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FACTOR & STRATEGY INDICES

STOXX U.S. Equity Factor

Index Description

The STOXX U.S. Equity Factor Index and the STOXX International Equity Factor Index are 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
  • 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 U.S. Equity Factor N/A 1.0 0.0 0.0 0.1 0.0 6.7 0.0 15.0
STOXX USA 900 37,577.0 35,977.6 40.0 12.1 2,377.9 2.7 6.6 0.0 2.8

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 U.S. Equity Factor -2.4 9.2 0.5 41.6 63.2 N/A N/A 0.5 12.6 10.4
STOXX USA 900 -2.3 9.7 0.5 36.5 62.8 N/A N/A 0.5 11.0 10.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX U.S. Equity Factor N/A N/A 16.3 18.5 22.5 N/A N/A -0.2 0.6 0.4
STOXX USA 900 N/A N/A 15.9 18.2 22.3 N/A N/A -0.2 0.5 0.4
Index to benchmark Correlation Tracking error (%)
STOXX U.S. Equity Factor 1.0 1.0 1.0 1.0 1.0 1.0 1.6 1.5 1.7 2.8
Index to benchmark Beta Annualized information ratio
STOXX U.S. Equity Factor 1.0 1.0 1.0 1.0 1.0 -1.1 -1.1 -0.9 0.3 -0.5

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

2Based on EURIBOR1M

(EUR, Price), all data as of October 31, 2023

FACTOR & STRATEGY INDICES

STOXX U.S. 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 U.S. Equity Factor 21.7 17.1 19.1 19.1 4.1 1.3 1.7 16.8
STOXX USA 900 23.9 19.4 20.9 20.9 0.1 1.2 2.2 18.1

Performance and annual returns