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Indices

iSTOXX® Europe Multi-Factor

Summary

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.

Symbol
ISEXFEP
Calculation
Realtime
Dissemination Period
09:00-18:00 CET
ISIN
CH0316370367
Last Value
127.5 +1.57 (+1.25%)
As of 05:50 pm CET
Week to Week Change
1.84%
52 Week Change
9.51%
Year to Date Change
9.30%
Daily Low
125.86
Daily High
127.54
52 Week Low
104.8729 Sep 2022
52 Week High
129.8427 Jul 2023

Top 10 Components

ROCHE HLDG P Health Care CH
BCO BILBAO VIZCAYA ARGENTARIA Banks ES
NESTLE Food, Beverage and Tobacco CH
GSK Health Care GB
LLOYDS BANKING GRP Banks GB
ANHEUSER-BUSCH INBEV Food, Beverage and Tobacco BE
BP Energy GB
NOVARTIS Health Care CH
INTERCONTINENTAL HOTELS GRP Travel and Leisure GB
LEONARDO Industrial Goods and Services IT
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