iSTOXX® Europe Multi-Factor XC
The iSTOXX® Europe Factors indices are based on the STOXX® Europe Total Market Index and aim to extract factor risk premia on equities while controlling risks and keeping focus on tradability.
The selection and weighting are based on SunGard APT Risk model which uses a set of constrains to minimize risk and maximize factor exposure. All indices are monthly rebalanced in order to be more reactive to the market.
The iSTOXX® Europe Multi-factor XC Index gather highest exposure from the following dimensions: low risk, momentum, value, quality and size. To access the SunGard APT Modeling Guide, please click here.
|Dissemination period||18:00 CET-18:00 CET|
|Free Float Mcap||---|
|Daily change (absolute)|
|Week to week change|
|52 week change|
|Year to date change|
|52 week low|
|52 week high|