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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 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 Developed Asia Pacific ex Japan Multi-Factor N/A 105.3 0.8 0.2 7.2 0.0 6.8 0.0 59.8
STOXX Developed Asia Pacific ex Japan 2,730.3 2,184.7 14.3 6.0 167.6 0.6 7.7 0.0 9.4

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 3.8 3.8 19.1 21.5 44.9 N/A N/A 19.0 6.7 7.7
STOXX Developed Asia Pacific ex Japan 3.9 3.9 14.5 12.6 23.2 N/A N/A 14.5 4.0 4.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Developed Asia Pacific ex Japan Multi-Factor N/A N/A 12.6 15.7 18.1 N/A N/A 1.2 0.3 0.3
STOXX Developed Asia Pacific ex Japan N/A N/A 13.3 16.5 18.7 N/A N/A 0.9 0.1 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 1.6 1.6 2.4 2.7 3.0
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 -0.3 -0.3 1.6 0.9 1.0

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

2Based on EURIBOR1M

(USD, Net Return), all data as of January 31, 2025

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 17.2 15.6 17.0 17.0 1.5 4.6 1.8 20.6
STOXX Developed Asia Pacific ex Japan 22.7 18.0 20.3 20.3 1.9 4.1 2.0 3.5

Performance and annual returns