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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 | 55,522.3 | 53,092.6 | 91.9 | 34.0 | 3,608.4 | 0.6 | 6.8 | 0.0 | 2.2 |
Supersector weighting (top 10)
Technology | 35.1 |
---|---|
Health Care | 10.0 |
Industrial Goods and Services | 9.0 |
Retail | 5.7 |
Financial Services | 3.8 |
Telecommunications | 3.8 |
Utilities | 3.6 |
Insurance | 3.5 |
Personal Care, Drug and Grocery Stores | 3.5 |
Consumer Products and Services | 3.3 |
Country weighting
USA | 100.0 |
---|
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 | 6.4 | 31.1 | 37.4 | 36.1 | 103.8 | N/A | N/A | 37.4 | 10.8 | 15.3 |
STOXX US | 6.1 | 27.7 | 33.7 | 33.7 | 102.4 | N/A | N/A | 33.7 | 10.1 | 15.1 |
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 | 0.4 | 0.6 |
STOXX US | N/A | N/A | 12.5 | 18.1 | 21.6 | N/A | N/A | 2.1 | 0.4 | 0.6 |
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 | 1.1 | 1.1 | 0.2 | 0.1 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(USD, Net Return), 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
STOXX US Equity Factor Base | |
---|---|
953510400000 | 100 |
953596800000 | 102.62 |
953683200000 | 103.83 |
953769600000 | 105.86 |
953856000000 | 105.85 |
954115200000 | 105.23 |
954201600000 | 104.09 |
954288000000 | 103.62 |
954374400000 | 102.55 |
954460800000 | 103.71 |
954720000000 | 103.19 |
954806400000 | 102.29 |
954892800000 | 102.66 |
954979200000 | 104.15 |
955065600000 | 105.6 |
955324800000 | 103.99 |
955411200000 | 103.71 |
955497600000 | 101.72 |
955584000000 | 100.21 |
955670400000 | 93.68 |
955929600000 | 97.69 |
956016000000 | 100.63 |
956102400000 | 98.91 |
956188800000 | 99.55 |
956275200000 | 99.55 |
956534400000 | 99.41 |
956620800000 | 103.22 |
956707200000 | 101.75 |
956793600000 | 102.28 |
956880000000 | 101.91 |
957139200000 | 103.24 |
957225600000 | 101.18 |
957312000000 | 99.04 |
957398400000 | 98.82 |
957484800000 | 100.64 |
957744000000 | 99.84 |
957830400000 | 98.78 |
957916800000 | 96.52 |
958003200000 | 98.33 |
958089600000 | 99.4 |
958348800000 | 101.88 |
958435200000 | 103.13 |
958521600000 | 101.86 |
958608000000 | 101.32 |
958694400000 | 99.06 |
958953600000 | 98.64 |
959040000000 | 96.75 |
959126400000 | 98.3 |
959212800000 | 96.9 |
959299200000 | 96.38 |
959558400000 | 96.38 |
959644800000 | 99.97 |
959731200000 | 99.73 |
959817600000 | 102.12 |
959904000000 | 104.34 |
960163200000 | 103.77 |
960249600000 | 102.65 |
960336000000 | 103.91 |
960422400000 | 103.2 |
960508800000 | 103.07 |
960768000000 | 102.12 |
960854400000 | 103.73 |
960940800000 | 103.65 |
961027200000 | 104.2 |
961113600000 | 102.86 |
961372800000 | 104.74 |
961459200000 | 104.08 |
961545600000 | 104.39 |
961632000000 | 102.41 |
961718400000 | 101.66 |
961977600000 | 102.98 |
962064000000 | 102.49 |
962150400000 | 102.86 |
962236800000 | 102.2 |
962323200000 | 102.69 |
962582400000 | 103.7 |
962668800000 | 103.7 |
962755200000 | 101.97 |
962841600000 | 103.12 |
962928000000 | 104.86 |
963187200000 | 105.01 |
963273600000 | 105.42 |
963360000000 | 106.39 |
963446400000 | 106.54 |
963532800000 | 107.4 |
963792000000 | 107.55 |
963878400000 | 106.14 |
963964800000 | 104.83 |
964051200000 | 106.01 |
964137600000 | 105.1 |
964396800000 | 103.73 |
964483200000 | 104.16 |
964569600000 | 102.64 |
964656000000 | 102.47 |
964742400000 | 100.19 |
965001600000 | 101.18 |
965088000000 | 101.71 |
965174400000 | 101.74 |
965260800000 | 103 |
965347200000 | 103.69 |
965606400000 | 104.98 |
965692800000 | 105.39 |
965779200000 | 104.72 |
965865600000 | 103.99 |
965952000000 | 105.29 |
966211200000 | 106.61 |
966297600000 | 106.17 |
966384000000 | 105.91 |
966470400000 | 107.23 |
966556800000 | 106.79 |
966816000000 | 107.24 |
966902400000 | 107.42 |
966988800000 | 108.1 |
967075200000 | 108.11 |
967161600000 | 107.78 |
967420800000 | 108.28 |
967507200000 | 108.09 |
967593600000 | 107.89 |
967680000000 | 109.2 |
967766400000 | 109.64 |
968025600000 | 109.64 |
968112000000 | 108.99 |
968198400000 | 107.8 |
968284800000 | 108.91 |
968371200000 | 108.31 |
968630400000 | 108.06 |
968716800000 | 107.86 |
968803200000 | 108.05 |
968889600000 | 107.9 |
968976000000 | 106.61 |
969235200000 | 105.06 |
969321600000 | 106.35 |
969408000000 | 106.1 |
969494400000 | 105.98 |
969580800000 | 106.25 |
