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FACTOR & STRATEGY INDICES
STOXX Developed World Equity Factor
Index Description
The STOXX Developed World Equity Factor Index is a combination of five target style factors: momentum, quality, value, low volatility and low size. It is reviewed quarterly in March, June, September and December to ensure consistent factor exposures over time.
Key facts
- Designed to capture the fundamental drivers of equity performance.
- Diversified multi-factor exposure to a combination of five target style factors: momentum, quality, value, low volatility and low size.
- 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 (AUD bn) | Components (AUD bn) | Component weight (%) | Turnover (%) | |||||
---|---|---|---|---|---|---|---|---|---|
Full | Free-float | Mean | Median | Largest | Smallest | Largest | Smallest | Last 12 monts | |
STOXX Developed World Equity Factor | N/A | 171.6 | 0.4 | 0.2 | 8.3 | 0.0 | 4.8 | 0.0 | 15.0 |
STOXX Developed World | 116,521.6 | 106,213.8 | 66.5 | 22.0 | 5,243.8 | 0.3 | 4.9 | 0.0 | 2.5 |
Supersector weighting (top 10)
Technology | 28.9 |
---|---|
Health Care | 9.9 |
Industrial Goods and Services | 9.7 |
Retail | 7.4 |
Banks | 5.7 |
Financial Services | 5.1 |
Personal Care, Drug and Grocery Stores | 3.8 |
Energy | 3.7 |
Utilities | 3.4 |
Consumer Products and Services | 3.0 |
Country weighting
USA | 69.1 |
---|---|
Japan | 7.4 |
Canada | 2.9 |
UK | 2.9 |
France | 2.3 |
Australia | 2.3 |
Switzerland | 2.0 |
Germany | 1.8 |
Italy | 1.5 |
Denmark | 1.2 |
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 | 3.6 | 22.6 | 30.6 | 42.3 | 93.8 | N/A | N/A | 30.5 | 12.4 | 14.1 |
STOXX Developed World | 3.8 | 21.7 | 29.6 | 38.8 | 88.3 | N/A | N/A | 29.5 | 11.5 | 13.4 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
STOXX Developed World Equity Factor | N/A | N/A | 10.2 | 13.8 | 16.6 | N/A | N/A | 2.2 | 0.6 | 0.7 |
STOXX Developed World | N/A | N/A | 10.1 | 13.8 | 16.6 | N/A | N/A | 2.1 | 0.5 | 0.6 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
STOXX Developed World Equity Factor | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.6 | 1.3 | 1.3 | 1.4 | 1.4 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
STOXX Developed World Equity Factor | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | -1.1 | 0.6 | 0.6 | 0.6 | 0.4 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(AUD, Gross Return), all data as of October 31, 2024
FACTOR & STRATEGY INDICES
STOXX Developed World Equity Factor
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 | 18.9 | 17.7 | 18.2 | 18.2 | 3.1 | 2.7 | 1.6 | 23.8 |
STOXX Developed World | 23.8 | 21.0 | 22.2 | 22.2 | 3.6 | 2.4 | 2.3 | 22.1 |
Performance and annual returns
STOXX Developed World Equity Factor | |
---|---|
953510400000 | 100 |
953596800000 | 100.82 |
953683200000 | 101.92 |
953769600000 | 102.81 |
953856000000 | 103.14 |
954115200000 | 101.94 |
954201600000 | 101.29 |
954288000000 | 101.83 |
954374400000 | 99.97 |
954460800000 | 101.85 |
954720000000 | 100.86 |
954806400000 | 100.89 |
954892800000 | 99.92 |
954979200000 | 101.93 |
955065600000 | 103.57 |
955324800000 | 103.41 |
955411200000 | 102.36 |
955497600000 | 100.88 |
955584000000 | 99.76 |
955670400000 | 95.25 |
955929600000 | 96.88 |
956016000000 | 98.47 |
956102400000 | 97.99 |
956188800000 | 98.99 |
956275200000 | 99.02 |
