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ISTOXX INDICES

iSTOXX L&G UK 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 UK Multi-Factor N/A 113.9 1.8 0.8 8.8 0.0 7.7 0.0 N/A
STOXX UK 2,772.3 2,603.6 36.7 16.1 270.4 3.2 10.4 0.1 7.6

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
iSTOXX L&G UK Multi-Factor 3.4 17.1 25.3 25.6 57.4 N/A N/A 25.3 7.9 9.5
STOXX UK 3.5 15.3 21.9 26.6 49.8 N/A N/A 21.9 8.1 8.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G UK Multi-Factor N/A N/A 11.9 16.9 20.8 N/A N/A 1.6 0.4 0.4
STOXX UK N/A N/A 12.6 17.4 21.3 N/A N/A 1.3 0.4 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G UK Multi-Factor 1.0 1.0 1.0 1.0 1.0 1.2 2.1 2.1 2.4 2.6
Index to benchmark Beta Annualized information ratio
iSTOXX L&G UK Multi-Factor 1.0 0.9 0.9 1.0 1.0 -1.2 1.1 1.3 -0.2 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 UK 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 UK Multi-Factor 18.2 11.4 14.7 14.7 1.9 4.9 1.3 5.6
STOXX UK 20.3 12.4 15.9 15.9 2.1 4.5 1.4 11.3

Performance and annual returns