Whitepaper - January 2020

STOXX Factor Indices: Targeted Factor Exposures with Managed Liquidity and Risk Profiles

The STOXX Factor Index suite is comprised of five single-factor indices and a multifactor index engineered to deliver the excess returns associated with each factor using a diversified index of securities with carefully managed exposure, liquidity and risk characteristics. This paper provides a comprehensive description of the STOXX factor Indices and an extensive discussion of their characteristics and performance.

Authors

Melissa Brown

Managing Director of Applied Research

Olivier d'Assier

Managing Director, Applied Research - APAC

Christoph Schon, CFA, CIPM

Executive Director, Applied Research

Diana R. Baechle, PhD

Director, Applied Research

Natan Borshansky

Manager, Applied Research