969840000000 | 105.46 |
969926400000 | 104.6 |
970012800000 | 104.58 |
970099200000 | 106.98 |
970185600000 | 105.16 |
970444800000 | 105.05 |
970531200000 | 103.52 |
970617600000 | 104.08 |
970704000000 | 104.09 |
970790400000 | 101.92 |
971049600000 | 101.6 |
971136000000 | 100.09 |
971222400000 | 98.8 |
971308800000 | 96.29 |
971395200000 | 100.08 |
971654400000 | 100.47 |
971740800000 | 98.8 |
971827200000 | 98 |
971913600000 | 101.52 |
972000000000 | 102.07 |
972259200000 | 101.96 |
972345600000 | 102.03 |
972432000000 | 99.86 |
972518400000 | 99.82 |
972604800000 | 101.03 |
972864000000 | 102.04 |
972950400000 | 104.4 |
973036800000 | 103.78 |
973123200000 | 104.62 |
973209600000 | 104.58 |
973468800000 | 104.9 |
973555200000 | 104.6 |
973641600000 | 102.67 |
973728000000 | 102.12 |
973814400000 | 99.48 |
974073600000 | 98.16 |
974160000000 | 100.82 |
974246400000 | 101.61 |
974332800000 | 100.24 |
974419200000 | 100.09 |
974678400000 | 97.79 |
974764800000 | 97.84 |
974851200000 | 95.91 |
974937600000 | 95.91 |
975024000000 | 97.56 |
975283200000 | 98.02 |
975369600000 | 96.91 |
975456000000 | 97.32 |
975542400000 | 95.59 |
975628800000 | 95.61 |
975888000000 | 96.25 |
975974400000 | 100.52 |
976060800000 | 98.53 |
976147200000 | 97.94 |
976233600000 | 100.25 |
976492800000 | 100.93 |
976579200000 | 100.22 |
976665600000 | 99.27 |
976752000000 | 97.59 |
976838400000 | 95.88 |
977097600000 | 96.52 |
977184000000 | 94.98 |
977270400000 | 91.96 |
977356800000 | 92.4 |
977443200000 | 94.88 |
977702400000 | 95.39 |
977788800000 | 95.99 |
977875200000 | 97.58 |
977961600000 | 98.18 |
978048000000 | 96.94 |
978393600000 | 93.61 |
978480000000 | 98.62 |
978566400000 | 97.47 |
978652800000 | 94.8 |
978912000000 | 94.62 |
978998400000 | 95.12 |
979084800000 | 96.26 |
979171200000 | 97.49 |
979257600000 | 96.89 |
979516800000 | 96.89 |
979603200000 | 97.43 |
979689600000 | 97.83 |
979776000000 | 99.13 |
979862400000 | 98.31 |
980121600000 | 98.48 |
980208000000 | 100.01 |
980294400000 | 100.08 |
980380800000 | 99.56 |
980467200000 | 99.31 |
980726400000 | 100.04 |
980812800000 | 100.67 |
980899200000 | 99.9 |
980985600000 | 100.5 |
981072000000 | 98.66 |
981331200000 | 99.06 |
981417600000 | 98.92 |
981504000000 | 97.98 |
981590400000 | 97.33 |
981676800000 | 96.07 |
981936000000 | 97.13 |
982022400000 | 96.17 |
982108800000 | 96.26 |
982195200000 | 97.23 |
982281600000 | 95.5 |
982540800000 | 95.5 |
982627200000 | 93.78 |
982713600000 | 92.09 |
982800000000 | 91.9 |
982886400000 | 91.66 |
983145600000 | 93.22 |
983232000000 | 92.25 |
983318400000 | 90.9 |
983404800000 | 91.06 |
983491200000 | 90.57 |
983750400000 | 91.14 |
983836800000 | 92.03 |
983923200000 | 92.6 |
984009600000 | 92.69 |
984096000000 | 90.41 |
984355200000 | 86.77 |
984441600000 | 88.18 |
984528000000 | 85.74 |
984614400000 | 85.77 |
984700800000 | 84.01 |
984960000000 | 85.72 |
985046400000 | 83.52 |
985132800000 | 82 |
985219200000 | 81.84 |
985305600000 | 83.46 |
985564800000 | 84.38 |
985651200000 | 86.28 |
985737600000 | 84 |
985824000000 | 83.76 |
985910400000 | 84.62 |
986169600000 | 83.61 |
986256000000 | 80.75 |
986342400000 | 80.73 |
986428800000 | 84.31 |
986515200000 | 82.33 |
986774400000 | 83.03 |
986860800000 | 85.4 |
986947200000 | 85.19 |
987033600000 | 86.54 |
987120000000 | 86.54 |
987379200000 | 86.16 |
987465600000 | 87.07 |
987552000000 | 90.56 |
987638400000 | 91.83 |
987724800000 | 91.12 |
987984000000 | 89.64 |
988070400000 | 88.57 |
988156800000 | 90.08 |
988243200000 | 90.41 |
988329600000 | 92.04 |
988588800000 | 91.76 |
988675200000 | 92.89 |
988761600000 | 93.24 |
988848000000 | 91.94 |
988934400000 | 93.23 |
989193600000 | 92.98 |
989280000000 | 92.87 |
989366400000 | 92.39 |
989452800000 | 92.4 |
989539200000 | 91.76 |
989798400000 | 91.99 |
989884800000 | 92.1 |
989971200000 | 94.86 |
990057600000 | 95.09 |
990144000000 | 95.23 |
990403200000 | 96.98 |
990489600000 | 96.69 |
990576000000 | 95.13 |
990662400000 | 95.45 |
990748800000 | 94.33 |
991008000000 | 94.33 |
991094400000 | 93.56 |
991180800000 | 91.94 |
991267200000 | 92.59 |
991353600000 | 93.05 |
991612800000 | 93.46 |
991699200000 | 94.89 |
991785600000 | 93.99 |
991872000000 | 94.57 |
991958400000 | 93.65 |
992217600000 | 92.86 |
992304000000 | 92.95 |
