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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Willis Towers Watson USA 500 Climate Transition

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Index Description

The objective of the STOXX World WTW Climate Transition Indices is to align a broad based equity index, from a valuation and financial perspective, with a global economic transition that would limit greenhouse gas concentrations to levels consistent with United Nations objectives for global temperature rises. The index relies on Climate Transition Value at Risk (CTVaR) metrics from Willis Towers Watson, and incorporates screens for Global Standards Screening, Controversial Weapons, Thermal Coal and Oil Sands.

Key facts

  • The index is designed to closely track the parent index.
  • The index relies on Climate Transition Value at Risk (CTVaR)metrics from Willis Towers Watson allowing to reduce the financial risk of transition to a global economy consistent with the UN global warming objectives.
  • Product involvement screens applied are based on data from award winning ESG data provider Sustainalytics.

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
STOXX Willis Towers Watson USA 500 Climate Transition N/A 10,382.6 22.3 8.2 727.1 0.7 7.0 0.0 7.4
STOXX USA 500 46,428.2 44,806.8 89.6 34.8 3,163.8 10.2 7.1 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 Willis Towers Watson USA 500 Climate Transition 2.0 23.2 35.7 27.3 N/A N/A N/A 35.9 8.4 N/A
STOXX USA 500 2.0 22.0 33.3 29.6 93.5 N/A N/A 33.5 9.0 14.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Willis Towers Watson USA 500 Climate Transition N/A N/A 14.1 18.9 18.2 N/A N/A 2.0 0.3 0.5
STOXX USA 500 N/A N/A 13.4 18.1 21.7 N/A N/A 1.9 0.3 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Willis Towers Watson USA 500 Climate Transition 1.0 1.0 1.0 1.0 1.0 1.1 1.2 1.1 1.7 1.7
Index to benchmark Beta Annualized information ratio
STOXX Willis Towers Watson USA 500 Climate Transition 1.1 1.0 1.0 1.0 0.7 0.0 1.1 1.6 -0.3 -0.2

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

2Based on EURIBOR1M

(EUR, Price), all data as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Willis Towers Watson USA 500 Climate Transition

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 Willis Towers Watson USA 500 Climate Transition 29.6 25.0 27.4 27.4 5.8 1.2 3.5 26.7
STOXX USA 500 28.2 24.4 26.3 26.3 5.5 1.3 3.1 26.6

Performance and annual returns

Methodology

The STOXX WTW Climate Transition Indices track the performance of liquid securities from a selection of STOXX Benchmark Indices.

Companies identified as non-compliant based on Sustainalytics Global Standard Screening (GSS) assessment or are involved in anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium and white phosphorus weapons are not eligible for selection. In addition, companies with significant involvement in Thermal Coal and Oil Sands, are also not eligible.

Eligible companies are weighted based on their free-float market capitalization adjusted by Climate Transition Value at Risk (CTVaR) metrics from Willis Towers Watson that measures a company's readiness for the global economic transition to a low carbon economy.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH1131943966 SXUSGWCT .SXUSGWCT
Net Return EUR CH1131943891 SXUSNWCT .SXUSNWCT
Price EUR CH1131943917 SXUSPWCT .SXUSPWCT
Price GBP CH1131943875 SXUSBWCT .SXUSBWCT
Gross Return GBP CH1131944014 SXUSKWCT .SXUSKWCT
Net Return GBP CH1131943941 SXUSHWCT .SXUSHWCT
Price USD CH1131943909 SXUSLWCT .SXUSLWCT
Gross Return USD CH1131943818 SXUSUWCT .SXUSUWCT
Net Return USD CH1131943750 SXUSVWCT .SXUSVWCT

Quick Facts

Weighting Free-float market cap adjusted
Cap Factor Component: max(ffmcap, 5%); Industry: overweight 5%; Country:
No. of components Variable
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Jun. 18, 2021
History Available from Jun. 18, 2021
Inception date Aug. 25, 2021
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
Apple Inc. Technology USA 7.003%
NVIDIA Corp. Technology USA 6.784%
Microsoft Corp. Technology USA 6.274%
Amazon.com Inc. Retail USA 3.855%
META PLATFORMS CLASS A Technology USA 2.962%
ALPHABET CLASS C Technology USA 2.304%
BROADCOM Technology USA 1.953%
TESLA Automobiles and Parts USA 1.781%
Eli Lilly & Co. Health Care USA 1.692%
JPMorgan Chase & Co. Banks USA 1.476%

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

4Based on the composition as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Willis Towers Watson USA 500 Climate Transition

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.