iSTOXX^® L&G UK Multi-Factor

The STOXX Global ESG Leaders Diversification Select 50 EUR Index captures the performance of stocks with low correlation, low volatility and high dividends from the STOXX Global ESG Leaders Index.

The component selection process first excludes all stocks with the highest 12-months average correlation with all other stocks of the benchmark, then excludes stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 50 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 iSTOXX MUTB Global Paris Aligned Index is designed to help investors shift towards a low-carbon economy. They are based on liquid securities selection form its parent index, STOXX Global 1800. Companies identified as non-compliant according to their Global Standards Screening (GSS) assessment or that are involved in Very Severe ESG Controversies or Controversial Weapons or Tobacco Production, are not eligible for selection. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities, or from fossil fuel-based power generation are not considered for selection. Furthermore, companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15 are excluded from the selection universe. The weighing process follows an optimization model that minimizes its exposure to a risk score consisting of four sustainable terms subject to constraints.

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

The iSTOXX L&G Multifactor index is designed to provide exposure to regional Value, Momentum, Low Volatility and Quality risk-premia factors, where style factor scores are provided by Legal and General Investment Management (LGIM). The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity.

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