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FACTOR & STRATEGY INDICES

STOXX Developed World Equity Factor

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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 (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Developed World Equity Factor N/A 103.5 0.2 0.1 5.0 0.0 4.8 0.0 15.0
STOXX Developed World 70,302.4 64,083.3 40.1 13.3 3,163.8 0.2 4.9 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 0.6 19.2 30.9 30.2 84.5 N/A N/A 30.8 9.2 13.0
STOXX Developed World 0.7 18.5 30.0 27.1 79.5 N/A N/A 29.9 8.3 12.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Developed World Equity Factor N/A N/A 11.1 14.2 17.5 N/A N/A 2.3 0.5 0.6
STOXX Developed World N/A N/A 11.1 14.3 17.6 N/A N/A 2.2 0.4 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 0.5 0.6 0.4

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

2Based on EURIBOR1M

(EUR, Net 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 2.1 1.6 23.8
STOXX Developed World 23.8 21.0 22.2 22.2 3.6 1.8 2.3 22.1

Performance and annual returns