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BENCHMARK INDICES

iSTOXX Global Climate Change ESG

Index Description

The iSTOXX Global Climate Change ESG Index is based on liquid securities from the STOXX Global 1800 Index. The index is constructed to follow the EU Paris-Aligned Benchmark (EU PAB) 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 Paris-aligned Benchmarks Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment or are involved in Controversial Weapons are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities are excluded. Additionally, securities that derive more than 10% of their revenues from thermal coal-based power generation, or more than 50% from power generation with carbon intensity of lifecycle emissions higher than 100gCO2e/kWh are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15 or have involvement in the production of military equipment and/or the provision of related services.

Key facts

  • The indices are designed to help investors shift towards a low-carbon economy and align investments to the Paris Climate Agreement
  • Scope 1, Scope 2 and Scope 3 are used across all sectors from the first date of the index construction
  • The indices aim to reduce their greenhouse gases emission intensity by at least 50% when compared to their underlying benchmarks
  • Sectors key to the low-carbon transition, high climate impact sectors, arenot underweighted relative to the underlying benchmarks
  • The STOXX Paris-Aligned Benchmark Indices are designed to meet the year on year 7% decarbonization target
  • Indices overweight securities with concrete targets and emission reduction targets verified by the Science Based Target initiative (SBTi)

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 Global Climate Change ESG N/A 101.4 0.1 0.0 4.7 0.0 4.6 0.0 25.9
STOXX Global 1800 69,476.9 63,765.3 35.4 11.4 3,174.2 1.4 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 Global Climate Change ESG 0.9 14.3 22.4 32.2 86.2 N/A N/A 22.8 9.9 13.4
STOXX Global 1800 1.1 18.0 26.2 35.3 82.5 N/A N/A 26.7 10.7 12.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Global Climate Change ESG N/A N/A 11.2 14.8 17.5 N/A N/A 1.5 0.5 0.7
STOXX Global 1800 N/A N/A 11.2 14.1 17.4 N/A N/A 1.7 0.6 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX Global Climate Change ESG 1.0 1.0 1.0 1.0 1.0 2.3 2.4 2.4 2.7 2.6
Index to benchmark Beta Annualized information ratio
iSTOXX Global Climate Change ESG 0.9 1.0 1.0 1.0 1.0 -0.8 -1.9 -1.3 -0.3 0.1

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of September 30, 2024

BENCHMARK INDICES

iSTOXX Global Climate Change 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 Global Climate Change ESG 30.0 23.3 28.1 28.1 4.9 2.0 2.6 21.8
STOXX Global 1800 23.8 20.6 22.0 22.0 3.5 2.4 2.3 18.4

Performance and annual returns

Methodology

The iSTOXX Global Climate Change ESG Index is based on liquid securities from the STOXX Global 1800 Index. The index is constructed to follow the EU Paris-Aligned Benchmark (EU PAB) 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 Paris-aligned Benchmarks

Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment or are involved in Controversial Weapons are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities are excluded. Additionally, securities that derive more than 10% of their revenues from thermal coal-based power generation, or more than 50% from power generation with carbon intensity of lifecycle emissions higher than 100g CO2e/kWh are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15 or have involvement in the production of military equipment and/or the provision of related services.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0462361657 SXGPABWG .SXGPABWG
Net Return EUR CH0462361640 SXGPABWR SXGPABWR INDEX .SXGPABWR
Price EUR CH0462361632 SXGPABWE SXGPABWE INDEX .SXGPABWE
Gross Return USD CH0462361681 SXGPABWV .SXGPABWV
Net Return USD CH0462361673 SXGPABWU SXGPABWU INDEX .SXGPABWU
Price USD CH0462361665 SXGPABWL .SXGPABWL

Quick Facts

Weighting Price-weighted
Cap Factor Optimization process
No. of components Variable
Review frequency Annual
Calculation/distribution Realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 100 as of March 19, 2018
History Available from Mar. 19, 2018
Inception date May. 13, 2022
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

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.

BENCHMARK INDICES

iSTOXX Global Climate Change ESG

Top 10 Components4

Company Supersector Country Weight
Apple Inc. Technology USA 4.590%
Microsoft Corp. Technology USA 4.422%
META PLATFORMS CLASS A Technology USA 3.920%
NVIDIA Corp. Technology USA 3.447%
VISA Inc. Cl A Industrial Goods and Services USA 3.317%
MasterCard Inc. Cl A Industrial Goods and Services USA 2.849%
TESLA Automobiles and Parts USA 1.991%
Amazon.com Inc. Retail USA 1.983%
ALPHABET CLASS C Technology USA 1.937%
NOVO NORDISK B Health Care Denmark 1.446%

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

4Based on the composition as of September 30, 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.