992390400000 | 91.74 |
992476800000 | 90.12 |
992563200000 | 89.89 |
992822400000 | 89.71 |
992908800000 | 90.13 |
992995200000 | 91.2 |
993081600000 | 92.28 |
993168000000 | 91.29 |
993427200000 | 90.86 |
993513600000 | 90.69 |
993600000000 | 90.4 |
993686400000 | 91.74 |
993772800000 | 91.63 |
994032000000 | 92.53 |
994118400000 | 92.41 |
994204800000 | 92.41 |
994291200000 | 91.21 |
994377600000 | 89.05 |
994636800000 | 89.71 |
994723200000 | 88.25 |
994809600000 | 88.11 |
994896000000 | 90.35 |
994982400000 | 90.83 |
995241600000 | 89.71 |
995328000000 | 90.83 |
995414400000 | 90 |
995500800000 | 90.55 |
995587200000 | 90.14 |
995846400000 | 88.58 |
995932800000 | 87.33 |
996019200000 | 88.36 |
996105600000 | 89.46 |
996192000000 | 89.63 |
996451200000 | 89.53 |
996537600000 | 90.08 |
996624000000 | 90.66 |
996710400000 | 91.15 |
996796800000 | 90.68 |
997056000000 | 89.5 |
997142400000 | 89.84 |
997228800000 | 88.33 |
997315200000 | 88.26 |
997401600000 | 88.63 |
997660800000 | 88.77 |
997747200000 | 88.38 |
997833600000 | 87.54 |
997920000000 | 87.81 |
998006400000 | 86.33 |
998265600000 | 87.15 |
998352000000 | 85.91 |
998438400000 | 86.66 |
998524800000 | 86.52 |
998611200000 | 88.28 |
998870400000 | 88.04 |
998956800000 | 86.75 |
999043200000 | 85.82 |
999129600000 | 84.33 |
999216000000 | 84.63 |
999475200000 | 84.63 |
999561600000 | 84.62 |
999648000000 | 84.66 |
999734400000 | 82.83 |
999820800000 | 81.24 |
1000080000000 | 81.72 |
1000166400000 | 81.72 |
1000252800000 | 81.72 |
1000339200000 | 81.72 |
1000425600000 | 81.72 |
1000684800000 | 77.53 |
1000771200000 | 76.93 |
1000857600000 | 75.68 |
1000944000000 | 73.25 |
1001030400000 | 71.83 |
1001289600000 | 74.3 |
1001376000000 | 74.82 |
1001462400000 | 74.59 |
1001548800000 | 75.48 |
1001635200000 | 76.97 |
1001894400000 | 76.86 |
1001980800000 | 77.77 |
1002067200000 | 79.52 |
1002153600000 | 79.58 |
1002240000000 | 79.78 |
1002499200000 | 79.27 |
1002585600000 | 78.87 |
1002672000000 | 80.6 |
1002758400000 | 81.78 |
1002844800000 | 81.38 |
1003104000000 | 81.24 |
1003190400000 | 81.84 |
1003276800000 | 80.23 |
1003363200000 | 79.65 |
1003449600000 | 80.07 |
1003708800000 | 81.32 |
1003795200000 | 81.08 |
1003881600000 | 81.19 |
1003968000000 | 82.24 |
1004054400000 | 82.49 |
1004313600000 | 80.5 |
1004400000000 | 79.1 |
1004486400000 | 79.22 |
1004572800000 | 81 |
1004659200000 | 81.24 |
1004918400000 | 82.5 |
1005004800000 | 83.81 |
1005091200000 | 83.72 |
1005177600000 | 83.77 |
1005264000000 | 83.91 |
1005523200000 | 83.78 |
1005609600000 | 85.28 |
1005696000000 | 85.51 |
1005782400000 | 85.66 |
1005868800000 | 85.41 |
1006128000000 | 86.51 |
1006214400000 | 85.8 |
1006300800000 | 85.36 |
1006387200000 | 85.36 |
1006473600000 | 86.33 |
1006732800000 | 87.04 |
1006819200000 | 86.42 |
1006905600000 | 84.94 |
1006992000000 | 85.98 |
1007078400000 | 85.87 |
1007337600000 | 85.06 |
1007424000000 | 86.2 |
1007510400000 | 88.13 |
1007596800000 | 88.03 |
1007683200000 | 87.44 |
1007942400000 | 86.22 |
1008028800000 | 86.09 |
1008115200000 | 86.03 |
1008201600000 | 84.73 |
1008288000000 | 84.89 |
1008547200000 | 85.62 |
1008633600000 | 86.44 |
1008720000000 | 87.01 |
1008806400000 | 86.2 |
1008892800000 | 86.52 |
1009152000000 | 86.63 |
1009238400000 | 86.63 |
1009324800000 | 86.99 |
1009411200000 | 87.62 |
1009497600000 | 87.91 |
1009756800000 | 86.92 |
1009929600000 | 87.45 |
1010016000000 | 88.21 |
1010102400000 | 88.91 |
1010361600000 | 88.32 |
1010448000000 | 88.18 |
1010534400000 | 88.07 |
1010620800000 | 88.2 |
1010707200000 | 87.57 |
1010966400000 | 87.14 |
1011052800000 | 87.84 |
1011139200000 | 86.44 |
1011225600000 | 87.32 |
1011312000000 | 86.51 |
1011571200000 | 86.51 |
1011657600000 | 85.76 |
1011744000000 | 86.49 |
1011830400000 | 86.7 |
1011916800000 | 86.77 |
1012176000000 | 86.83 |
1012262400000 | 84.56 |
1012348800000 | 85.44 |
1012435200000 | 86.61 |
1012521600000 | 86.08 |
1012780800000 | 84.05 |
1012867200000 | 83.79 |
1012953600000 | 83.15 |
1013040000000 | 82.82 |
1013126400000 | 83.91 |
1013385600000 | 85.04 |
1013472000000 | 84.75 |
1013558400000 | 85.69 |
1013644800000 | 85.62 |
1013731200000 | 84.66 |
1013990400000 | 84.66 |
1014076800000 | 83.17 |
1014163200000 | 84.34 |
1014249600000 | 82.97 |
1014336000000 | 83.61 |
1014595200000 | 85.13 |
