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THEME INDICES

STOXX Global Climate Change Leaders

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Index Description

The STOXX Global Climate Change Leaders Index is based on the CDP “A list” database, previously known as the Climate Performance Leadership list. This unique index concept includes carbon leaders who are publicly committed to reducing their carbon footprint. CDP’s “A List” was originally produced at the request of 767 investors who represent more than a third of the world’s invested capital. STOXX Climate Change Leaders Index is the first ever that tracks the CDP “A List” available to market participants, offering a fully transparent and tailored solution to address long-term climate risks, while participating in the sustainable growth of a low-carbon economy. The index is 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. Components with lower carbon intensities are overweighted, while those with higher carbon emission are underweighted. 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. Learn more about our Low Carbon Indices here.

Key facts

  • Derived from STOXX broad, yet liquid broad indices to ensure tradability.
  • The index tracks only stocks who are publicly committed to reducing carbon emissions.
  • The index is the first ever that tracks the CDP 'A List' available to market participants, offering a fully transparent and tailored solution to address long-term climate risks, while participating in the sustainable growth of a low-carbon economy.

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
STOXX Global Climate Change Leaders N/A 78.4 0.3 0.1 4.5 0.0 5.7 0.0 58.2
STOXX Global 1800 63,660.0 57,885.3 32.2 10.8 2,815.2 0.2 4.9 0.0 3.1

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
STOXX Global Climate Change Leaders 8.2 19.2 16.3 29.2 69.2 N/A N/A 16.5 9.0 11.2
STOXX Global 1800 9.4 18.1 13.5 22.6 63.1 N/A N/A 13.6 7.1 10.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global Climate Change Leaders N/A N/A 11.3 13.5 16.9 N/A N/A 1.2 0.6 0.6
STOXX Global 1800 N/A N/A 12.2 15.1 18.1 N/A N/A 1.0 0.4 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Global Climate Change Leaders 0.9 0.9 0.9 0.9 1.0 4.0 4.6 4.7 5.8 5.5
Index to benchmark Beta Annualized information ratio
STOXX Global Climate Change Leaders 0.8 0.9 0.9 0.8 0.9 -3.2 0.2 0.5 0.2 0.1

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of November 30, 2023

THEME INDICES

STOXX Global Climate Change Leaders

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
STOXX Global Climate Change Leaders 22.0 18.6 20.3 20.3 3.6 2.8 2.3 22.2
STOXX Global 1800 20.2 17.2 18.1 18.1 0.1 2.4 1.8 16.2

Performance and annual returns

Methodology

Based on the CDP A-list, previously the Climate Performance Leadership list, dataset as provided by CDP. STOXX calculates a Z-score for the population and the index is price weighted with a weight factor based on the free-float market capitalization multiplied by the corresponding Z-score carbon intensity factor of each constituent. This procedure creates a tilt and will overweight those stocks with lower carbon intensities and underweight companies the one with higher carbon intensities. Individual components are subject to a 5% cap.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return USD CH0304746370 SXCCLUG SXCCLUG INDEX .SXCCLUG
Price EUR CH0304746321 SXCCLEP SXCCLEP INDEX .SXCCLEP
Price USD CH0304746339 SXCCLUP .SXCCLUP
Net Return EUR CH0304746347 SXCCLEN .SXCCLEN
Net Return USD CH0304746354 SXCCLUN .SXCCLUN
Gross Return EUR CH0304746362 SXCCLEG .SXCCLEG

Quick Facts

Weighting Price weighted; weight factor based on FF M-cap multiplied by Z-score carbon intensity factor of each constituent.
Cap Factor 5% on component level
No. of components Variable
Review frequency Components: Annually. Shares, Free Float and Weight Factor: Quarterly
Calculation/distribution See https://www.stoxx.com/data-vendor-codes
Calculation hours End-of-day
Base value/base date 100 on Dec. 19, 2011
History Yes
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
Microsoft Corp. Technology USA 5.694%
VISA Inc. Cl A Industrial Goods and Services USA 5.149%
ALPHABET CLASS C Technology USA 4.875%
ALPHABET INC. CL A Technology USA 4.858%
Johnson & Johnson Health Care USA 4.791%
ADOBE Technology USA 3.664%
Accenture PLC Cl A Industrial Goods and Services USA 2.889%
NOVARTIS Health Care Switzerland 2.627%
LVMH MOET HENNESSY Consumer Products and Services France 2.591%
Cisco Systems Inc. Telecommunications USA 2.586%

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

4Based on the composition as of November 30, 2023

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.