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FACTOR & STRATEGY INDICES

STOXX USA 500 Industry Neutral Ax Size

Index Description

STOXX Industry Neutral Single and Multi-Factor Indices aim to harvest the risk premia of several academically validated style factors — Value, Momentum, Quality, Size and Low Risk within each ICB Industry. 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 industry neutral factor indices. The STOXX industry neutral single and multi-factor indices are based on the respective STOXX country or regional benchmark indices.

Key facts

  • Invest in targeted factor exposures with managed liquidity and risk profiles across various regions
  • Use of Axiomas factor risk models and portfolio construction expertise to define the factors based on extensive validation from research and having a clear economic rationale
  • Factor family consists of 5 single factor indices (Value, Momentum, Quality, Low Risk, and Size) and one multi-factor index
  • Same index construction rules applied across the factor family
  • Strict neutrality imposed on ICB Industries to remove industry bets relative to the respective benchmarks
  • Single factor indices maximize the target factor while constraining the exposure to other factors
  • Multi-factor index employs a bottom-up approach by maximizing the exposure to an equally weighted aggregated multi-factor score
  • Ensures tradability by managing turnover and exposure to illiquid positions
  • Ensures diversification using country controls

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
STOXX USA 500 Industry Neutral Ax Size N/A 110.4 0.9 0.5 3.8 0.1 3.4 0.1 50.3
STOXX USA 500 46,254.6 44,536.0 88.9 37.8 3,126.9 12.0 7.0 0.0 2.9

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
STOXX USA 500 Industry Neutral Ax Size 2.6 8.2 18.7 15.7 53.8 N/A N/A 19.0 5.0 9.0
STOXX USA 500 2.9 10.2 28.6 29.5 85.6 N/A N/A 29.1 9.0 13.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 Industry Neutral Ax Size N/A N/A 12.7 18.4 22.4 N/A N/A 1.1 0.2 0.4
STOXX USA 500 N/A N/A 11.7 17.7 21.5 N/A N/A 1.9 0.4 0.5
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 Industry Neutral Ax Size 0.9 0.9 0.9 1.0 1.0 4.4 4.3 4.7 4.6 5.3
Index to benchmark Beta Annualized information ratio
STOXX USA 500 Industry Neutral Ax Size 0.9 1.0 1.0 1.0 1.0 -0.8 -1.8 -1.7 -0.8 -0.7

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

2Based on EURIBOR1M

(USD, Price), all data as of March 29, 2024

FACTOR & STRATEGY INDICES

STOXX USA 500 Industry Neutral Ax Size

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
STOXX USA 500 Industry Neutral Ax Size 27.1 21.5 23.0 23.0 4.3 1.1 2.0 22.0
STOXX USA 500 28.4 22.6 26.7 26.7 4.9 1.4 2.9 1.6

Performance and annual returns

Methodology

Bringing together the powerful indexing and analytics capabilities of Qontigo, the STOXX Industry Neutral Factor Index suite delivers more clarity to the market for factor investors by relying on the institutionally tested analytics of Axioma Factor Risk Models and advanced portfolio construction techniques. The use of Axioma�s risk models ensures strong exposure to the respective target factor (Value, Momentum, Quality, Low Risk, Size, Multi-Factor) while allowing for ease of control over unintended exposures. The inclusion of constraints targets benchmark tracking with country controls and industry neutrality constraints, and ensures tradability by limiting exposure to less liquid names and turnover while controlling for effective number of names and weights.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0462360063 SA5UNSZU .SA5UNSZU
Price EUR CH0462360048 SA5UNSZP .SA5UNSZP
Net Return EUR CH0462360055 SA5UNSZR .SA5UNSZR
Gross Return USD CH0462360097 SA5UNSZS SA5UNSZS INDEX .SA5UNSZS
Net Return USD CH0462360089 SA5UNSZV SA5UNSZV INDEX .SA5UNSZV
Price USD CH0462360071 SA5UNSZL .SA5UNSZL

Quick Facts

Weighting Optimization
Cap Factor 4.5%/ 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar.,Jun.,Sep.,Dec.)
Calculation/distribution realtime 15 sec
Calculation hours 15:30:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available since 31 Dec 2002
Inception date Feb. 17, 2021
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://qontigo.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

FACTOR & STRATEGY INDICES

STOXX USA 500 Industry Neutral Ax Size

Top 10 Components4

Company Supersector Country Weight
CADENCE DESIGN SYS. Technology USA 3.411%
Amphenol Corp. Cl A Technology USA 3.155%
Illinois Tool Works Inc. Industrial Goods and Services USA 2.835%
Paccar Inc. Industrial Goods and Services USA 2.789%
Roper Technologies Inc. Technology USA 2.731%
Williams Cos. Energy USA 2.162%
ARISTA NETWORKS Telecommunications USA 2.145%
IQVIA HOLDINGS INC Health Care USA 2.104%
TE CONNECTIVITY LTD. Technology USA 2.048%
Bank of New York Mellon Corp. Financial Services USA 1.995%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of March 29, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.