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ISTOXX INDICES

iSTOXX L&G North America Multi-Factor

Index Description

The iSTOXX L&G Multifactor index is designed to provide exposure to regional Value, Momentum, Low Volatility and Quality risk-premia factors, where style factor scores are provided by Legal and General Investment Management (LGIM).

Key facts

  • Diversified multi factor exposure to a combination of four target risk-premia factors: momentum, quality, value; and low volatility.
  • The portfolio construction is performed using LGIM’s Style factor scores and Axioma’s portfolio optimization software and risk models.
  • The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity

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
iSTOXX L&G North America Multi-Factor N/A 1,096.9 2.1 0.5 77.5 0.0 7.1 0.0 0.0
STOXX North America 54,039.3 51,437.0 77.0 28.3 3,331.4 0.6 6.5 0.0 2.0

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
iSTOXX L&G North America Multi-Factor 2.8 20.7 28.7 26.5 95.2 N/A N/A 28.7 8.1 14.3
STOXX North America 2.5 18.6 26.5 25.2 100.7 N/A N/A 26.5 7.8 14.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G North America Multi-Factor N/A N/A 11.5 16.8 21.1 N/A N/A 1.8 0.3 0.6
STOXX North America N/A N/A 12.4 17.7 21.3 N/A N/A 1.6 0.3 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G North America Multi-Factor 1.0 1.0 1.0 1.0 1.0 2.9 2.2 2.2 2.4 2.3
Index to benchmark Beta Annualized information ratio
iSTOXX L&G North America Multi-Factor 0.9 0.9 0.9 0.9 1.0 1.2 1.1 0.7 0.1 -0.3

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

2Based on EURIBOR1M

(USD, Net Return), all data as of August 30, 2024

ISTOXX INDICES

iSTOXX L&G North America Multi-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
iSTOXX L&G North America Multi-Factor 22.1 20.1 21.5 21.5 4.2 1.3 2.7 24.4
STOXX North America 29.0 23.4 26.9 26.9 4.9 1.3 3.0 26.5

Performance and annual returns