iSTOXX^® L&G North America Multi-Factor

The STOXX Europe ESG Social Leaders Diversification Select 30 EUR Index captures the performance of European stocks with low correlation, low volatility and high dividends from the STOXX Global ESG Social Leaders Index.

The component selection process first excludes all stocks with the highest 12-month average correlation with all other stocks in the benchmark, then excludes stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same.

Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

Index Guides, Benchmark statement, and other reports are available under the Data tab.

The STOXX Paris-Aligned Benchmark Indices are based on liquid securities from a selection of STOXX Benchmark Indices. The indices are constructed to follow the EU Paris-aligned Benchmark (EU PAB) requirements outlined in the Commission Delegated Regulation (EU) 2020/1818 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards minimum standards for EU Paris-aligned Benchmarks.

Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment, are involved in Controversial Weapons or display a Severe (Category 5) Controversy Rating, as identified by Sustainalytics are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities are excluded. Additionally, securities that derive more than 10% of their revenues from thermal coal-based power generation, or more than 50% from power generation with carbon intensity of lifecycle emissions higher than 100gCO2e/kWh are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDG 12,13,14,15.

The weighing process follows an optimization process to meet the minimum requirements detailed in the TEG report. The STOXX Paris-Aligned Benchmark Indices aim to reduce their greenhouse gas intensity by at least 50% when compared to their underlying benchmarks. They are also designed to meet the year on year 7% decarbonization target.

High climate impact sector weights of the STOXX Paris-Aligned Benchmark Indices are not underweighted relative to the underlying benchmark. The indices also overweigh securities with Science Based Targets, as verified by the Science Based Target initiative (SBTi).

Index Guides, Benchmark statement, and other reports are available under the Data tab.

The STOXX Benchmark ESG-X Indices are based on a selection of STOXX Benchmark Indices and apply standardized ESG exclusion screens. The screens are based on the responsible policies of leading asset owners and aim to reduce reputational and idiosyncratic risks.  

STOXX excludes companies that Sustainalytics considers to be non-compliant with its Global Standards Screening, that are involved in controversial weapons or severe controversies, are tobacco producers, or that either derive revenues from thermal coal ext have power generation capacity that utilizes thermal coal.  

STOXX Benchmark ESG-X Indices are suitable as underlying indices for mandates, passive funds, ETFs, structured products and listed derivatives, with the ambition to increase liquidity and lower the cost of trading.

Index Guides, Benchmark statement, and other reports are available under the Data tab.