1014681600000 | 85.23 |
1014768000000 | 85.24 |
1014854400000 | 85.05 |
1014940800000 | 86.96 |
1015200000000 | 88.66 |
1015286400000 | 88.33 |
1015372800000 | 89.53 |
1015459200000 | 89.2 |
1015545600000 | 89.79 |
1015804800000 | 90.23 |
1015891200000 | 90.06 |
1015977600000 | 89.14 |
1016064000000 | 89.07 |
1016150400000 | 89.92 |
1016409600000 | 89.8 |
1016496000000 | 90.21 |
1016582400000 | 88.8 |
1016668800000 | 88.98 |
1016755200000 | 88.68 |
1017014400000 | 87.32 |
1017100800000 | 87.84 |
1017187200000 | 88.35 |
1017273600000 | 88.76 |
1017360000000 | 88.77 |
1017619200000 | 88.63 |
1017705600000 | 87.73 |
1017792000000 | 86.94 |
1017878400000 | 86.97 |
1017964800000 | 86.79 |
1018224000000 | 87.05 |
1018310400000 | 86.56 |
1018396800000 | 87.54 |
1018483200000 | 85.56 |
1018569600000 | 85.98 |
1018828800000 | 85.46 |
1018915200000 | 87.3 |
1019001600000 | 86.96 |
1019088000000 | 87.04 |
1019174400000 | 87.2 |
1019433600000 | 86.06 |
1019520000000 | 85.7 |
1019606400000 | 85.08 |
1019692800000 | 84.9 |
1019779200000 | 83.88 |
1020038400000 | 83.26 |
1020124800000 | 84.08 |
1020211200000 | 84.86 |
1020297600000 | 84.81 |
1020384000000 | 83.98 |
1020643200000 | 82.5 |
1020729600000 | 82.1 |
1020816000000 | 84.88 |
1020902400000 | 83.78 |
1020988800000 | 82.43 |
1021248000000 | 83.8 |
1021334400000 | 85.52 |
1021420800000 | 85.17 |
1021507200000 | 85.62 |
1021593600000 | 86.16 |
1021852800000 | 85.17 |
1021939200000 | 84.23 |
1022025600000 | 84.59 |
1022112000000 | 85.46 |
1022198400000 | 84.58 |
1022457600000 | 84.58 |
1022544000000 | 83.86 |
1022630400000 | 83.57 |
1022716800000 | 83.41 |
1022803200000 | 83.79 |
1023062400000 | 81.84 |
1023148800000 | 81.89 |
1023235200000 | 82.71 |
1023321600000 | 81.18 |
1023408000000 | 81.27 |
1023667200000 | 81.51 |
1023753600000 | 80.39 |
1023840000000 | 80.71 |
1023926400000 | 79.88 |
1024012800000 | 79.48 |
1024272000000 | 81.57 |
1024358400000 | 81.65 |
1024444800000 | 80.47 |
1024531200000 | 79.46 |
1024617600000 | 77.97 |
1024876800000 | 77.75 |
1024963200000 | 76.46 |
1025049600000 | 76.3 |
1025136000000 | 77.44 |
1025222400000 | 77.56 |
1025481600000 | 75.97 |
1025568000000 | 74.31 |
1025654400000 | 74.53 |
1025740800000 | 74.53 |
1025827200000 | 77.25 |
1026086400000 | 76.42 |
1026172800000 | 74.27 |
1026259200000 | 71.92 |
1026345600000 | 72.29 |
1026432000000 | 71.88 |
1026691200000 | 71.61 |
1026777600000 | 70.36 |
1026864000000 | 70.8 |
1026950400000 | 68.9 |
1027036800000 | 66.51 |
1027296000000 | 64.18 |
1027382400000 | 62.4 |
1027468800000 | 65.95 |
1027555200000 | 65.79 |
1027641600000 | 66.66 |
1027900800000 | 70.17 |
1027987200000 | 70.63 |
1028073600000 | 71.19 |
1028160000000 | 69.06 |
1028246400000 | 67.44 |
1028505600000 | 65.39 |
1028592000000 | 67.34 |
1028678400000 | 68.52 |
1028764800000 | 70.64 |
1028851200000 | 70.94 |
1029110400000 | 70.57 |
1029196800000 | 69 |
1029283200000 | 71.67 |
1029369600000 | 72.48 |
1029456000000 | 72.42 |
1029715200000 | 74.16 |
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1464048000000 | 276.88 |
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1466035200000 | 277.58 |
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1466553600000 | 278.11 |
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1467331200000 | 281.1 |
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1468800000000 | 289.71 |
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1541030400000 | 389.19 |
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1541376000000 | 389.25 |
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1549584000000 | 384.35 |
1549843200000 | 383.45 |
1549929600000 | 388.38 |
1550016000000 | 389.7 |
1550102400000 | 389.52 |
1550188800000 | 394.19 |
1550448000000 | 394.19 |
1550534400000 | 394.64 |
1550620800000 | 395.85 |
1550707200000 | 394.23 |
1550793600000 | 398.27 |
1551052800000 | 398.57 |
1551139200000 | 398.25 |
1551225600000 | 397.94 |
1551312000000 | 395.18 |
1551398400000 | 398.06 |
1551657600000 | 394.68 |
1551744000000 | 393.8 |
1551830400000 | 391.03 |
1551916800000 | 387.63 |
1552003200000 | 387.05 |
1552262400000 | 392.91 |
1552348800000 | 393.44 |
1552435200000 | 396.34 |
1552521600000 | 396.34 |
1552608000000 | 399 |
1552867200000 | 401 |
1552953600000 | 400.84 |
1553040000000 | 398.56 |
1553126400000 | 404.22 |
