The iSTOXX Europe Factors indices are based on the STOXX Europe Total Market Index and aim to extract factor risk premia on equities while controlling risks and keeping focus on tradability. The selection and weighting are based on SunGard APT Risk model which uses a set of constrains to minimize risk and maximize factor exposure. All indices are monthly rebalanced in order to be more reactive to the market.
The iSTOXX Europe Multi-factor Index gather highest exposure from each dimension: carry, low risk, momentum, value, quality and size.
To access the SunGard APT Modeling Guide, please click here
Index Guides, Benchmark statement, and other reports are available under the Data tab.
Top 10 Components
|ROCHE HLDG P||Health Care||CH|
|FERRARI||Automobiles and Parts||IT|
|RECKITT BENCKISER GRP||Personal Care, Drug and Grocery Stores||GB|
|NESTLE||Food, Beverage and Tobacco||CH|
|DIAGEO||Food, Beverage and Tobacco||GB|