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FACTOR & STRATEGY INDICES

STOXX Developed World 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 World Equity Factor Base N/A 108.1 0.4 0.2 4.7 0.0 4.4 0.0 20.0
STOXX Developed World 79,427.6 72,539.5 45.4 14.7 3,608.4 0.2 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
STOXX Developed World Equity Factor Base 4.6 21.6 27.7 27.8 78.3 N/A N/A 27.7 8.5 12.2
STOXX Developed World 4.4 22.0 28.1 29.3 81.6 N/A N/A 28.1 8.9 12.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Developed World Equity Factor Base N/A N/A 10.8 15.1 18.2 N/A N/A 2.0 0.4 0.6
STOXX Developed World N/A N/A 10.6 15.2 18.1 N/A N/A 2.0 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX Developed World Equity Factor Base 1.0 1.0 1.0 1.0 1.0 2.6 2.4 2.4 2.4 2.5
Index to benchmark Beta Annualized information ratio
STOXX Developed World Equity Factor Base 1.1 1.0 1.0 1.0 1.0 0.8 -0.2 -0.1 -0.2 -0.1

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of November 29, 2024

FACTOR & STRATEGY INDICES

STOXX Developed World 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 World Equity Factor Base 18.4 16.3 17.6 17.6 2.8 2.9 1.3 12.1
STOXX Developed World 26.0 21.4 24.1 24.1 3.7 2.3 2.4 23.7

Performance and annual returns

Methodology

The STOXX Developed World 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 World Equity Factor Base are selected from its parent index STOXX Developed World.

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 CH1357496384 SEFBWP .SEFBWP
Net Return EUR CH1357496392 SEFBWR .SEFBWR
Gross Return EUR CH1357496400 SEFBWGR .SEFBWGR
Net Return GBP CH1357496459 SEFBWHB .SEFBWHB
Gross Return GBP CH1357496467 SEFBWGHB .SEFBWGHB
Price GBP CH1357496442 SEFBWGB .SEFBWGB
Gross Return USD CH1357496434 SEFBWGV .SEFBWGV
Price USD CH1357496418 SEFBWL .SEFBWL
Net Return USD CH1357496426 SEFBWV .SEFBWV

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
NVIDIA Corp. Technology USA 4.387%
Microsoft Corp. Technology USA 4.371%
Apple Inc. Technology USA 4.269%
Amazon.com Inc. Retail USA 1.776%
ALPHABET CLASS C Technology USA 1.753%
Cintas Corp. Industrial Goods and Services USA 1.694%
McKesson Corp. Personal Care, Drug and Grocery Stores USA 1.667%
Manulife Financial Corp. Insurance Canada 1.576%
BROADCOM Technology USA 1.532%
FAIR ISAAC Industrial Goods and Services USA 1.375%

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

4Based on the composition as of November 29, 2024