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ISTOXX INDICES

iSTOXX L&G Dev World ESG

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Index Description

The iSTOXX L&G Developed World ESG index is designed to track an ESG-weighted market cap benchmark based on STOXX Developed World, where the ESG scores are provided by Legal and General Investment Management (LGIM). The index rules aim to ensure tradability, diversification, and untargeted factor and industry/country exposures are risk managed.

Key facts

  • Innovative minimum volatility solution that incorporates LGIM's proprietary ESG scores
  • Explicitly designed to minimize portfolio volatility whilst incorporating ESG considerations
  • Embedded diversification elements across industry and country exposures

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX L&G Dev World ESG N/A 109.8 0.1 0.0 3.7 0.0 3.4 0.0 14.0
STOXX Developed World 75,211.6 68,687.3 43.0 13.9 3,416.4 0.2 5.0 0.0 2.5

Supersector weighting (top 10)

Country weighting

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX L&G Dev World ESG 6.9 25.5 30.5 28.2 70.6 N/A N/A 31.0 8.7 11.4
STOXX Developed World 7.2 25.5 29.9 29.8 72.0 N/A N/A 29.9 9.1 11.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Dev World ESG N/A N/A 11.2 14.4 17.9 N/A N/A 2.1 0.4 0.5
STOXX Developed World N/A N/A 11.5 14.3 17.6 N/A N/A 2.0 0.4 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G Dev World ESG 1.0 1.0 1.0 1.0 1.0 1.6 1.3 1.2 1.4 1.4
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Dev World ESG 1.0 1.0 1.0 1.0 1.0 -2.4 0.1 0.6 -0.2 0.1

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Price), all data as of November 29, 2024

ISTOXX INDICES

iSTOXX L&G Dev World ESG

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
iSTOXX L&G Dev World ESG 26.8 20.9 24.3 24.3 3.6 1.9 2.5 19.1
STOXX Developed World 26.0 21.4 24.1 24.1 3.7 1.8 2.4 23.7

Performance and annual returns

Methodology

The iSTOXX L&G Developed World ESG index is designed to track an ESG-weighted market cap benchmark based on STOXX Developed World, where the ESG scores are provided by Legal and General Investment Management (LGIM). The index rules aim to ensure tradability, diversification, and untargeted factor and industry/country exposures are risk managed.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0462362697 ISWDEGE .ISWDEGE
Price EUR CH0462362713 ISWDEPE .ISWDEPE
Net Return EUR CH0462362705 ISWDENE .ISWDENE
Price GBP CH0462362804 ISWDEP .ISWDEP
Net Return GBP CH0462362796 ISWDEN .ISWDEN
Gross Return GBP CH0462362788 ISWDEG .ISWDEG
Gross Return USD CH1213356996 ISWDEGU .ISWDEGU
Price USD CH1213357010 ISWDEPU .ISWDEPU
Net Return USD CH1213357002 ISWDENU .ISWDENU

Quick Facts

Weighting Optimization
Cap Factor N/A
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 100 as of March. 24, 2014
History Available from Mar. 24, 2014
Inception date November. 30, 2022
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
NVIDIA Corp. Technology USA 3.368%
Apple Inc. Technology USA 3.035%
Microsoft Corp. Technology USA 2.851%
Amazon.com Inc. Retail USA 1.824%
META PLATFORMS CLASS A Technology USA 1.806%
BROADCOM Technology USA 1.531%
TESLA Automobiles and Parts USA 1.162%
ALPHABET INC. CL A Technology USA 1.128%
ALPHABET CLASS C Technology USA 1.086%
JPMorgan Chase & Co. Banks USA 1.083%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of November 29, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their 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 exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their 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 exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.