1553212800000 | 395.6 |
1553472000000 | 395.26 |
1553558400000 | 397.25 |
1553644800000 | 395.38 |
1553731200000 | 396.72 |
1553817600000 | 400.18 |
1554076800000 | 405.33 |
1554163200000 | 405.06 |
1554249600000 | 406.52 |
1554336000000 | 406.97 |
1554422400000 | 409.3 |
1554681600000 | 409.69 |
1554768000000 | 406.85 |
1554854400000 | 408.9 |
1554940800000 | 409 |
1555027200000 | 410.36 |
1555286400000 | 410.6 |
1555372800000 | 410.25 |
1555459200000 | 408.66 |
1555545600000 | 408.98 |
1555632000000 | 408.98 |
1555891200000 | 409.42 |
1555977600000 | 413.6 |
1556064000000 | 412.78 |
1556150400000 | 412.69 |
1556236800000 | 414.59 |
1556496000000 | 414.28 |
1556582400000 | 415.45 |
1556668800000 | 412.14 |
1556755200000 | 411.79 |
1556841600000 | 414.87 |
1557100800000 | 413.38 |
1557187200000 | 406.64 |
1557273600000 | 406.19 |
1557360000000 | 405.13 |
1557446400000 | 407.07 |
1557705600000 | 395.94 |
1557792000000 | 400.1 |
1557878400000 | 402.48 |
1557964800000 | 407.27 |
1558051200000 | 405.91 |
1558310400000 | 403.54 |
1558396800000 | 407.23 |
1558483200000 | 405.47 |
1558569600000 | 400.5 |
1558656000000 | 401.84 |
1558915200000 | 401.84 |
1559001600000 | 397.55 |
1559088000000 | 394.93 |
1559174400000 | 395.68 |
1559260800000 | 389.53 |
1559520000000 | 388.99 |
1559606400000 | 398.1 |
1559692800000 | 401.3 |
1559779200000 | 403.28 |
1559865600000 | 407.21 |
1560124800000 | 409.74 |
1560211200000 | 408.83 |
1560297600000 | 408.18 |
1560384000000 | 410.04 |
1560470400000 | 409.44 |
1560729600000 | 409.39 |
1560816000000 | 413.33 |
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1561075200000 | 417.82 |
1561334400000 | 416.92 |
1561420800000 | 412.69 |
1561507200000 | 412.86 |
1561593600000 | 414.76 |
1561680000000 | 417.24 |
1561939200000 | 419.89 |
1562025600000 | 420.88 |
1562112000000 | 424.33 |
1562198400000 | 424.33 |
1562284800000 | 424.11 |
1562544000000 | 421.9 |
1562630400000 | 422.32 |
1562716800000 | 424.13 |
1562803200000 | 426.82 |
1562889600000 | 430.06 |
1563148800000 | 430.09 |
1563235200000 | 428.07 |
1563321600000 | 426.4 |
1563408000000 | 428.54 |
1563494400000 | 426.5 |
1563753600000 | 427.77 |
1563840000000 | 430 |
1563926400000 | 432.2 |
1564012800000 | 430.14 |
1564099200000 | 432.93 |
1564358400000 | 431.78 |
1564444800000 | 430.11 |
1564531200000 | 426.18 |
1564617600000 | 421.35 |
1564704000000 | 417.25 |
1564963200000 | 404.2 |
1565049600000 | 410.09 |
1565136000000 | 410.4 |
1565222400000 | 418.18 |
1565308800000 | 415.7 |
1565568000000 | 410.39 |
1565654400000 | 417.04 |
1565740800000 | 403.07 |
1565827200000 | 403.45 |
1565913600000 | 408.9 |
1566172800000 | 413.29 |
1566259200000 | 410.1 |
1566345600000 | 413.56 |
1566432000000 | 413.33 |
1566518400000 | 402.29 |
1566777600000 | 405.87 |
1566864000000 | 403.61 |
1566950400000 | 405.45 |
1567036800000 | 411.11 |
1567123200000 | 411.94 |
1567382400000 | 411.94 |
1567468800000 | 409.06 |
1567555200000 | 413.33 |
1567641600000 | 419.02 |
1567728000000 | 419.96 |
1567987200000 | 419.46 |
1568073600000 | 419.74 |
1568160000000 | 421.86 |
1568246400000 | 422.57 |
1568332800000 | 422.12 |
1568592000000 | 421.67 |
1568678400000 | 423.17 |
1568764800000 | 423.34 |
1568851200000 | 423.61 |
1568937600000 | 421.29 |
1569196800000 | 421.94 |
1569283200000 | 418.76 |
1569369600000 | 421.72 |
1569456000000 | 421.19 |
1569542400000 | 418.37 |
1569801600000 | 420.53 |
1569888000000 | 415.61 |
1569974400000 | 408.27 |
1570060800000 | 411.12 |
1570147200000 | 416.31 |
1570406400000 | 414.81 |
1570492800000 | 408.42 |
1570579200000 | 412.37 |
1570665600000 | 414.67 |
1570752000000 | 419.09 |
1571011200000 | 418.55 |
1571097600000 | 422.89 |
1571184000000 | 421.29 |
1571270400000 | 421.79 |
1571356800000 | 419.14 |
1571616000000 | 422 |
1571702400000 | 419.88 |
1571788800000 | 420.73 |
1571875200000 | 423 |
1571961600000 | 424.88 |
1572220800000 | 427.43 |
1572307200000 | 427.92 |
1572393600000 | 429.58 |
1572480000000 | 427.19 |
1572566400000 | 430.38 |
1572825600000 | 431.13 |
1572912000000 | 430.86 |
1572998400000 | 431.93 |
1573084800000 | 433.61 |
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1573430400000 | 434.02 |
1573516800000 | 434.8 |
1573603200000 | 434.4 |
1573689600000 | 435.24 |
1573776000000 | 439.91 |
1574035200000 | 440.47 |
