For investors who do not just want a factor tilt, but just an undiluted factor premia without any systematic risks, STOXX introduced the new generation of factor indices: The iSTOXX® Europe Single Factor and Multi-Factor Market Neutral Indices.

Multi-factor for diversification

The market-neutral indices are made up of a long investment in one of the six iSTOXX Europe Single Factor indices or in the Multi-Factor index, and offset the market exposure by holding a short position in STOXX® Europe 600 Index futures. In a bottom-up strategy, each stock is given a multi-factor score and the highest-scoring stocks get into the portfolio, which maximize the aggregated exposure to all of the six factors rather than employ a mere heuristic, i.e. equal-weighted, combination of single-factor indices.