STOXX ESG Factor Indices Licensed To UniCredit

UniCredit is launching two exchange-traded funds (ETFs) on these indices today, which are listed in Frankfurt. The underlying indices are part of the Eurozone’s first index family combining a factor strategy with environmental, social and governance (ESG) screens.

Vincenzo Spadaro, Global Head of Institutional Equity Derivatives, UniCredit, said: “In order to meet ESG investment criteria, asset owners need to look for solutions beyond the traditional market-cap-weighted index. With the launch of these ETFs, we are proving once again that we can respond flexibly to market developments and the demands of our clients.”

“We are delighted that UniCredit is launching ETFs on our indices that combine ESG and factor strategies,” said Willem Keogh, STOXX’s Head of ESG, Thematic and Factor Solutions. “The indices enable investors to follow a multi-factor or minimum-variance strategy for the Eurozone while meeting standard ESG policies.”

Both indices are constructed on the EURO STOXX® Index and apply standardized ESG exclusion screens. This includes product involvement screening for controversial weapons, tobacco, thermal coal and nuclear power as well as a norm-based screening that follows the United Nations Global Compact principles of human and labor rights, the environment, business ethics and anti-corruption.

The EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor Index follows a multi-factor optimization process, seeking to diversify across the factors of profitability, earnings yield, leverage, value and low volatility. The EURO STOXX® ESG-X & Ex Nuclear Power Minimum Variance Unconstrained Index weights constituents according to a minimum-variance optimization.

The ESG filters are provided by Sustainalytics, while Axioma has developed the factor exposure analysis and optimization processes.