STOXX single and multi-factor indices aim to harvest the risk premia of several academically validated style factors – Value, Momentum, Quality, Size and Low Risk. At the same time the rules ensure tradability and diversification as well as limit untargeted systematic exposures.
STOXX uses Axioma's risk model and optimizer to construct the factor indices. The STOXX single and multi-factor indices are based on the respective STOXX country or regional benchmark indices.
Index Guides, Benchmark statement, and other reports are available under the Data tab.
Top 10 Components
|McDonald's Corp.||Travel and Leisure||US|
|Berkshire Hathaway Inc. Cl B||Financial Services||US|
|Johnson & Johnson||Health Care||US|
|International Business Machine||Technology||US|
|Coca-Cola Co.||Food, Beverage and Tobacco||US|
|Activision Blizzard Inc.||Consumer Products and Services||US|
|CME Group Inc. Cl A||Financial Services||US|
Stocks drop in February amid military conflict in Ukraine
The STOXX Global 1800 index fell 2.6% in dollars last month, with only basic-resources and energy companies posting a positive return among 20 sectors. Climate indices struggle to match benchmark returns, while factor, dividend and minimum-variance strategies outperform.