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STRATEGY INDICES

STOXX USA Low Carbon Diversification Select 50

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Index Description

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.

Key facts

  • Stocks with the lowest carbon intensity within each ICB Industry are selected
  • Diversification brought by excluding highly correlated stocks
  • Balanced approach between the different screenings
  • Lower volatility stocks get the highest weight
  • Liquid benchmark

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 USA Low Carbon Diversification Select 50 N/A 1.1 0.0 0.0 0.0 0.0 3.0 1.4 128.6
STOXX Global 1800 75,713.7 69,622.1 38.7 12.1 3,434.8 1.0 4.9 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
STOXX USA Low Carbon Diversification Select 50 -3.1 13.4 24.1 18.7 38.9 N/A N/A 24.4 5.9 6.9
STOXX Global 1800 -2.1 16.8 34.0 21.0 78.1 N/A N/A 34.5 6.6 12.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA Low Carbon Diversification Select 50 N/A N/A 10.3 13.1 19.2 N/A N/A 2.3 0.3 0.3
STOXX Global 1800 N/A N/A 10.8 15.2 18.0 N/A N/A 2.7 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA Low Carbon Diversification Select 50 0.6 0.5 0.5 0.6 0.8 9.0 10.7 10.4 12.0 11.8
Index to benchmark Beta Annualized information ratio
STOXX USA Low Carbon Diversification Select 50 0.6 0.4 0.5 0.6 0.9 -1.3 -0.4 -0.8 -0.1 -0.5

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

STRATEGY INDICES

STOXX USA Low Carbon Diversification Select 50

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 USA Low Carbon Diversification Select 50 23.5 17.0 21.3 21.3 3.7 3.6 1.6 25.7
STOXX Global 1800 23.5 20.8 21.8 21.8 3.5 2.6 2.3 23.3

Performance and annual returns

Methodology

The base universe is taken as all stocks in the relevant benchmark index excluding ICB Subsector 60101040 Coal. Those stocks are screened for reported or estimated carbon emission data, 12-month historical daily pricing data and 12-month historical dividend yield, and if any one of the values is not available for a stock, the company is removed from the base universe.


The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/rulebooks.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return USD CH0321941095 SXUCDSR .SXUCDSR
Price USD CH0321941087 SXUCDSP SXUCDSP INDEX .SXUCDSP
Gross Return USD CH0321941103 SXUCDSGR .SXUCDSGR

Quick Facts

Weighting Volatility weighted
Cap Factor 10%
No. of components Fixed
Review frequency Qarterly
Calculation/distribution Price: real-time (every 15 seconds); Net and Gross Return: end-of-day
Calculation hours Please see data vendor codes sheet on www.stoxx.com/datavendorcodes
Base value/base date 100 as of Jun. 21, 2004
History Available from Jun. 21, 2004
Inception date Apr. 29, 2016
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
Coca-Cola Co. Food, Beverage and Tobacco USA 2.996%
Yum! Brands Inc. Travel and Leisure USA 2.628%
Public Service Enterprise Grou Utilities USA 2.589%
Johnson & Johnson Health Care USA 2.571%
Automatic Data Processing Inc. Industrial Goods and Services USA 2.505%
Consolidated Edison Inc. Utilities USA 2.470%
Colgate-Palmolive Co. Personal Care, Drug and Grocery Stores USA 2.464%
Amdocs Ltd. Technology USA 2.400%
Coca-Cola Europacific Partners Food, Beverage and Tobacco USA 2.365%
MEDTRONIC PLC Health Care USA 2.325%

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

4Based on the composition as of October 31, 2024

STRATEGY INDICES

STOXX USA Low Carbon Diversification Select 50

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.