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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 (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 N/A 108.3 0.2 0.1 5.4 0.0 5.0 0.0 13.3
STOXX Developed World 73,668.4 66,977.1 41.1 13.3 3,321.0 0.1 5.0 0.0 2.4

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 1.7 11.9 20.4 17.7 63.1 N/A N/A 20.5 5.6 10.2
STOXX Developed World 1.9 10.8 18.4 15.3 60.2 N/A N/A 18.4 4.8 9.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Developed World Equity Factor N/A N/A 9.8 14.9 18.0 N/A N/A 1.6 0.3 0.5
STOXX Developed World N/A N/A 9.9 14.9 18.0 N/A N/A 1.4 0.2 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Developed World Equity Factor 1.0 1.0 1.0 1.0 1.0 1.2 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 -3.1 1.5 1.4 0.5 0.2

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

2Based on EURIBOR1M

(USD, Price), all data as of June 28, 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 16.6 18.1 18.1 3.0 2.1 1.5 18.9
STOXX Developed World 24.7 19.8 22.7 22.7 3.4 1.8 2.2 25.3

Performance and annual returns

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.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return AUD CH1213358059 SEFDAN SEFDAN INDEX .SEFDAN
Price AUD CH1213358042 SEFDAP SEFDAP INDEX .SEFDAP
Gross Return AUD CH1213358067 SEFDAG .SEFDAG
Net Return EUR CH1213357994 SEFDEN .SEFDEN
Gross Return EUR CH1213358000 SEFDEG .SEFDEG
Price EUR CH1213357986 SEFDEP .SEFDEP
Gross Return USD CH1213358034 SEFDUG .SEFDUG
Price USD CH1213358018 SEFDUP SEFDUP INDEX .SEFDUP
Net Return USD CH1213358026 SEFDUN SEFDUN INDEX .SEFDUN

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.

FACTOR & STRATEGY INDICES

STOXX Developed World Equity Factor

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 5.017%
Apple Inc. Technology USA 4.503%
NVIDIA Corp. Technology USA 4.469%
ALPHABET CLASS C Technology USA 2.946%
Amazon.com Inc. Retail USA 2.235%
BROADCOM Technology USA 1.574%
META PLATFORMS CLASS A Technology USA 1.355%
Eli Lilly & Co. Health Care USA 1.073%
NOVO NORDISK B Health Care Denmark 1.038%
JPMorgan Chase & Co. Banks USA 0.863%

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

4Based on the composition as of June 28, 2024