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 R. Brown, CFA
Managing Director of Applied Research
Olivier d'Assier
Senior Principal, Applied Research - APAC
Christoph Schon, CFA, CIPM
Senior Principal, Applied Research
Diana R. Baechle, PhD
Director, Applied Research
Natan Borshansky
Manager, Applied Research