1574121600000 | 439.08 |
1574208000000 | 437.43 |
1574294400000 | 435.9 |
1574380800000 | 436.65 |
1574640000000 | 440.17 |
1574726400000 | 441.66 |
1574812800000 | 442.83 |
1574899200000 | 442.83 |
1574985600000 | 440.99 |
1575244800000 | 436.52 |
1575331200000 | 433.02 |
1575417600000 | 435.74 |
1575504000000 | 436.2 |
1575590400000 | 439.65 |
1575849600000 | 438.72 |
1575936000000 | 438.62 |
1576022400000 | 439.22 |
1576108800000 | 443.25 |
1576195200000 | 443.45 |
1576454400000 | 446.81 |
1576540800000 | 447.12 |
1576627200000 | 447.26 |
1576713600000 | 449.31 |
1576800000000 | 451.79 |
1577059200000 | 451.67 |
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1577404800000 | 453.24 |
1577664000000 | 451.12 |
1577750400000 | 451.74 |
1577923200000 | 455.61 |
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1578268800000 | 454.79 |
1578355200000 | 454.05 |
1578441600000 | 456.54 |
1578528000000 | 459.9 |
1578614400000 | 458.8 |
1578873600000 | 460.92 |
1578960000000 | 460.51 |
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1579132800000 | 465.44 |
1579219200000 | 466.44 |
1579478400000 | 466.44 |
1579564800000 | 465.25 |
1579651200000 | 465.58 |
1579737600000 | 466.76 |
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1580083200000 | 455.4 |
1580169600000 | 460 |
1580256000000 | 460.06 |
1580342400000 | 462.05 |
1580428800000 | 452.78 |
1580688000000 | 455.99 |
1580774400000 | 462.88 |
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1580947200000 | 469.16 |
1581033600000 | 466.13 |
1581292800000 | 469.5 |
1581379200000 | 472.06 |
1581465600000 | 475.28 |
1581552000000 | 475.3 |
1581638400000 | 476.29 |
1581897600000 | 476.29 |
1581984000000 | 474.76 |
1582070400000 | 476.5 |
1582156800000 | 473.93 |
1582243200000 | 468.83 |
1582502400000 | 453.77 |
1582588800000 | 440.26 |
1582675200000 | 438.46 |
1582761600000 | 419.65 |
1582848000000 | 414.6 |
1583107200000 | 433.94 |
1583193600000 | 420.6 |
1583280000000 | 439.31 |
1583366400000 | 425.34 |
1583452800000 | 418.27 |
1583712000000 | 385.61 |
1583798400000 | 404.12 |
1583884800000 | 383.73 |
1583971200000 | 345.71 |
1584057600000 | 376.19 |
1584316800000 | 327.27 |
1584403200000 | 346.32 |
1584489600000 | 325.4 |
1584576000000 | 327.23 |
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1584921600000 | 304.61 |
1585008000000 | 336.72 |
1585094400000 | 343.43 |
1585180800000 | 365.54 |
1585267200000 | 351.61 |
1585526400000 | 363.53 |
1585612800000 | 355.13 |
1585699200000 | 339.06 |
1585785600000 | 346.02 |
1585872000000 | 340.8 |
1586131200000 | 365.97 |
1586217600000 | 365.65 |
1586304000000 | 379.3 |
1586390400000 | 384.56 |
1586476800000 | 384.56 |
1586736000000 | 380.78 |
1586822400000 | 392.79 |
1586908800000 | 382.22 |
1586995200000 | 385.71 |
1587081600000 | 398.15 |
1587340800000 | 390.15 |
1587427200000 | 377.05 |
1587513600000 | 387.13 |
1587600000000 | 385.77 |
1587686400000 | 391.05 |
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1588032000000 | 396.55 |
1588118400000 | 408.47 |
1588204800000 | 402.4 |
1588291200000 | 389.91 |
1588550400000 | 392.79 |
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1588723200000 | 393.38 |
1588809600000 | 398.67 |
1588896000000 | 405.34 |
1589155200000 | 405.59 |
1589241600000 | 397.61 |
1589328000000 | 389.91 |
1589414400000 | 396.26 |
1589500800000 | 398.67 |
1589760000000 | 410.99 |
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1589932800000 | 412.91 |
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1590105600000 | 409.71 |
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1590451200000 | 413.99 |
1590537600000 | 420.11 |
1590624000000 | 419.23 |
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1591056000000 | 426.97 |
1591142400000 | 433.67 |
1591228800000 | 431.41 |
1591315200000 | 443.66 |
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1591660800000 | 444.07 |
1591747200000 | 442.08 |
1591833600000 | 414.88 |
1591920000000 | 420.62 |
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1592265600000 | 431.77 |
1592352000000 | 429.57 |
1592438400000 | 430.34 |
1592524800000 | 427.7 |
1592784000000 | 431.16 |
1592870400000 | 432.54 |
1592956800000 | 421.69 |
1593043200000 | 426.23 |
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1593388800000 | 423.06 |
