Whitepaper - May 2020

Introducing STOXX® Factor and ESG-X Factor Indices: Get More From Your Premia Exposures

In this paper, Qontigo’s Applied Research Team presents the recently launched STOXX Factor and ESG-X Factor Indices.

STOXX Factor Indices are designed for investors who want to reap factor premia while avoiding the noise that pervades many other such products that allow undesired exposures.

For investors who prefer to incorporate environmental, social and governance (ESG) principles into their process, we have also created ESG-compliant versions of these factor indices that produced very similar risk-return profiles to their standard counterparts. This indicates that incorporating ESG criteria does not mean sacrificing returns, whether actual or risk-adjusted.

Authors

Melissa Brown

Managing Director of Applied Research