956534400000 | 98.83 |
956620800000 | 100.85 |
956707200000 | 101.34 |
956793600000 | 100.97 |
956880000000 | 101.71 |
957139200000 | 102.92 |
957225600000 | 102.05 |
957312000000 | 98.69 |
957398400000 | 98.71 |
957484800000 | 99 |
957744000000 | 100.59 |
957830400000 | 99.87 |
957916800000 | 97.84 |
958003200000 | 98.72 |
958089600000 | 100.38 |
958348800000 | 102.68 |
958435200000 | 102.92 |
958521600000 | 102.71 |
958608000000 | 101.78 |
958694400000 | 99.25 |
958953600000 | 98.75 |
959040000000 | 97.56 |
959126400000 | 98.81 |
959212800000 | 98.8 |
959299200000 | 98.47 |
959558400000 | 99.06 |
959644800000 | 101.03 |
959731200000 | 101.56 |
959817600000 | 103.58 |
959904000000 | 104.89 |
960163200000 | 104.38 |
960249600000 | 103.04 |
960336000000 | 102.64 |
960422400000 | 102.83 |
960508800000 | 103.03 |
960768000000 | 101.83 |
960854400000 | 101.71 |
960940800000 | 101.45 |
961027200000 | 100.91 |
961113600000 | 99.89 |
961372800000 | 101.8 |
961459200000 | 101.58 |
961545600000 | 101.48 |
961632000000 | 100.53 |
961718400000 | 100.62 |
961977600000 | 100.76 |
962064000000 | 100.12 |
962150400000 | 100.36 |
962236800000 | 99.61 |
962323200000 | 101.15 |
962582400000 | 101.8 |
962668800000 | 101.64 |
962755200000 | 102.24 |
962841600000 | 102.41 |
962928000000 | 103.61 |
963187200000 | 103.68 |
963273600000 | 104.62 |
963360000000 | 104.86 |
963446400000 | 105.34 |
963532800000 | 106.15 |
963792000000 | 106.19 |
963878400000 | 105.31 |
963964800000 | 105.41 |
964051200000 | 105.22 |
964137600000 | 103.7 |
964396800000 | 103.06 |
964483200000 | 103.45 |
964569600000 | 101.76 |
964656000000 | 101.26 |
964742400000 | 99.24 |
965001600000 | 101.31 |
965088000000 | 101.82 |
965174400000 | 100.87 |
965260800000 | 100.33 |
965347200000 | 100.95 |
965606400000 | 101.93 |
965692800000 | 102.34 |
965779200000 | 103.27 |
965865600000 | 102.34 |
965952000000 | 103.71 |
966211200000 | 104 |
966297600000 | 104.03 |
966384000000 | 102.62 |
966470400000 | 102.7 |
966556800000 | 102.75 |
966816000000 | 103.12 |
966902400000 | 104.56 |
966988800000 | 106.5 |
967075200000 | 106.75 |
967161600000 | 106.6 |
967420800000 | 107.47 |
967507200000 | 107.44 |
967593600000 | 106.08 |
967680000000 | 106.34 |
967766400000 | 107.83 |
968025600000 | 108.33 |
968112000000 | 108.08 |
968198400000 | 107.79 |
968284800000 | 109.12 |
968371200000 | 108.64 |
968630400000 | 106.85 |
968716800000 | 107.06 |
968803200000 | 107.61 |
968889600000 | 108.71 |
968976000000 | 108.41 |
969235200000 | 107.35 |
969321600000 | 108.01 |
969408000000 | 108.68 |
969494400000 | 107.24 |
969580800000 | 107.3 |
969840000000 | 106.53 |
969926400000 | 105.87 |
970012800000 | 105.37 |
970099200000 | 107.77 |
970185600000 | 107.54 |
970444800000 | 107.02 |
970531200000 | 107.7 |
970617600000 | 108.29 |
970704000000 | 109.32 |
970790400000 | 107.72 |
971049600000 | 106.26 |
971136000000 | 106.06 |
971222400000 | 104.46 |
971308800000 | 103.33 |
971395200000 | 105.77 |
971654400000 | 107.37 |
971740800000 | 106.19 |
971827200000 | 104.85 |
971913600000 | 107.71 |
972000000000 | 106.73 |
972259200000 | 107.35 |
972345600000 | 107.52 |
972432000000 | 107.26 |
972518400000 | 106.73 |
972604800000 | 107.54 |
972864000000 | 108.25 |
972950400000 | 111.12 |
973036800000 | 110.1 |
973123200000 | 111.56 |
973209600000 | 110.91 |
973468800000 | 110.87 |
