EURO STOXX^® Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms

The STOXX Climate Transition Benchmark Indices are based on liquid securities from a selection of STOXX Benchmark Indices. The indices are constructed to follow the EU Climate Transition Benchmark (EU CTB) 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 Climate Transition Benchmarks.

Companies identified as non-compliant based on norms-based Screening assessment, or are involved in Controversial Weapons, as identified by ISS ESG are not eligible for selection. Tobacco Producers are also excluded. Furthermore, STOXX will exclude companies that ISS ESG assesses to have significant obstruction in the following UN SDGs: SDG 12 Responsible Consumption and Production, SDG 13 Climate Action, SDG 14 Life Below Water and SDG 15 Life On Land.

The weighing process follows an optimization process to keep the tracking error less than on equal to 1.5% compared to the parent indes while meeting the minimum requirements detailed in the regulation. The STOXX Climate Transition Benchmark Indices aim to reduce their greenhouse gas intensity by at least 30% 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 Climate Transition 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.

These STOXX Low Carbon indices cover benchmark indices and the blue-chip index EURO STOXX 50®. By utilizing both estimated and reported carbon intensity scores, this index family represents broad indices with a variable number of components, covering the regions Global, Europe, Eurozone, USA and Japan. These indices closely track the risk-return profile of the underlying benchmark indices while offering a reduction in carbon emissions in the overall portfolio of constituents by overweighting lower carbon emitters, while underweighting higher carbon emitters. The indices are price weighted with a weight factor based on the free-float market cap multiplied by the corresponding Z-score carbon intensity factor of each constituent.  The indices also exlcude companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

STOXX uses  ISS ESG as reliable and professional data sources for the estimated and reported data. Data considered comprise Scope 1 (All direct GHG emissions) and Scope 2 (Indirect GHG emissions from consumption of purchased electricity, heat or steam) emissions.

STOXX calculates a comprehensive family of Low Carbon Indices. Click here to see all available indices.

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

The STOXX USA Low Carbon Diversification Select 50 USD Index captures the performance of US low carbon emissions stocks with low correlation, low volatility and high dividends from the STOXX Global 1800 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.

The ECPI Global Developed ESG HY Corporate Bond Monthly Hedged Index is a monthly hedged version of the ECPI Global Developed ESG High Yield Corporate Bond Index. The ECPI Hedged indices are an innovative investment tool that measures the performance of an underlying index while at the same time eliminating foreign currency fluctuations. The indices therefore combine the performance of the underlying ECPI index with a hypothetical, rolling investment into one-month foreign exchange forward contracts. The ECPI Hedged indices are designed to serve as a benchmark for actively managed funds and to underlie exchange traded funds and structured products.

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