STOXX Equity Factor Indices®

Index methodology overview
The STOXX Equity Factor Indices are core equity indices that seek above average exposure to five factors –quality, value, momentum, low size and low volatility while being mindful of diversification considerations acrosssector, countries, individual companies, and other systematic exposures. The indices also offer low turnover andlow tracking error relative to the broad market.

Key benefits
CORE
INVESTMENT
FACTOR
EXPERTISE

MODERNINDEX DESIGN

Upgrade your core equity building blocks with multifactor indices designed withenhanced diversification and risk considerations.
Access Qontigo's factor investing and portfolio construction expertise withfactor indices that combine the robust indexing capabilities of STOXX with
Axioma portfolio construction tools.
Efficiently capture the potential return enhancing benefits of multifactor
investing through diversified exposure to a combination of five target style factors:
momentum, quality, value, low size and low volatility.

Target factors

Quality

ValueMomentum

Low size

Low volatility

Methodology summary

1

Choose thestartinguniverse2Identify anddefine thetarget factors

3Create themultifactor
alpha signal

4Select andweightsecurities

Methodology details
1 Choose the starting universe
EQUITY FACTOR INDEXPARENT INDEXSTOXX U.S. Equity Factor Index

STOXX USA 900 Index

STOXX International Equity Factor Index

STOXX Global 1800 ex USA Index

2 Identify and define the target factors
FACTORDESCRIPTION

DEFINITION

QualityCompanies exhibiting
strong balance sheets andgood health.

> Accruals, Dilution, Gross Profitability, Change in
Net Operating Assets (NOA), Carbon Emissions
Intensity, and Science Based Targets (SBTI).

Value

Companies that areinexpensive compared totheir fundamentals.

> Book to Price, Cash Flow Yield, Time Series
Normalized Cash Flow Yield, Dividend Yield
and Earnings Yield.

MomentumCompanies demonstrating
an upward price trend.

> Earnings Announcement Drift, Earnings
Momentum, and Price Momentum.

Low size

Smaller companies.

> Total market capitalization in USD.

Low volatility

Companies that tend to be lessrisky than the broader market.

> Standard deviation of monthly total returns
over last 12 months.

3 Create the multifactor alpha signal
The multifactor alpha signal is created by combining the five factors:

Quality

Value

MomentumLow size

Low volatility

4 Select and weight securities
The indices leverage the Axioma portfolio optimizer to select and weight securities. The objective of theoptimization is to maximize exposure to the multifactor alpha signal. To ensure diversification and control for
unintended systematic exposures and turnover the following constraints are applied:> Individual security and issue weights> Active sector and country exposures> Active single factor exposures> Turnover> Tracking error> Predicted beta

5 Index maintenance
The index is rebalanced quarterly in March, June, September, and December.
For full index methodology, please refer to the STOXX® Index Methodology Guide.
STOXX Ltd. (STOXX) and Qontigo Index GmbH (together “Qontigo”) and its licensors, research partners or data providers do not make any warranties orrepresentations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particularpurpose of its indices and index data and exclude any liability in connection therewith. Qontigo and its licensors, research partners or data providers are not providing
investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusionof a company from an index, does not in any way reflect an opinion of Qontigo or their licensors, research partners or data providers on the merits of that company.
Financial instruments based on Qontigo’s STOXX® and DAX® indices or on any other indices supported by Qontigo are in no way sponsored, endorsed, sold orpromoted by Qontigo or their licensors, research partners or data providers. STOXX is a registered trademark of STOXX Ltd., Zug, Switzerland.

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support@qontigo.com

APRIL 2022