973555200000 | 110.63 |
973641600000 | 109.7 |
973728000000 | 108.79 |
973814400000 | 107.98 |
974073600000 | 106.35 |
974160000000 | 108.83 |
974246400000 | 109 |
974332800000 | 107.61 |
974419200000 | 107.6 |
974678400000 | 106.45 |
974764800000 | 107.39 |
974851200000 | 102.39 |
974937600000 | 102.91 |
975024000000 | 104.03 |
975283200000 | 104.64 |
975369600000 | 104.31 |
975456000000 | 104.33 |
975542400000 | 102 |
975628800000 | 100.76 |
975888000000 | 100.25 |
975974400000 | 104.01 |
976060800000 | 101.73 |
976147200000 | 101.3 |
976233600000 | 102.51 |
976492800000 | 104.99 |
976579200000 | 104.09 |
976665600000 | 103.09 |
976752000000 | 101.72 |
976838400000 | 99.58 |
977097600000 | 100.69 |
977184000000 | 99.37 |
977270400000 | 95.55 |
977356800000 | 95.38 |
977443200000 | 96.82 |
977702400000 | 97.3 |
977788800000 | 97.69 |
977875200000 | 100.49 |
977961600000 | 101.77 |
978048000000 | 100.68 |
978393600000 | 98.31 |
978480000000 | 101.13 |
978566400000 | 99.47 |
978652800000 | 97.42 |
978912000000 | 97.81 |
978998400000 | 97.87 |
979084800000 | 99.54 |
979171200000 | 99.61 |
979257600000 | 100.05 |
979516800000 | 100.66 |
979603200000 | 100.43 |
979689600000 | 101.42 |
979776000000 | 101.69 |
979862400000 | 101.55 |
980121600000 | 101.88 |
980208000000 | 103.45 |
980294400000 | 104.73 |
980380800000 | 104.22 |
980467200000 | 104.33 |
980726400000 | 104.89 |
980812800000 | 104.8 |
980899200000 | 104.14 |
980985600000 | 103.98 |
981072000000 | 102.58 |
981331200000 | 103.23 |
981417600000 | 103.21 |
981504000000 | 102.71 |
981590400000 | 103.55 |
981676800000 | 102.7 |
981936000000 | 103.35 |
982022400000 | 103.37 |
982108800000 | 103.94 |
982195200000 | 105.56 |
982281600000 | 102.93 |
982540800000 | 102.69 |
982627200000 | 102.69 |
982713600000 | 100.71 |
982800000000 | 100.88 |
982886400000 | 100.6 |
983145600000 | 101.69 |
983232000000 | 100.85 |
983318400000 | 99.7 |
983404800000 | 99.32 |
983491200000 | 98.31 |
983750400000 | 100.31 |
983836800000 | 101.97 |
983923200000 | 104.29 |
984009600000 | 104.05 |
984096000000 | 102.79 |
984355200000 | 99.04 |
984441600000 | 100.39 |
984528000000 | 99.17 |
984614400000 | 100.47 |
984700800000 | 98.28 |
984960000000 | 98.34 |
985046400000 | 96.93 |
985132800000 | 97.23 |
985219200000 | 95.55 |
985305600000 | 97.09 |
985564800000 | 98.39 |
985651200000 | 100.51 |
985737600000 | 99.51 |
985824000000 | 98.47 |
985910400000 | 100.49 |
986169600000 | 100.84 |
986256000000 | 97.2 |
986342400000 | 97.13 |
986428800000 | 100.14 |
986515200000 | 97.51 |
986774400000 | 99.06 |
986860800000 | 100.08 |
986947200000 | 98.9 |
987033600000 | 98.8 |
987120000000 | 98.77 |
987379200000 | 98.01 |
987465600000 | 99.67 |
987552000000 | 103.44 |
987638400000 | 102.38 |
987724800000 | 101.88 |
987984000000 | 102.24 |
988070400000 | 102.04 |
988156800000 | 102.77 |
988243200000 | 102.34 |
988329600000 | 103.79 |
988588800000 | 103.32 |
988675200000 | 103.62 |
988761600000 | 103.1 |
988848000000 | 102.14 |
988934400000 | 103.24 |
989193600000 | 103.49 |
989280000000 | 103.24 |
989366400000 | 101.12 |
989452800000 | 102.18 |
989539200000 | 102.25 |
989798400000 | 102.14 |
989884800000 | 102.35 |
989971200000 | 103.74 |
990057600000 | 103.66 |
990144000000 | 103.41 |
990403200000 | 104.69 |
990489600000 | 105.76 |
990576000000 | 105.67 |
990662400000 | 105.56 |
