Smart beta investing

STOXX® Factor Indexes

More choice for investors

Eurex expands its equity index segment with additional factor index futures. The futures cover factors in European and U.S. markets, represented by the STOXX® Europe 600 and the STOXX® USA 500 universes. All indexes are built using Axioma's proven factor model maintaining the same industry allocation as the respective benchmark.

Factor-based investing has become one of the most popular indexing segments in recent years. This investment approach targets specific drivers of return, setting it apart from traditional beta.

European and U.S. equity markets

The underlying indexes are derived from two well established, regional and market-capitalized benchmarks, tracking six different factor styles: Value, Momentum, Low Risk, Quality, Size- and a Multi-Factor index that targets exposure to all five single factors. Compared to trading the underlying or using OTC for tactical management, listed futures offer an easy, transparent and cost-efficient way of adjusting positions. 
 

STOXX® Europe 600 Factor Futures

Product Diff. to prev. day last Last price Contracts Time
FAXA +0.80% 278.60 0 18:54:53
FAXL +0.25% 221.95 0 18:54:25
FAXM +0.79% 319.40 0 18:54:43
FAXQ +0.87% 267.30 0 18:54:46
FAXS +0.57% 257.55 0 18:54:37
FAXV +0.39% 204.05 0 18:54:56
May 18, 2021 18:54:56 PM

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STOXX® USA 500 Factor Futures

Product Diff. to prev. day last Last price Contracts Time
FUAA +0.11% 323.70 0 18:54:32
FUAL +0.13% 263.10 0 18:54:32
FUAM +0.61% 406.20 0 18:54:46
FUAQ +0.24% 369.45 0 18:54:37
FUAS +0.24% 333.40 0 18:54:27
FUAV +0.18% 282.15 0 18:54:51
May 18, 2021 18:54:51 PM

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iSTOXX® Factor Futures

Product Diff. to prev. day last Last price Contracts Time
FXFC +0.37% 164.30 0 18:54:28
FXFM +0.39% 153.50 0 18:54:44
FXFQ +0.20% 153.80 0 18:54:40
FXFR +0.07% 153.70 0 18:54:35
FXFS +0.33% 153.10 0 18:54:25
FXFV +0.65% 124.50 0 18:54:37
May 18, 2021 18:54:44 PM

15 min. delayed -

Key Benefits

  • State-of-the-art factor index design by STOXX® / Qontigo
    Eurex utilized Axioma's expertise, factor definitions and optimizer to construct the risk factors, a familiar and trusted methodology for many institutional clients.
    Specific constraints have been incorporated to ensure tradability (e.g., number of constituents, tracking error, liquidity, maximum turnover, etc.) Quarterly review, together with the parent index (implementation after the close of the third Friday). For further information, see STOXX® Index methodology Guide chapter 21.
     
  • Global offering
    Our product range will provide a persistent offering across regions, which portfolio managers can use to manage a global factor portfolio. The first launch will include factors in Europe and U.S., factors for Japan and World will be added at a later date depending on demand.
     
  • Includes all standard factors in cash equity
    The standard factors of Value, Momentum, Low Risk, Quality and Size will be included in the cash equity space. A Multi-Factor, equally weighing these five factors, completes the STOXX® Industry Neutral AX Factor index product family.
     
  • A new tool for portfolio managers familiar with the Axioma risk model
    Up to this introduction, a listed offering of risk premia derivatives consistent across regions and factors, usable for tactical management of equity risk factor portfolios, was not yet available.

Contract Specs STOXX® Europe 600

STOXX® Europe 600 Factor Index Futures

Underlying indexes
STOXX® Europe 600 Industry Neutral Ax Value, Size, Quality, Multi-Factor, Momentum and Low Risk net total return indexes.
A detailed description of the various indices and the index rules and regulations can be found on the STOXX® website.

Contract multiplier
EUR 100 per index point.

Settlement 
Cash settlement, due on the first exchange day after the final settlement day.

Price determination
In points, with two decimal places.

Minimum price change
0.05 (equals EUR 5)

Contract months
The next three quarterly months of the cycle March, June, September and December (9 months).

Last trading day
The third Friday of each maturity month, if this is a trading day at Eurex Deutschland, otherwise the trading day immediately preceding that day. Close of trading for the maturing series is at 12:00 CET. The final settlement day is the trading day following the last trading day.

Final settlement price 
The average value of all index calculations of the respective STOXX® Europe 600 IN Ax Factor index in the time between 11:50 and 12:00 CET on the last trading day.

Contract Specs STOXX® USA 500

STOXX® USA 500 Factor Index Futures

Underlying indexes
STOXX® USA 500 Industry Neutral Ax Value, Size, Quality, Multi-Factor, Momentum and Low Risk indices net total return.
A detailed description of the various indices and the index rules and regulations can be found on the STOXX® website.

Contract multiplier
EUR 100 per index point.

Settlement 
Cash settlement, due on the first exchange day after the final settlement day.

Price determination
In points, with two decimal places.

Minimum price change
0.05 (equals EUR 5)

Contract months
The next three quarterly months of the cycle March, June, September and December (9 months).

Last trading day
The third Friday of each maturity month, if this is a trading day at Eurex Deutschland, otherwise the trading day immediately preceding that day. Close of trading for the maturing series is at 12:00 CET. The final settlement day is the trading day following the last trading day.

Final settlement price 
Relevant for the STOXX®USA 500 Factor Index Futures is the index closing price on the last trading day.

iSTOXX® Factor Indexes

Passive investing has revolutionized the style of investment approaches the market demands, creating a need for sophisticated and diversified index concepts using different selection and weighting methods. The trend of passive investing has led to the development of iSTOXX® Europe Factors. These are systematic rule-based indices designed to isolate the return of market factors and earn a risk premium over time.

Eurex offers Smart Beta futures. With the introduction of the six futures on the iSTOXX® Europe Factor Indexes, innovative derivatives targeted at collecting premium from well documented risk factors (Value, Carry, Momentum, Size, Low Risk and Quality). 

The underlying indexes are distinguished by the individual factor premium, whereas the contract specifications are in line with the already existing futures on STOXX® Indexes.
 

Contacts

Dorte Carlsen

London Representative Office
Equity & Index Sales EMEA

London E14 4HE

T +44-207-8 62-72 17

Christine Heyde

Eurex Frankfurt AG
Equity & Index Product Design

65760 Eschborn

T +49-69-211-1 56 98