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THEME INDICES

ISS STOXX Emerging Markets ESG Climbers

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Index Description

The ISS STOXX Emerging Markets ESG Climbers Index selects securities from the STOXX Emerging Markets universe that consistently improve their ESG performance, with standardized ESG exclusion screens applied for ISS ESG Norms Based Screening assessment, a set of definitions for Controversial Weapons, Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms and Military Equipment. The objective is to select such companies that are on trajectory to become ESG leaders in the future, based on whether their ISS ESG Corporate Ratings Overall Numeric Scores have improved at least 3 times over the past 5 years in case of new constituents and 2 times in case of existing constituents. The methodology also removes securities whose issuers are poor ESG performers, where their ISS ESG Corporate Ratings Overall Numeric Score is lower than 1.75. Securities whose issuers do not receive ESG Rating as of the effective review are also excluded.

Key facts

  • Selecting companies consistently improving their ESG performance.
  • Removing ESG laggards.
  • Extensive set of exclusions.
  • SFDR Article 8 eligible

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
ISS STOXX Emerging Markets ESG Climbers N/A 1,181.0 6.6 3.0 97.0 0.1 8.2 0.0 37.5
STOXX Emerging Markets 24,789.0 8,525.4 3.9 0.9 780.7 0.0 9.2 0.0 7.9

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
ISS STOXX Emerging Markets ESG Climbers -3.4 14.1 31.7 7.5 N/A N/A N/A 31.6 2.4 N/A
STOXX Emerging Markets -4.5 12.5 26.7 -2.6 23.8 N/A N/A 26.6 -0.9 4.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
ISS STOXX Emerging Markets ESG Climbers N/A N/A 15.9 16.6 16.3 N/A N/A 1.8 0.1 0.0
STOXX Emerging Markets N/A N/A 13.5 16.1 17.8 N/A N/A 1.9 -0.1 0.2
Index to benchmark Correlation Tracking error (%)
ISS STOXX Emerging Markets ESG Climbers 0.9 1.0 1.0 0.9 0.9 7.0 5.2 5.1 7.6 8.0
Index to benchmark Beta Annualized information ratio
ISS STOXX Emerging Markets ESG Climbers 1.3 1.1 1.1 0.9 0.7 1.9 0.4 0.8 0.4 0.3

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of October 31, 2024

THEME INDICES

ISS STOXX Emerging Markets ESG Climbers

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
ISS STOXX Emerging Markets ESG Climbers 16.6 13.3 15.5 15.5 1.8 4.1 0.7 32.1
STOXX Emerging Markets 17.2 13.8 15.5 15.5 1.8 3.2 0.9 25.0

Performance and annual returns

Methodology

The ISS STOXX Emerging Markets ESG Climbers index select securities issued by companies that consistently improve their ESG performance, with standardized ESG exclusion screens applied for ISS ESG Norms Based Screening assessment, a set of definitions for Controversial Weapons, Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms and Military Equipment. The objective is to select such companies that are on trajectory to become ESG leaders in the future. The methodology also removes securities whose issuers are poor ESG performers, where their ISS ESG Corporate Ratings Overall Numeric Score is lower than 1.75. Securities whose issuers do not receive ESG Ratings as of the effective review are also excluded.
Companies are considered to have improved their ESG performance if their quarterly numeric rating change surpasses a pre-defined positive threshold (i.e., >= 0.025); companies are considered to have deteriorating ESG performance if such rating change is below a pre-defined negative threshold (i.e., < -0.01).
Rating change is calculated on a quarterly basis over the past 5 years, which is then counted and considered at the company issuer level for security selection. Securities are only selected if their issuers demonstrate at least 5 times of improvement if they are assigned to Developed Markets and at least 3 times of improvement if they are assigned to Emerging Markets in the past 5 years, and are required to improve at least 3 times if they are assigned to Developed Markets and 2 times if they are assigned to Emerging Markets in order to remain as constituents without demonstrating deterioration (i.e., 0 count of deterioration).

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0122730531 SEMCLMR .SEMCLMR
Price EUR CH0122730523 SEMCLMP .SEMCLMP
Gross Return EUR CH0122730549 SEMCLMGR .SEMCLMGR
Gross Return USD CH0122730572 SEMCLMGV SEMCLMGV INDEX .SEMCLMGV
Net Return USD CH0122730564 SEMCLMV .SEMCLMV
Price USD CH0122730556 SEMCLML .SEMCLML

Quick Facts

Weighting Price weighted with a weighting factor and capping factor
Cap Factor 8
No. of components Variable
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 1000 as of Mar. 22, 2021
History Available since 22 Mar 2021
Inception date June. 05, 2024
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
TSMC Technology Taiwan 8.217%
Hon Hai Precision Industry Co Technology Taiwan 6.073%
JD COM 'A' Retail China 3.716%
Trip.com Group Ltd Travel and Leisure China 3.067%
PING AN INSUR GP CO. OF CN 'H' Insurance China 3.047%
Bank Central Asia Tbk PT Banks Indonesia 2.719%
ITAU UNIBANCO HOLDING SA -PREF Banks Brazil 2.225%
NetEase Inc Consumer Products and Services China 2.198%
Fubon Financial Holding Co Ltd Insurance Taiwan 2.085%
Quanta Computer Inc Technology Taiwan 2.066%

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

4Based on the composition as of October 31, 2024

THEME INDICES

ISS STOXX Emerging Markets ESG Climbers

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.