990748800000 | 104.21 |
991008000000 | 104.09 |
991094400000 | 104.23 |
991180800000 | 103.37 |
991267200000 | 104.89 |
991353600000 | 104.62 |
991612800000 | 105.26 |
991699200000 | 105.98 |
991785600000 | 103.93 |
991872000000 | 103.7 |
991958400000 | 101.98 |
992217600000 | 101.38 |
992304000000 | 100.18 |
992390400000 | 98.87 |
992476800000 | 98.07 |
992563200000 | 97.93 |
992822400000 | 97.68 |
992908800000 | 98.46 |
992995200000 | 98.95 |
993081600000 | 100.25 |
993168000000 | 100.22 |
993427200000 | 99.86 |
993513600000 | 98.62 |
993600000000 | 98.64 |
993686400000 | 101.46 |
993772800000 | 101.21 |
994032000000 | 102.01 |
994118400000 | 100.62 |
994204800000 | 100.03 |
994291200000 | 99.28 |
994377600000 | 98.47 |
994636800000 | 98.63 |
994723200000 | 97.84 |
994809600000 | 98.26 |
994896000000 | 100.16 |
994982400000 | 99.97 |
995241600000 | 99.18 |
995328000000 | 99.27 |
995414400000 | 97.76 |
995500800000 | 98.57 |
995587200000 | 99.87 |
995846400000 | 98.08 |
995932800000 | 97.01 |
996019200000 | 97.81 |
996105600000 | 98.38 |
996192000000 | 99.19 |
996451200000 | 99.61 |
996537600000 | 99.81 |
996624000000 | 98.95 |
996710400000 | 99.23 |
996796800000 | 99.19 |
997056000000 | 98.34 |
997142400000 | 98.93 |
997228800000 | 96.94 |
997315200000 | 97.87 |
997401600000 | 97.78 |
997660800000 | 97.11 |
997747200000 | 96.91 |
997833600000 | 95.41 |
997920000000 | 95.67 |
998006400000 | 92.52 |
998265600000 | 93.23 |
998352000000 | 92.62 |
998438400000 | 93.23 |
998524800000 | 93.06 |
998611200000 | 94.44 |
998870400000 | 95.19 |
998956800000 | 93.79 |
999043200000 | 93.12 |
999129600000 | 91.26 |
999216000000 | 91.85 |
999475200000 | 91.64 |
999561600000 | 92.79 |
999648000000 | 92.94 |
999734400000 | 91.45 |
999820800000 | 90.49 |
1000080000000 | 91.28 |
1000166400000 | 88.61 |
1000252800000 | 89.12 |
1000339200000 | 89.55 |
1000425600000 | 89.1 |
1000684800000 | 88.51 |
1000771200000 | 89.13 |
1000857600000 | 88.66 |
1000944000000 | 86.07 |
1001030400000 | 85.25 |
1001289600000 | 87.09 |
1001376000000 | 87.86 |
1001462400000 | 88.2 |
1001548800000 | 89.41 |
1001635200000 | 90.7 |
1001894400000 | 89.72 |
1001980800000 | 90.64 |
1002067200000 | 91.88 |
1002153600000 | 92.28 |
1002240000000 | 91.03 |
1002499200000 | 90.44 |
1002585600000 | 91.16 |
1002672000000 | 92.65 |
1002758400000 | 94.21 |
1002844800000 | 93.28 |
1003104000000 | 90.8 |
1003190400000 | 92.2 |
1003276800000 | 92.01 |
1003363200000 | 91.43 |
1003449600000 | 90.77 |
1003708800000 | 91.45 |
1003795200000 | 92.65 |
1003881600000 | 92.61 |
1003968000000 | 93.81 |
1004054400000 | 94.72 |
1004313600000 | 92.51 |
1004400000000 | 91.05 |
1004486400000 | 91.47 |
1004572800000 | 91.94 |
1004659200000 | 93.15 |
1004918400000 | 94.87 |
1005004800000 | 95.14 |
1005091200000 | 94.66 |
1005177600000 | 95.27 |
1005264000000 | 95.11 |
1005523200000 | 93.6 |
1005609600000 | 94.77 |
1005696000000 | 95.42 |
1005782400000 | 96.05 |
1005868800000 | 95.36 |
1006128000000 | 96.43 |
1006214400000 | 95.9 |
1006300800000 | 96 |
1006387200000 | 96.12 |
1006473600000 | 96.4 |
1006732800000 | 97.12 |
1006819200000 | 95.73 |
1006905600000 | 94.47 |
1006992000000 | 95.68 |
1007078400000 | 95.29 |
1007337600000 | 95.1 |
1007424000000 | 96.73 |
1007510400000 | 98.4 |
1007596800000 | 98.29 |
1007683200000 | 98.28 |
1007942400000 | 96.76 |