1593475200000 | 429.87 |
1593561600000 | 431.8 |
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1593734400000 | 433.73 |
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1594080000000 | 434.86 |
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1594339200000 | 440.04 |
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1594944000000 | 444.72 |
1595203200000 | 449.69 |
1595289600000 | 450.23 |
1595376000000 | 453.27 |
1595462400000 | 448.32 |
1595548800000 | 444.1 |
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1595894400000 | 443.95 |
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1596067200000 | 448.05 |
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1596412800000 | 454.4 |
1596499200000 | 455.4 |
1596585600000 | 457.98 |
1596672000000 | 459.67 |
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1597104000000 | 456.64 |
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1597795200000 | 463.87 |
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1598227200000 | 470.84 |
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1598400000000 | 474.98 |
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1598832000000 | 478.34 |
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1600387200000 | 451.13 |
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1602547200000 | 481.67 |
1602633600000 | 478.58 |
1602720000000 | 477.81 |
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1603238400000 | 470.37 |
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1603843200000 | 448.79 |
1603929600000 | 453.75 |
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1604448000000 | 473.85 |
1604534400000 | 483.56 |
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1606435200000 | 501.48 |
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1606867200000 | 505.35 |
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1607558400000 | 506.34 |
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1607904000000 | 505.02 |
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1608595200000 | 511.86 |
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1618876800000 | 583.57 |
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1620000000000 | 592.19 |
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1621382400000 | 582.78 |
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1621555200000 | 588.47 |
1621814400000 | 593.96 |
1621900800000 | 592.39 |
1621987200000 | 594.05 |
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1641859200000 | 673.47 |
1641945600000 | 674.92 |
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1646784000000 | 612.29 |
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1652227200000 | 557.27 |
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1652400000000 | 572.11 |
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1652918400000 | 554.75 |
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1653264000000 | 565.27 |
1653350400000 | 560.76 |
1653436800000 | 567.68 |
1653523200000 | 579.9 |
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1653868800000 | 594.73 |
1653955200000 | 590.21 |
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1654214400000 | 586.82 |
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1660003200000 | 590.36 |
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1660176000000 | 602.95 |
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1661212800000 | 589.42 |
1661299200000 | 590.56 |
1661385600000 | 599.95 |
1661472000000 | 580.15 |
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1661904000000 | 565.03 |
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1662076800000 | 561.08 |
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1662681600000 | 582.83 |
1662940800000 | 588.86 |
1663027200000 | 563.2 |
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1663200000000 | 560.13 |
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1663545600000 | 559.91 |
1663632000000 | 553.39 |
1663718400000 | 544.55 |
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1663891200000 | 530.02 |
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1665100800000 | 528.99 |
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1666051200000 | 536.65 |
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1666224000000 | 528.2 |
