ZUG (January 21, 2025) — STOXX Ltd., part of the ISS STOXX group of companies and a leading provider of benchmark and custom index solutions to global institutional investors, today announced its expanding collaboration with BlackRock, with iShares STOXX World Equity Multifactor UCITS ETF, iShares STOXX Europe Equity Multifactor UCITS ETF, iShares STOXX US Equity Multifactor UCITS ETF now tracking the STOXX® Developed World Equity Factor Screened index, the STOXX® Developed Europe Equity Factor Screened index, and the STOXX® US Equity Factor Screened index respectively. The STOXX indices implement optimized strategies targeting risk premia while controlling for risk, and additionally screen out companies based on controversial activities and carbon emissions. The switch expands a successful multifactor collaboration between STOXX and BlackRock that now includes ten iShares ETFs with total assets under management of USD 6.4 billion.[1]
“The STOXX Equity Factor Screened indices offer investors a unique methodology to target long-term potential outperformance and diversified exposure while controlling for systematic risk and integrating sustainability principles,” said Axel Lomholt, General Manager at STOXX. “Our expanding collaboration with BlackRock allows us to combine our indexing and portfolio construction capabilities with industry-leading factor analytics and design, to capture potential for long-term enhanced returns.”
The STOXX Equity Factor Screened indices seek to capture the fundamental drivers of equity performance through five signals: Quality, Value, Momentum, Low Size and Low Volatility. The indices’ methodology follows an optimization process that maximizes the allocation to a multifactor alpha signal, while satisfying a set of constraints designed to avoid unintended and uncompensated bets, and control for active risk. The multifactor alpha signal is created by combining the following factors and weights: 36% Quality, 27% Momentum, 27% Value, 5% Low Volatility and 5% Low Size. The construction methodology incorporates constraints around sector, countries, individual companies and single-factor exposures, and controls for turnover, beta and tracking error relative to the broad market. The indices also implement baseline exclusions[2] and reduced greenhouse gas (GHG) intensity relative to the parent benchmark.
Because of its full-market-cycle performance potential, many investors tend to leverage a multifactor strategy to mitigate long periods of underperformance from a given individual factor and enhance risk-adjusted returns. Controlling how much a multifactor index can be tilted toward any single factor creates diversified and consistent factor profiles and prevents the index from loading too much (or not enough) on one individual factor.
Technological advancements have in recent years allowed for improved factor portfolios that accurately hone in on the potential for long-term enhanced returns without inherent pitfalls such as unwanted biases, sustained periods of underperformance or high costs.
BlackRock in 2022 enhanced its multifactor suite in the US, adopting STOXX indices for the iShares U.S. Equity Factor ETF (LRGF) — which tracks the STOXX® U.S. Equity Factor index — and iShares International Equity Factor ETF (INTF) — which mirrors the STOXX® International Equity Factor index. In March last year, the asset manager expanded the coverage of STOXX factor strategies in adopting the following four indices to underlie respective iShares ETFs: STOXX® Global Equity Factor, STOXX® Emerging Markets Equity Factor, STOXX® U.S. Small-Cap Equity Factor and STOXX® International Small-Cap Equity Factor.
About STOXX
STOXX® and DAX® indices comprise a global and comprehensive family of more than 18,000 strictly rules-based and transparent indices. Best known for the leading European equity indices EURO STOXX 50®, STOXX® Europe 600 and DAX®, the portfolio of index solutions consists of total market, benchmark, blue-chip, sustainability, thematic and factor-based indices covering a complete set of world, regional and country markets. STOXX and DAX indices are licensed to more than 550 companies around the world for benchmarking purposes and as underlyings for ETFs, futures and options, structured products, and passively managed investment funds. STOXX Ltd., part of the ISS STOXX group of companies, is the administrator of the STOXX and DAX indices under the European Benchmark Regulation. stoxx.com
About ISS STOXX
ISS STOXX GmbH, through its group companies, is a leading provider of comprehensive and data-centric research and technology solutions that help capital market participants identify investment opportunities, detect qualitative and quantitative portfolio company risks, and meet evolving regulatory requirements. With roots dating back to 1985, we today deliver world-class benchmark and custom indices across asset classes and geographies and serve as a premier source of independent corporate governance, sustainability, cyber risk, and fund intelligence research, data, and related offerings. Our products and services give clients the scale and leverage they need to grow their business more effectively and efficiently. ISS STOXX, which is majority owned by Deutsche Börse Group, is comprised of more than 3,400 professionals operating across 33 global locations in 19 countries. Its approximately 6,400 clients include many of the world’s leading institutional investors who turn to ISS STOXX for its objective and varied offerings, as well as companies focused on ESG, cyber, and governance risk mitigation as a shareholder value enhancing measure. Clients rely on ISS STOXX’s expertise to help them make informed decisions to benefit their stakeholders.
Media Contact:
Sarah Ball
Executive Director, Communications
press@iss-stoxx.com
Legal disclaimer:
STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. None of their products or services recommends, endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or trading strategies. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company and may not be relied on as such. Financial instruments based on the STOXX® indices, DAX® indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Börse Group or their licensors, research partners or data providers.
[1] Data as of November 7, 2024.
[2] Exclusionary screens include Global Standards Screening, Controversy Rating, Tobacco, Thermal Coal, Unconventional Oil & Gas and Weapons.