1008028800000 | 96.18 |
1008115200000 | 95.8 |
1008201600000 | 94.36 |
1008288000000 | 94.27 |
1008547200000 | 95.58 |
1008633600000 | 96.54 |
1008720000000 | 97.32 |
1008806400000 | 97.83 |
1008892800000 | 97.45 |
1009152000000 | 97.2 |
1009238400000 | 97.28 |
1009324800000 | 97.76 |
1009411200000 | 98.72 |
1009497600000 | 98.65 |
1009756800000 | 98.28 |
1009929600000 | 97.69 |
1010016000000 | 98.62 |
1010102400000 | 98.32 |
1010361600000 | 98.12 |
1010448000000 | 96.51 |
1010534400000 | 96.09 |
1010620800000 | 96.09 |
1010707200000 | 96.24 |
1010966400000 | 95.73 |
1011052800000 | 96.37 |
1011139200000 | 95.44 |
1011225600000 | 96.25 |
1011312000000 | 95.82 |
1011571200000 | 95.22 |
1011657600000 | 94.11 |
1011744000000 | 94.74 |
1011830400000 | 94.95 |
1011916800000 | 95.07 |
1012176000000 | 95.49 |
1012262400000 | 94.61 |
1012348800000 | 95.52 |
1012435200000 | 96.42 |
1012521600000 | 95.84 |
1012780800000 | 94.08 |
1012867200000 | 93.45 |
1012953600000 | 92.91 |
1013040000000 | 93.12 |
1013126400000 | 93.59 |
1013385600000 | 94.62 |
1013472000000 | 95.18 |
1013558400000 | 95.79 |
1013644800000 | 94.94 |
1013731200000 | 93.91 |
1013990400000 | 93.53 |
1014076800000 | 91.97 |
1014163200000 | 92.51 |
1014249600000 | 92.24 |
1014336000000 | 93.3 |
1014595200000 | 94.29 |
1014681600000 | 94.33 |
1014768000000 | 94.67 |
1014854400000 | 94.17 |
1014940800000 | 95.57 |
1015200000000 | 97.65 |
1015286400000 | 97.32 |
1015372800000 | 98.03 |
1015459200000 | 97.97 |
1015545600000 | 98.74 |
1015804800000 | 99.21 |
1015891200000 | 98.79 |
1015977600000 | 98.18 |
1016064000000 | 97.74 |
1016150400000 | 98.24 |
1016409600000 | 98.1 |
1016496000000 | 99.06 |
1016582400000 | 96.67 |
1016668800000 | 96.54 |
1016755200000 | 96.16 |
1017014400000 | 95.13 |
1017100800000 | 95.9 |
1017187200000 | 96.23 |
1017273600000 | 95.67 |
1017360000000 | 95.62 |
1017619200000 | 95.35 |
1017705600000 | 94.95 |
1017792000000 | 94.99 |
1017878400000 | 94.9 |
1017964800000 | 94.93 |
1018224000000 | 94.96 |
1018310400000 | 94.69 |
1018396800000 | 95.11 |
1018483200000 | 92.81 |
1018569600000 | 93.11 |
1018828800000 | 93.53 |
1018915200000 | 95.01 |
1019001600000 | 94.37 |
1019088000000 | 94.19 |
1019174400000 | 94.02 |
1019433600000 | 93.15 |
1019520000000 | 93.07 |
1019606400000 | 91.85 |
1019692800000 | 91.71 |
1019779200000 | 90.88 |
1020038400000 | 91.24 |
1020124800000 | 91.97 |
1020211200000 | 92.36 |
1020297600000 | 92.88 |
1020384000000 | 91.99 |
1020643200000 | 90.92 |
1020729600000 | 90.35 |
1020816000000 | 92.51 |
1020902400000 | 91.18 |
1020988800000 | 90.2 |
1021248000000 | 90.69 |
1021334400000 | 91.62 |
1021420800000 | 91.75 |
1021507200000 | 92.15 |
1021593600000 | 92.21 |
1021852800000 | 91.13 |
1021939200000 | 90.29 |
1022025600000 | 90.13 |
1022112000000 | 90.93 |
1022198400000 | 90.39 |
1022457600000 | 90.21 |
1022544000000 | 89.14 |
1022630400000 | 88.59 |
1022716800000 | 88.27 |
1022803200000 | 87.85 |
1023062400000 | 86.23 |
1023148800000 | 85.48 |
1023235200000 | 85.62 |
1023321600000 | 84.37 |
1023408000000 | 84.52 |
1023667200000 | 84.83 |
1023753600000 | 84.41 |
1023840000000 | 84.02 |
1023926400000 | 83.54 |
1024012800000 | 83.75 |
1024272000000 | 85.75 |
1024358400000 | 84.87 |
1024444800000 | 83.74 |
1024531200000 | 81.93 |
1024617600000 | 80.73 |
1024876800000 | 80.94 |
1024963200000 | 80.47 |
