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iSTOXX® Factor Indexes

iSTOXX® Factor Indexes

For the first time European Factor Index Futures are listed on an exchange with Eurex' iSTOXX® Europe Factor Index Futures

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

Eurex now 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) are now available at Eurex. 

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

An Introduction to Factor-Based Strategies Through Futures

The increasing and more efficient capture of risk sources in the market has allowed investors to exploit these factors to obtain additional returns. Factor investing has seen a veritable surge in interest in recent years, and the possibilities of extracting, adapting and combining factor-based returns keep growing. STOXX’s head of applied research, Dr. Jan-Carl Plagge discusses how a factor-based strategy via futures opens a new door to uncorrelated risk premia.

Futures on iSTOXX® Europe Factor Indexes (factsheet)

The new futures enable investors to capture factor risk premia associated with the STOXX® Europe 600 benchmark and complements the existing Eurex suite of STOXX® futures and options, covering the Pan-European & Eurozone indexes. Read our factsheet.

iSTOXX® Europe Factor Index family

The new futures are based on the iSTOXX® Europe Factor index family developed by STOXX® in collaboration with Alpha Centauri and offer investors a unique and innovative way to target and capture premia. It consists of six single factors that aim to capture well-known risk premia: Momentum, Quality, Size, Carry, Value and Low-risk. All indexes are constructed to maximize the exposure to their particular factor and minimize unwanted risks. FIS APT risk model is used to measure and restrict risk in these indexes.

The future of Factor investing

Factor-based strategies are gaining traction and attracting more investor flows. At STOXX® annual "Innovate2Invest" conference, Aniket Das, Investment Strategist at Legal & General Investment Management (LGIM) and Dr. Jan-Carl Plagge of STOXX® discussed the futures of Factor investing and why factor-based investors fall into two camps.

Rafael Zanatta

London Representative Office
Sales

11 Westferry Circus, 2nd Floor, Canary Wharf
London E14 4HE

T +44-20-78 62-72 13

Christine Heyde

Eurex Frankfurt AG
Equity and Index Product Research and Development

Mergenthalerallee 61
65760 Eschborn

T +49-69-211-1 56 98

 

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