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FACTOR & STRATEGY INDICES

STOXX Global 1800 ESG-X Ax Momentum

Index Description

STOXX uses Axioma's risk model and optimizer to construct the factor indices. The STOXX ESG-X single and multi-factor indices are based on the respective STOXX ESG-X country or regional benchmark indices.

Key facts

  • Invest responsibly in targeted factor exposures with managed liquidity and risk profiles across various regions
  • Universe is based on the STOXX ESG-X benchmark family with standardized ESG exclusion screens
  • Use of Axioma's 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
  • 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 and industry controls

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Global 1800 ESG-X Ax Momentum N/A 101.9 0.9 0.4 8.4 0.0 8.2 0.0 50.3
STOXX Global 1800 ESG-X 61,060.2 55,628.3 33.9 10.5 2,895.3 1.1 5.2 0.0 4.0

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 Global 1800 ESG-X Ax Momentum 5.4 27.9 43.7 50.9 128.9 N/A N/A 44.5 14.8 18.1
STOXX Global 1800 ESG-X 3.1 11.5 26.9 40.0 89.7 N/A N/A 27.7 12.0 13.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global 1800 ESG-X Ax Momentum N/A N/A 12.0 16.8 20.0 N/A N/A 2.8 0.7 0.8
STOXX Global 1800 ESG-X N/A N/A 10.0 13.8 17.4 N/A N/A 2.2 0.7 0.7
Index to benchmark Correlation Tracking error (%)
STOXX Global 1800 ESG-X Ax Momentum 0.8 0.9 0.9 0.9 1.0 8.8 8.0 5.8 5.9 6.4
Index to benchmark Beta Annualized information ratio
STOXX Global 1800 ESG-X Ax Momentum 1.3 1.3 1.1 1.1 1.1 3.3 7.1 2.0 0.4 0.6

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of March 29, 2024

FACTOR & STRATEGY INDICES

STOXX Global 1800 ESG-X Ax Momentum

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 Global 1800 ESG-X Ax Momentum 23.0 20.8 22.4 22.4 4.2 2.4 2.0 20.5
STOXX Global 1800 ESG-X 24.5 19.9 22.9 22.9 3.4 2.5 2.3 30.4

Performance and annual returns

Methodology

Bringing together the powerful indexing and analytics capabilities of Qontigo, the STOXX 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 ESG-X screens are based on responsible policies of leading asset owners and aim to reduce reputational and idiosyncratic risks. The inclusion of constraints targets benchmark tracking with industry and country controls, 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
Price EUR CH0524922165 SAW1EMOP .SAW1EMOP
Net Return EUR CH0524921605 SAW1EMOR .SAW1EMOR
Gross Return EUR CH0524921803 SAW1EMOG .SAW1EMOG
Price USD CH0524922066 SAW1EMOL .SAW1EMOL
Gross Return USD CH0524922132 SAW1EMOZ SAW1EMOZ INDEX .SAW1EMOZ
Net Return USD CH0524921266 SAW1EMOV .SAW1EMOV

Quick Facts

Weighting Optimization
Cap Factor 4.5% / min (20x parent index weight, 8%) / 35%
No. of components Variable
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Mar. 19, 2012
Inception date Mar. 26, 2020
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

FACTOR & STRATEGY INDICES

STOXX Global 1800 ESG-X Ax Momentum

Top 10 Components4

Company Supersector Country Weight
NVIDIA Corp. Technology USA 8.223%
META PLATFORMS CLASS A Technology USA 7.645%
Netflix Inc. Media USA 6.161%
Eli Lilly & Co. Health Care USA 5.451%
Apple Inc. Technology USA 4.407%
Vertex Pharmaceuticals Inc. Health Care USA 3.065%
NOVO NORDISK B Health Care Denmark 2.718%
MARATHON PETROLEUM Energy USA 2.234%
McKesson Corp. Personal Care, Drug and Grocery Stores USA 2.086%
UNICREDIT Banks Italy 1.980%

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

4Based on the composition as of March 29, 2024