STOXX® Equity Factor Indices

Designed to capture the fundamental drivers of equity performance

These multifactor indices seek above-average exposure to five rewarded equity factors – quality, value, momentum, low size and low volatility – while managing market-relative considerations across sectors, countries, individual companies and other systematic exposures. These diversified equity indices offer the potential for outperformance with similar levels of risk as the broad market.

Key benefits

Core Investment

Upgrade your core equity building blocks with multifactor indices designed with enhanced diversification and risk considerations.

Factor Expertise

Access Qontigo’s depth of factor investing knowledge and portfolio construction expertise through factor indices that combine the robust capabilities of STOXX indices with the industry-leading factor and optimization tools of Axioma analytics.

Modern Index Design

Efficiently capture the potential return enhancing benefits of multifactor investing through diversified exposure to a combination of five target style factors: momentum, quality, value, low volatility and low size.

Index performance

Index performance

STOXX® U.S. Equity Factor

Index performance

STOXX® International Equity Factor

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Index methodology overview

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Index methodology

The STOXX U.S. Equity Factor Index and the STOXX International Equity Factor Index are constructed by maximizing the index exposure to a multifactor alpha signal while adhering to a set of constraints intended to closely track their broad equity market parent indices.

The parent index for the STOXX U.S. Equity Factor Index is the STOXX® USA 900 Index, a free-float market capitalization-weighted index that measures the performance of the largest 900 companies of the U.S. equity market. The parent index for STOXX International Equity Factor Index is the STOXX Global 1800 ex USA Index, a free-float market capitalization-weighted index that measures the performance of the largest companies of the developed equity market excluding the U.S.

From the respective starting universes, constituents are selected and weighted to maximize exposure to a multifactor signal created from the following five factors:

  • Momentum
  • Quality
  • Value
  • Low volatility
  • Low size

Market-relative constraints on sector and country weights, as well as absolute and market-relative limits on individual security weights, are applied so that the resulting index does not have any large unintended or unrewarded exposures. Risk-oriented limits around tracking error and beta are also included to ensure a similar risk profile to the broader market. Lastly, additional market-relative considerations include rules around how much or little the index can be exposed to any one individual factor. These rules are applied to ensure diversified factor exposures within the index.

The indices are reviewed quarterly in March, June, September and December.

More detailed information about factor definitions and index construction can be found in the STOXX Index Methodology Guide.

Factor definitions

The momentum score is calculated from price momentum, earnings momentum and earnings announcement drift (i.e., the difference between a stock’s performance on and immediately following an earnings announcement date).

The quality score is calculated from gross profitability, dilution, accruals and changes in net operating assets as well as environmental signals including carbon emissions intensity and science-based targets, both as reported by the Institutional Shareholder Services group of companies.

The value score is calculated from the following current book value to price ratio, 12-month trailing dividend yield, earnings yield and cash flow yield (i.e., cash flow divided by the full market capitalization), and time series normalized cash flow yield over the previous 36 months.

The low volatility score is calculated based on a 12-month trailing realized volatility.

The size score seeks to measure the market capitalization of each company as compared to other companies of the parent index.

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