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
|NESTLE||Food, Beverage and Tobacco||CH|
|BAE SYSTEMS||Industrial Goods and Services||GB|
|LONDON STOCK EXCHANGE||Financial Services||GB|
|DEUTSCHE BOERSE||Financial Services||DE|
|THALES||Industrial Goods and Services||FR|
|AHOLD DELHAIZE||Personal Care, Drug and Grocery Stores||NL|
|ROCHE HLDG P||Health Care||CH|