Factor Base 1.1 1.0 1.0 1.0 1.0 1.8 1.0 1.0 0.2 0.0

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

2Based on EURIBOR1M

(USD, Price), all data as of November 29, 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 27.3 21.9 25.4 25.4 5.5 1.4 2.1 19.6
STOXX US 31.6 25.5 29.2 29.2 5.7 1.2 3.3 19.5

Performance and annual returns

Methodology

The STOXX US 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 US Equity Factor Base Index are selected from its parent index STOXX US.

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
Price EUR CH1357496202 SEFBUP .SEFBUP
Gross Return EUR CH1357496228 SEFBUGR .SEFBUGR
Net Return EUR CH1357496210 SEFBUR .SEFBUR
Gross Return GBP CH1357496285 SEFBUGHB .SEFBUGHB
Price GBP CH1357496269 SEFBUGB .SEFBUGB
Net Return GBP CH1357496277 SEFBUHB .SEFBUHB
Price USD CH1357496236 SEFBUL .SEFBUL
Gross Return USD CH1357496251 SEFBUGV .SEFBUGV
Net Return USD CH1357496244 SEFBUV .SEFBUV

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.

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 6.244%
NVIDIA Corp. Technology USA 6.136%
Apple Inc. Technology USA 5.647%
ALPHABET CLASS C Technology USA 3.061%
BROADCOM Technology USA 2.944%
FAIR ISAAC Industrial Goods and Services USA 1.865%
JPMorgan Chase & Co. Banks USA 1.848%
CADENCE DESIGN SYS. Technology USA 1.681%
Amazon.com Inc. Retail USA 1.662%
ARISTA NETWORKS Telecommunications USA 1.484%

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

4Based on the composition as of November 29, 2024