1025049600000 | 81.72 |
1025136000000 | 82.34 |
1025222400000 | 83.51 |
1025481600000 | 82.72 |
1025568000000 | 80.88 |
1025654400000 | 81.12 |
1025740800000 | 81.95 |
1025827200000 | 84.22 |
1026086400000 | 82.98 |
1026172800000 | 81.33 |
1026259200000 | 79.36 |
1026345600000 | 79.87 |
1026432000000 | 79.31 |
1026691200000 | 78.14 |
1026777600000 | 77.69 |
1026864000000 | 79.36 |
1026950400000 | 78.46 |
1027036800000 | 75.42 |
1027296000000 | 74.02 |
1027382400000 | 73.21 |
1027468800000 | 74.61 |
1027555200000 | 75.64 |
1027641600000 | 76.49 |
1027900800000 | 79.15 |
1027987200000 | 79.26 |
1028073600000 | 79.71 |
1028160000000 | 78.02 |
1028246400000 | 77.05 |
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1548892800000 | 279.29 |
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1549324800000 | 284.79 |
1549411200000 | 288.48 |
1549497600000 | 286.82 |
1549584000000 | 286.6 |
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1549929600000 | 289.67 |
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1550102400000 | 290.02 |
1550188800000 | 291.56 |
1550448000000 | 291.8 |
1550534400000 | 292.04 |
1550620800000 | 291.7 |
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1551052800000 | 292.88 |
1551139200000 | 292.83 |
1551225600000 | 294.56 |
1551312000000 | 294.41 |
1551398400000 | 296.89 |
1551657600000 | 295.78 |
1551744000000 | 296.09 |
1551830400000 | 296.67 |
1551916800000 | 293.99 |
1552003200000 | 292.18 |
1552262400000 | 294.89 |
1552348800000 | 294.88 |
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1552521600000 | 297.34 |
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1552867200000 | 299.52 |
1552953600000 | 300.03 |
1553040000000 | 298.83 |
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1553212800000 | 296.9 |
1553472000000 | 294.93 |
1553558400000 | 295.66 |
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1553731200000 | 297.29 |
1553817600000 | 298.22 |
1554076800000 | 301.05 |
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1554422400000 | 304.64 |
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1554768000000 | 302.3 |
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1554940800000 | 302.7 |
1555027200000 | 302.16 |
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1555459200000 | 301.77 |
1555545600000 | 302.88 |
1555632000000 | 302.87 |
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1556064000000 | 308.84 |
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1556496000000 | 309.23 |
1556582400000 | 310.06 |
1556668800000 | 308.95 |
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1556841600000 | 310.58 |
1557100800000 | 310.2 |
1557187200000 | 305.74 |
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1557360000000 | 305.03 |
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1557705600000 | 300.67 |
1557792000000 | 303.21 |
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1557964800000 | 309.4 |
1558051200000 | 309.87 |
1558310400000 | 307.11 |
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1558569600000 | 305.5 |
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1558915200000 | 306.03 |
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1559088000000 | 301.62 |
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1559520000000 | 296.28 |
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1560124800000 | 309.15 |
