STOXX Industry Neutral Ax Factor Indices were introduced in February and leverage Axioma’s advanced portfolio-construction tools and risk models. They provide a robust choice for investors looking to remove unintended industry exposures and access the pure return of factors.
Eurex is listing futures tracking 12 STOXX® Industry Neutral Ax Factor Indices covering the European and US markets, allowing investors to target well-researched and robust factor strategies relying on Axioma.
The STOXX Industry Neutral Factor Indices are derived from two well-established market-capitalization regional benchmarks, the STOXX® Europe 600 Index and STOXX® USA 500 Index, offering a consistent methodology and factor definitions across regions. The indices track six styles: Value, Momentum, Size, Low Risk, Quality and Multi-Factor. The futures will start trading on April 26, Eurex said in a press release.
The STOXX Industry Neutral Ax Factor Indices were introduced in February and implement the same methodology of the STOXX® Factor Indices while reducing the active industry constraint from +/- 5% to near neutral. In all but eliminating industry deviations, the STOXX Industry Neutral Factor Indices may sacrifice some factor exposure, but benefit from targeting lower levels of active industry risk and accessing the pure return of the factor.
The STOXX Factor Indices and STOXX Industry Neutral Ax Factor Indices rely on Axioma’s proven factor models. They are built using widely accepted and institutionally tested factor definitions and Axioma’s advanced portfolio-construction tools and risk models. The STOXX Factor Indices maximize the exposure to the targeted factor while constraining the exposure to non-targeted factors.
All STOXX Factor indices have single-stock weight caps and the effective number of constituents is set to represent at least 30% of that of the benchmark to ensure adequate diversification. Besides the industry weighting limitations discussed earlier, they cap the country exposure deviation from the benchmark at 5% and limit the tracking error to a maximum of 5%. Additionally, they employ liquidity, turnover and tradability thresholds.
Facilitating the access to risk premia
Factor-based investing has become one of the most popular indexing segments in recent years. The new futures bring an innovative alternative to access the strategies, combining proven sources of risk premia, a transparent and state-of-the-art index methodology, and the cost-efficiency, safety and simplicity that exchange-traded and centrally-cleared listed derivatives provide.
Explore the new futures’ indices:
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