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1666569600000 | 549.38 |
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1666742400000 | 553.73 |
1666828800000 | 552.54 |
1666915200000 | 565.47 |
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1668038400000 | 574.39 |
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1669939200000 | 590.77 |
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1672099200000 | 559.73 |
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1676419200000 | 607.72 |
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1717632000000 | 781.95 |
1717718400000 | 780.25 |
1717977600000 | 783.38 |
1718064000000 | 786.1 |
1718150400000 | 793.12 |
1718236800000 | 797.37 |
1718323200000 | 797.14 |
1718582400000 | 805.08 |
1718668800000 | 807.86 |
1718755200000 | 807.86 |
1718841600000 | 804.81 |
1718928000000 | 802.52 |
1719187200000 | 799.04 |
1719273600000 | 801.7 |
1719360000000 | 801.53 |
1719446400000 | 802.34 |
1719532800000 | 801.61 |
1719792000000 | 803.58 |
1719878400000 | 806.74 |
1719964800000 | 810.08 |
1720051200000 | 810.08 |
1720137600000 | 812.03 |
1720396800000 | 814.24 |
1720483200000 | 814.64 |
1720569600000 | 821.95 |
1720656000000 | 817.89 |
1720742400000 | 823.72 |
1721001600000 | 825.88 |
1721088000000 | 831.4 |
1721174400000 | 817.39 |
1721260800000 | 810.92 |
1721347200000 | 805.87 |
1721606400000 | 814.08 |
1721692800000 | 813.32 |
1721779200000 | 794.22 |
1721865600000 | 791.73 |
1721952000000 | 802.08 |
1722211200000 | 801.29 |
1722297600000 | 797.07 |
1722384000000 | 810.95 |
1722470400000 | 797.02 |
1722556800000 | 782.42 |
1722816000000 | 761.17 |
1722902400000 | 769.78 |
1722988800000 | 764.63 |
1723075200000 | 780.7 |
1723161600000 | 785.24 |
1723420800000 | 784.61 |
1723507200000 | 798.35 |
1723593600000 | 802.08 |
1723680000000 | 814.8099 |
1723766400000 | 816.84 |
1724025600000 | 824.4 |
1724112000000 | 821.97 |
1724198400000 | 826.29 |
1724284800000 | 819.58 |
1724371200000 | 830.33 |
1724630400000 | 827.25 |
1724716800000 | 828.14 |
1724803200000 | 823.44 |
1724889600000 | 824.45 |
1724976000000 | 833.24 |
1725235200000 | 833.24 |
1725321600000 | 814.42 |
1725408000000 | 811.5599 |
1725494400000 | 807.49 |
1725580800000 | 793.48 |
1725840000000 | 801.37 |
1725926400000 | 803.51 |
1726012800000 | 811.88 |
1726099200000 | 820.83 |
1726185600000 | 827.6799 |
1726444800000 | 829.66 |
1726531200000 | 829.95 |
1726617600000 | 828.22 |
1726704000000 | 841.42 |
1726790400000 | 841.82 |
1727049600000 | 843.81 |
1727136000000 | 845.52 |
1727222400000 | 845.34 |
1727308800000 | 848.12 |
1727395200000 | 847.14 |
1727654400000 | 850.45 |
1727740800000 | 843.06 |
1727827200000 | 843.82 |
1727913600000 | 844.54 |
1728000000000 | 851.95 |
1728259200000 | 845.01 |
1728345600000 | 852.15 |
1728432000000 | 860.7 |
1728518400000 | 860.07 |
1728604800000 | 865.54 |
1728864000000 | 872.89 |
1728950400000 | 864.06 |
1729036800000 | 869.3 |
1729123200000 | 868.64 |
1729209600000 | 869.62 |
1729468800000 | 867.15 |
1729555200000 | 865.2 |
1729641600000 | 856.4 |
1729728000000 | 857.4 |
1729814400000 | 856.14 |
1730073600000 | 859.28 |
1730160000000 | 860.63 |
1730246400000 | 859.36 |
1730332800000 | 844.56 |
1730419200000 | 848.88 |
1730678400000 | 848.43 |
1730764800000 | 859.91 |
1730851200000 | 883.09 |
1730937600000 | 887.98 |
1731024000000 | 892.23 |
1731283200000 | 894.37 |
1731369600000 | 891.76 |
1731456000000 | 891.23 |
1731542400000 | 885.17 |
1731628800000 | 872.92 |
1731888000000 | 876.28 |
1731974400000 | 879.5 |
1732060800000 | 880.41 |
1732147200000 | 888.98 |
1732233600000 | 892.47 |
1732492800000 | 896.37 |
1732579200000 | 900.73 |
1732665600000 | 894.46 |
1732752000000 | 894.46 |
1732838400000 | 898.82 |
STOXX US Equity Factor Base | STOXX US | |
---|---|---|
2017 | 26.447548795616 | 21.245064193688 |
2018 | -9.2199943988216 | -5.2058211322934 |
2019 | 28.372468416999 | 30.941708738513 |
2020 | 14.723543862989 | 20.810170336167 |
2021 | 31.904546675353 | 26.057866014354 |
2022 | -18.273118750457 | -20.523816907464 |
2023 | 22.485577008951 | 26.87874761684 |
2024 | 34.222368063122 | 30.516905288543 |
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.
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
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.