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1561075200000 | 316.5 |
1561334400000 | 314.8 |
1561420800000 | 311.85 |
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1561680000000 | 312.18 |
1561939200000 | 316.4 |
1562025600000 | 315.99 |
1562112000000 | 316.56 |
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1562284800000 | 318.24 |
1562544000000 | 316.65 |
1562630400000 | 318.23 |
1562716800000 | 318.1 |
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1562889600000 | 318.57 |
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1563235200000 | 316.66 |
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1563494400000 | 314.48 |
1563753600000 | 314.97 |
1563840000000 | 318.26 |
1563926400000 | 320.47 |
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1564099200000 | 323.32 |
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1565049600000 | 313.68 |
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1565568000000 | 315.43 |
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1566432000000 | 317.01 |
1566518400000 | 310.95 |
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1566864000000 | 312.57 |
1566950400000 | 314.36 |
1567036800000 | 317.92 |
1567123200000 | 318.54 |
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1567555200000 | 317.45 |
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1568073600000 | 319.81 |
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1568592000000 | 322.29 |
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1568851200000 | 326.7 |
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1569456000000 | 325.98 |
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1570147200000 | 322.01 |
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1570579200000 | 321.67 |
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1571184000000 | 329.1 |
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1573516800000 | 335.97 |
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1582070400000 | 369.25 |
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1589500800000 | 319.97 |
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1721001600000 | 611.16 |
1721088000000 | 618.34 |
1721174400000 | 611.67 |
1721260800000 | 606.7 |
1721347200000 | 605.96 |
1721606400000 | 615.8 |
1721692800000 | 617.88 |
1721779200000 | 608.07 |
1721865600000 | 608.94 |
1721952000000 | 614.22 |
1722211200000 | 616.15 |
1722297600000 | 613.3 |
1722384000000 | 624.9 |
1722470400000 | 614.34 |
1722556800000 | 601.84 |
1722816000000 | 586.48 |
1722902400000 | 591.66 |
1722988800000 | 586.1 |
1723075200000 | 593.28 |
1723161600000 | 596.46 |
1723420800000 | 594.42 |
1723507200000 | 604.26 |
1723593600000 | 607.05 |
1723680000000 | 613.95 |
1723766400000 | 616.38 |
1724025600000 | 614.47 |
1724112000000 | 611.8 |
1724198400000 | 615.02 |
1724284800000 | 613.65 |
1724371200000 | 615.75 |
1724630400000 | 613.49 |
1724716800000 | 614.6799 |
1724803200000 | 611.1799 |
1724889600000 | 611.09 |
1724976000000 | 617.14 |
1725235200000 | 615.8099 |
1725321600000 | 612.2 |
1725408000000 | 606.87 |
1725494400000 | 605.89 |
1725580800000 | 598.88 |
1725840000000 | 607.83 |
1725926400000 | 608.34 |
1726012800000 | 614.24 |
1726099200000 | 615.36 |
1726185600000 | 618.19 |
1726444800000 | 617.64 |
1726531200000 | 615.07 |
1726617600000 | 613.01 |
