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ISTOXX INDICES

EURO iSTOXX Ambition Climat PAB

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Index Description

The EURO iSTOXX Ambition Climat PAB Index is based on liquid securities from the EURO STOXX Total Market Index. The index is constructed to follow the EU Paris-aligned Benchmarks (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. The index is designed to help investors shift towards a low-carbon economy and align investments to the Paris Climate Agreement. Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment, or are involved in anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium and white phosphorus weapons or display a Severe (Category 5) Controversy Rating, as identified by Sustainalytics are not eligible for selection. Tobacco Producers and Distributors, 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 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 meet the minimum requirements detailed in the TEG report. The index aims to reduce its greenhouse gas intensity by at least 50% when compared to the benchmark. The index is also designed to meet the year on year 7% decarbonization target. Green to brown energy revenue share ratio of the index is at least four times that of the benchmark. The index ensures that high climate impact sectors are not underweighted relative to the benchmark. The index also overweighs securities with approved targets by the Science Based Target initiative (SBTi). The index aims to have its Mean Species Abundance (MSA) over EVIC no greater than that of the benchmark, and its EU Taxonomy reported revenue alignment at least equal to 10%.

Key facts

  • The index is 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 used across all sectors from the first date of the index construction.
  • The index aims to reduce its greenhouse gases emission intensity by at least 50% when compared to the benchmark index.
  • Sectors key to the low-carbon transition, high climate impact sectors are not underweighted relative to the benchmark.
  • The index is designed to meet the year on year 7% decarbonization target.
  • Index overweights securities with concrete targets and emission reduction targets verified by the Science Based Target initiative (SBTi).
  • The index aims to have its Mean Species Abundance (MSA) over EVIC no greater than that of the benchmark, and its EU Taxonomy reported revenue alignment at least equal to 10%

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
EURO iSTOXX Ambition Climat PAB N/A 104.2 0.5 0.1 5.4 0.0 5.2 0.0 39.9
EURO STOXX Total Market 8,564.3 5,977.4 7.6 1.1 277.9 0.0 4.6 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
EURO iSTOXX Ambition Climat PAB -3.2 1.9 6.2 1.3 18.0 N/A N/A 6.3 0.4 3.4
EURO STOXX Total Market -2.9 0.1 4.7 1.1 17.9 N/A N/A 4.7 0.4 3.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX Ambition Climat PAB N/A N/A 14.0 20.9 22.1 N/A N/A 0.2 -0.1 0.1
EURO STOXX Total Market N/A N/A 14.4 21.2 22.6 N/A N/A 0.0 -0.1 0.1
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX Ambition Climat PAB 1.0 1.0 1.0 1.0 1.0 2.5 2.4 2.3 2.6 2.4
Index to benchmark Beta Annualized information ratio
EURO iSTOXX Ambition Climat PAB 1.0 1.0 1.0 1.0 1.0 -1.7 0.8 0.6 0.0 0.0

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

2Based on EURIBOR1M

(USD, Price), all data as of November 29, 2024

ISTOXX INDICES

EURO iSTOXX Ambition Climat PAB

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
EURO iSTOXX Ambition Climat PAB 22.1 15.8 18.2 18.2 2.0 2.5 1.6 16.5
EURO STOXX Total Market 15.3 13.4 6.3 6.3 1.8 2.7 1.0 -11.7

Performance and annual returns

Methodology

The EURO iSTOXX Ambition Climat PAB Index is based on liquid securities from the EURO STOXX Total Market Index. The index is constructed to follow the EU Paris-aligned Benchmarks (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.
The index is designed to help investors shift towards a low-carbon economy and align investments to the Paris Climate Agreement. Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment, or are involved in anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium and white phosphorus weapons or display a Severe (Category 5) Controversy Rating, as identified by Sustainalytics are not eligible for selection. Tobacco Producers and Distributors, 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 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 meet the minimum requirements detailed in the TEG report. The index aims to reduce its greenhouse gas intensity by at least 50% when compared to the benchmark. The index is also designed to meet the year on year 7% decarbonization target.
Green to brown energy revenue share ratio of the index is at least four times that of the benchmark. The index ensures that high climate impact sectors are not underweighted relative to the benchmark.
The index also overweighs securities with approved targets by the Science Based Target initiative (SBTi).
The index aims to have its Mean Species Abundance (MSA) over EVIC no greater than that of the benchmark, and its EU Taxonomy reported revenue alignment at least equal to 10%.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0528703363 BKTACPAB BKTACPAB INDEX .BKTACPAB
Gross Return EUR CH0528703314 BKGACPAB .BKGACPAB
Price EUR CH0528703348 BKEACPAB .BKEACPAB
Gross Return USD CH0528703322 BKXACPAB .BKXACPAB
Net Return USD CH0528703355 BKUACPAB .BKUACPAB
Price USD CH0528703330 BKKACPAB .BKKACPAB

Quick Facts

Weighting Optimization
Cap Factor 0.045
No. of components Variable
Review frequency Reviewed annually in March and rebalanced quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of March 19, 2018
History Available from Mar. 19, 2018
Inception date June. 15, 2020
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
SAP Technology Germany 5.152%
SCHNEIDER ELECTRIC Industrial Goods and Services France 4.912%
DEUTSCHE TELEKOM Telecommunications Germany 4.710%
LVMH MOET HENNESSY Consumer Products and Services France 4.343%
ASML HLDG Technology Netherlands 4.159%
SANOFI Health Care France 4.087%
IBERDROLA Utilities Spain 3.289%
Industria de Diseno Textil SA Retail Spain 2.764%
VINCI Construction and Materials France 2.453%
L'OREAL Consumer Products and Services France 2.430%

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

4Based on the composition as of November 29, 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.

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.