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FACTOR & STRATEGY INDICES

STOXX US Equity Factor Screened

Index Description

The STOXX Equity Factor Screened 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. The index also has baseline exclusions and also reduces the greenhouse gas (GHG) intensity relative to its parent index

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 while satisfying a set of baseline exclusions and reducing greenhouse gas intensity relative to its parent index.
  • 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 Screened N/A 113.6 0.2 0.0 7.3 0.0 6.4 0.0 19.4
STOXX US 52,325.5 50,099.1 86.5 31.8 3,434.8 0.7 6.9 0.0 2.2

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 US Equity Factor Screened -0.9 21.7 39.1 25.4 101.4 N/A N/A 38.9 7.8 15.0
STOXX US -0.8 20.8 38.5 26.2 102.5 N/A N/A 38.3 8.0 15.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX US Equity Factor Screened N/A N/A 12.4 18.1 22.0 N/A N/A 2.6 0.3 0.6
STOXX US N/A N/A 12.5 18.0 21.5 N/A N/A 2.5 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX US Equity Factor Screened 1.0 1.0 1.0 1.0 1.0 2.6 2.6 2.5 2.4 2.6
Index to benchmark Beta Annualized information ratio
STOXX US Equity Factor Screened 1.0 1.0 1.0 1.0 1.0 -0.7 0.3 0.1 -0.1 0.0

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of October 31, 2024

FACTOR & STRATEGY INDICES

STOXX US Equity Factor Screened

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 Screened 22.1 20.5 20.8 20.8 5.0 2.1 1.9 22.1
STOXX US 28.4 24.2 26.4 26.4 5.4 1.9 3.1 25.7

Performance and annual returns

Methodology

The STOXX US Equity Factor Screened Index is constructed by maximizing the index exposure to a multi-factor alpha signal while satisfying a set of baseline exclusions and reducing greenhouse gas intensity relative to its parent index

Universe: the constituents of the STOXX US Equity Factor Screened 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.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH1357496491 SEFSUGR SEFSUGR INDEX .SEFSUGR
Net Return EUR CH1357496483 SEFSUR SEFSUR INDEX .SEFSUR
Price EUR CH1357496475 SEFSUP SEFSUP INDEX .SEFSUP
Price GBP CH1357496533 SEFSUGB .SEFSUGB
Net Return GBP CH1357496541 SEFSUHB .SEFSUHB
Gross Return GBP CH1357496558 SEFSUGHB .SEFSUGHB
Gross Return USD CH1357496525 SEFSUGV SEFSUGV INDEX .SEFSUGV
Net Return USD CH1357496517 SEFSUV SEFSUV INDEX .SEFSUV
Price USD CH1357496509 SEFSUL SEFSUL INDEX .SEFSUL

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.

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.

FACTOR & STRATEGY INDICES

STOXX US Equity Factor Screened

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 6.436%
NVIDIA Corp. Technology USA 6.278%
Apple Inc. Technology USA 5.826%
BROADCOM Technology USA 3.606%
ALPHABET CLASS C Technology USA 3.488%
JPMorgan Chase & Co. Banks USA 1.780%
FAIR ISAAC Industrial Goods and Services USA 1.728%
ARISTA NETWORKS Telecommunications USA 1.728%
ABBVIE Health Care USA 1.719%
CADENCE DESIGN SYS. Technology USA 1.569%

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

4Based on the composition as of October 31, 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.