STOXX Expands Collaboration with BlackRock through Adoption of STOXX Indices to Underlie Three Multifactor iShares ETFs
ZUG (January 21, 2025) — STOXX Ltd., part of the ISS STOXX group of companies and a leading provider of benchmark and custom index solutions to global institutional investors, today announced its expanding collaboration with BlackRock, with iShares STOXX World Equity Multifactor UCITS ETF, iShares STOXX Europe Equity Multifactor UCITS ETF, iShares STOXX US Equity Multifactor UCITS ETF now tracking the STOXX® Developed World Equity Factor Screened index, the STOXX® Developed Europe Equity Factor Screened index, and the STOXX® US Equity Factor Screened index respectively. The STOXX indices implement optimized strategies targeting risk premia while controlling for risk, and additionally screen out companies based on controversial activities and carbon emissions. The switch expands a successful multifactor collaboration between STOXX and BlackRock that now includes ten iShares ETFs with total assets under management of USD 6.4 billion.[1]
“The STOXX Equity Factor Screened indices offer investors a unique methodology to target long-term potential outperformance and diversified exposure while controlling for systematic risk and integrating sustainability principles,” said Axel Lomholt, General Manager at STOXX. “Our expanding collaboration with BlackRock allows us to combine our indexing and portfolio construction capabilities with industry-leading factor analytics and design, to capture potential for long-term enhanced returns.”
The STOXX Equity Factor Screened indices seek to capture the fundamental drivers of equity performance through five signals: Quality, Value, Momentum, Low Size and Low Volatility. The indices’ methodology follows an optimization process that maximizes the allocation to a multifactor alpha signal, while satisfying a set of constraints designed to avoid unintended and uncompensated bets, and control for active risk. The multifactor alpha signal is created by combining the following factors and weights: 36% Quality, 27% Momentum, 27% Value, 5% Low Volatility and 5% Low Size. The construction methodology incorporates constraints around sector, countries, individual companies and single-factor exposures, and controls for turnover, beta and tracking error relative to the broad market. The indices also implement baseline exclusions[2] and reduced greenhouse gas (GHG) intensity relative to the parent benchmark.
Because of its full-market-cycle performance potential, many investors tend to leverage a multifactor strategy to mitigate long periods of underperformance from a given individual factor and enhance risk-adjusted returns. Controlling how much a multifactor index can be tilted toward any single factor creates diversified and consistent factor profiles and prevents the index from loading too much (or not enough) on one individual factor.
Technological advancements have in recent years allowed for improved factor portfolios that accurately hone in on the potential for long-term enhanced returns without inherent pitfalls such as unwanted biases, sustained periods of underperformance or high costs.
BlackRock in 2022 enhanced its multifactor suite in the US, adopting STOXX indices for the iShares U.S. Equity Factor ETF (LRGF) — which tracks the STOXX® U.S. Equity Factor index — and iShares International Equity Factor ETF (INTF) — which mirrors the STOXX® International Equity Factor index. In March last year, the asset manager expanded the coverage of STOXX factor strategies in adopting the following four indices to underlie respective iShares ETFs: STOXX® Global Equity Factor, STOXX® Emerging Markets Equity Factor, STOXX® U.S. Small-Cap Equity Factor and STOXX® International Small-Cap Equity Factor.
About STOXX
STOXX® and DAX® indices comprise a global and comprehensive family of more than 18,000 strictly rules-based and transparent indices. Best known for the leading European equity indices EURO STOXX 50®, STOXX® Europe 600 and DAX®, the portfolio of index solutions consists of total market, benchmark, blue-chip, sustainability, thematic and factor-based indices covering a complete set of world, regional and country markets. STOXX and DAX indices are licensed to more than 550 companies around the world for benchmarking purposes and as underlyings for ETFs, futures and options, structured products, and passively managed investment funds. STOXX Ltd., part of the ISS STOXX group of companies, is the administrator of the STOXX and DAX indices under the European Benchmark Regulation. stoxx.com
About ISS STOXX
ISS STOXX GmbH, through its group companies, is a leading provider of comprehensive and data-centric research and technology solutions that help capital market participants identify investment opportunities, detect qualitative and quantitative portfolio company risks, and meet evolving regulatory requirements. With roots dating back to 1985, we today deliver world-class benchmark and custom indices across asset classes and geographies and serve as a premier source of independent corporate governance, sustainability, cyber risk, and fund intelligence research, data, and related offerings. Our products and services give clients the scale and leverage they need to grow their business more effectively and efficiently. ISS STOXX, which is majority owned by Deutsche Börse Group, is comprised of more than 3,400 professionals operating across 33 global locations in 19 countries. Its approximately 6,400 clients include many of the world’s leading institutional investors who turn to ISS STOXX for its objective and varied offerings, as well as companies focused on ESG, cyber, and governance risk mitigation as a shareholder value enhancing measure. Clients rely on ISS STOXX’s expertise to help them make informed decisions to benefit their stakeholders.
Media Contact:
Sarah Ball
Executive Director, Communications
press@iss-stoxx.com
Legal disclaimer:
STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. None of their products or services recommends, endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or trading strategies. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company and may not be relied on as such. Financial instruments based on the STOXX® indices, DAX® indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Börse Group or their licensors, research partners or data providers.
[1] Data as of November 7, 2024.
[2] Exclusionary screens include Global Standards Screening, Controversy Rating, Tobacco, Thermal Coal, Unconventional Oil & Gas and Weapons.
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