1726704000000 | 619.35 |
1726790400000 | 618.12 |
1727049600000 | 614.2 |
1727136000000 | 615.14 |
1727222400000 | 615.1 |
1727308800000 | 617.5599 |
1727395200000 | 614.98 |
1727654400000 | 613.54 |
1727740800000 | 612.66 |
1727827200000 | 611.3 |
1727913600000 | 613.82 |
1728000000000 | 621.16 |
1728259200000 | 620.61 |
1728345600000 | 623.08 |
1728432000000 | 626.65 |
1728518400000 | 633.84 |
1728604800000 | 631.21 |
1728864000000 | 634.54 |
1728950400000 | 639.67 |
1729036800000 | 637.3099 |
1729123200000 | 640.92 |
1729209600000 | 637.8 |
1729468800000 | 638 |
1729555200000 | 640.13 |
1729641600000 | 635.95 |
1729728000000 | 634.11 |
1729814400000 | 635.41 |
1730073600000 | 637.19 |
1730160000000 | 642.61 |
1730246400000 | 645.46 |
1730332800000 | 642.7 |
1730419200000 | 633.37 |
1730678400000 | 635.49 |
1730764800000 | 635.55 |
1730851200000 | 639.15 |
1730937600000 | 654.35 |
1731024000000 | 650.8099 |
1731283200000 | 658.95 |
1731369600000 | 660.58 |
1731456000000 | 661.65 |
1731542400000 | 663.39 |
1731628800000 | 665.23 |
1731888000000 | 656.65 |
1731974400000 | 654.36 |
1732060800000 | 653.2 |
1732147200000 | 654.94 |
1732233600000 | 658.13 |
1732492800000 | 657.9 |
1732579200000 | 664.85 |
1732665600000 | 669.07 |
1732752000000 | 664.33 |
1732838400000 | 664.8 |
STOXX Developed World Equity Factor | STOXX Developed World | |
---|---|---|
2017 | 17.323786081898 | 13.978938209746 |
2018 | 1.9492502664057 | 1.7956561443527 |
2019 | 27.00725855891 | 28.441415541865 |
2020 | 5.6879681325664 | 6.2529574690906 |
2021 | 31.359321136567 | 28.991331228157 |
2022 | -10.807950384183 | -12.147759305016 |
2023 | 23.074732420436 | 23.506815443054 |
2024 | 27.517193475714 | 26.434451315598 |
Methodology
The STOXX Developed World Equity Factor 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.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Gross Return AUD | CH1213358067 | SEFDAG | .SEFDAG | |
Net Return AUD | CH1213358059 | SEFDAN | SEFDAN INDEX | .SEFDAN |
Price AUD | CH1213358042 | SEFDAP | SEFDAP INDEX | .SEFDAP |
Net Return EUR | CH1213357994 | SEFDEN | .SEFDEN | |
Gross Return EUR | CH1213358000 | SEFDEG | .SEFDEG | |
Price EUR | CH1213357986 | SEFDEP | .SEFDEP | |
Gross Return USD | CH1213358034 | SEFDUG | .SEFDUG | |
Net Return USD | CH1213358026 | SEFDUN | SEFDUN INDEX | .SEFDUN |
Price USD | CH1213358018 | SEFDUP | SEFDUP INDEX | .SEFDUP |
Quick Facts
Weighting | Optimization |
Cap Factor | N/A |
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 March. 20, 2000 |
History | Available from Mar. 20, 2000 |
Inception date | October. 23, 2023 |
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet. |
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
Apple Inc. | Technology | USA | 4.836% |
NVIDIA Corp. | Technology | USA | 4.677% |
Microsoft Corp. | Technology | USA | 4.428% |
ALPHABET CLASS C | Technology | USA | 2.683% |
Amazon.com Inc. | Retail | USA | 2.249% |
META PLATFORMS CLASS A | Technology | USA | 1.533% |
BROADCOM | Technology | USA | 1.432% |
Eli Lilly & Co. | Health Care | USA | 0.960% |
JPMorgan Chase & Co. | Banks | USA | 0.916% |
ABBVIE | Health Care | USA | 0.832% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of October 31, 2024
FACTOR & STRATEGY INDICES
STOXX Developed World Equity Factor
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.