Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

FACTOR & STRATEGY INDICES

STOXX U.S. Small-Cap Equity Factor

Index Description

The STOXX Equity Factor Index Family indices 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.

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. Small-Cap Equity Factor N/A 101.0 0.1 0.1 0.9 0.0 0.9 0.0 20.1
STOXX US Small Cap 5,258.1 4,819.3 2.7 1.7 25.9 0.0 0.5 0.0 11.6

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. Small-Cap Equity Factor 3.1 8.4 25.6 23.8 82.6 N/A N/A 26.5 7.6 13.0
STOXX US Small Cap 3.0 6.6 21.2 14.3 65.9 N/A N/A 21.1 4.5 10.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX U.S. Small-Cap Equity Factor N/A N/A 16.7 21.5 25.7 N/A N/A 1.1 0.2 0.5
STOXX US Small Cap N/A N/A 16.4 21.2 25.7 N/A N/A 0.9 0.1 0.4
Index to benchmark Correlation Tracking error (%)
STOXX U.S. Small-Cap Equity Factor 1.0 1.0 1.0 1.0 1.0 1.7 1.6 1.5 1.7 1.7
Index to benchmark Beta Annualized information ratio
STOXX U.S. Small-Cap Equity Factor 1.0 1.0 1.0 1.0 1.0 0.2 2.7 2.3 1.4 0.9

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of May 31, 2024

FACTOR & STRATEGY INDICES

STOXX U.S. Small-Cap 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. Small-Cap Equity Factor 68.7 20.6 16.1 16.1 2.3 2.0 1.1 11.1
STOXX US Small Cap 58.0 22.6 17.2 17.2 2.3 1.8 1.2 16.0

Performance and annual returns