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ISTOXX INDICES

iSTOXX L&G Developed Asia Pacific ex Japan Multi-Factor

Index Description

The iSTOXX L&G Multifactor index is designed to provide exposure to regional Value, Momentum, Low Risk 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 Developed Asia Pacific ex Japan Multi-Factor N/A 109.2 0.8 0.2 8.2 0.0 7.5 0.0 N/A
STOXX Developed Asia Pacific ex Japan 2,457.3 1,986.9 12.7 5.7 144.6 0.6 7.3 0.0 2.9

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 Developed Asia Pacific ex Japan Multi-Factor 0.7 1.5 8.2 -7.0 23.5 N/A N/A 8.2 -2.4 4.3
STOXX Developed Asia Pacific ex Japan 0.0 -0.3 5.7 -10.8 11.4 N/A N/A 5.7 -3.7 2.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Developed Asia Pacific ex Japan Multi-Factor N/A N/A 13.8 15.8 18.0 N/A N/A 0.3 -0.2 0.2
STOXX Developed Asia Pacific ex Japan N/A N/A 14.7 16.6 18.6 N/A N/A 0.2 -0.3 0.1
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G Developed Asia Pacific ex Japan Multi-Factor 1.0 1.0 1.0 1.0 1.0 1.7 2.3 2.3 2.8 2.9
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Developed Asia Pacific ex Japan Multi-Factor 0.9 0.9 0.9 0.9 1.0 5.2 1.4 0.9 0.4 0.6

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

2Based on EURIBOR1M

(USD, Net Return), all data as of June 28, 2024

ISTOXX INDICES

iSTOXX L&G Developed Asia Pacific ex Japan 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 Developed Asia Pacific ex Japan Multi-Factor 16.6 14.3 16.4 16.4 1.5 4.5 1.8 11.4
STOXX Developed Asia Pacific ex Japan 20.4 16.0 18.3 18.3 1.7 3.9 1.8 8.6

Performance and annual returns