iSTOXX^® L&G UK Multi-Factor ESG

The STOXX® Global ESG Select KPIs offer a broad market exposure that is tilted towards companies that score better with respect to a small set of environmental, social, and governance KPIs.

Companies are selected and weighted by the following KPIs: CDP emission/energy reduction target, percentage of women on the board, percentage of independent directors, policy against child labor, golden parachute agreement. The index includes ESG exclusion screens for Global Standards Screening, Controversial Weapons, Small Arms, Military Contracting, Unconventional Oil & Gas, Thermal Coal, Tobacco, Private Prisons and ESG Controversies. KPI standardization by industry and country capping reduce unwanted systematic active exposures.

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

The STOXX ESG Broad Market Indices track the performance of a selection of STOXX indices after a set of compliance, involvement and ESG performance screens are applied.

Companies that are non-compliant based on the ISS ESG's Norms-based screening or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco Production, Small Arms, Military Contracting, ESG Controversies, coal, oil, gas and energy production, aligned with the EU Paris Aligned Benchmarks (PAB) exclusions. The remaining securities are ranked in descending order of their ISS ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.

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

The STOXX Europe Low Carbon Diversification Select 50 EUR Index captures the performance of low carbon emissions stocks with low correlation, low volatility and high dividends from the STOXX Europe 600 Index.

The component selection process first excludes all stocks that belong to the ICB Subsector 1771 (Coal), then selects in each ICB industry all stocks whose Carbon Intensity is the lowest. Next, it 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 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.  The index also exlcudes companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

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.