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ISTOXX INDICES

iSTOXX Developed World Min Vol ESG

Index Description

The iSTOXX Developed World Min Vol ESG index (iSTOXX Dev World MV ESG) is designed to track the performance of an optimised, minimum variance portfolio that will incorporate tilts towards companies that exhibit low volatility, favourable fundamentals (specifically profitability and leverage), and superior ESG scores. The index is constructed in two steps: first by creating a minimum variance portfolio based on the STOXX Developed World index, and second by improving the Climate and ESG profiles of this portfolio, using data from ISS ESG and LGIM, respectively. The index rules ensure tradability, diversification, positive exposure to fundamental quality (i.e., positive exposure to profitability and low leverage), and untargeted factor and industry/country/region exposures are risk managed and imposed on the index components such that the index overall ESG score is at least 10% better than iSTOXX Developed World MV Index.

Key facts

  • Innovative sustainability-focused multifactor indexExplicitly designed to minimize portfolio volatility while incorporating quality, ESG and climate considerations
  • Embedded diversification elements across non-target factors, industry and country exposures

Descriptive Statistics

Index Market Cap (GBP bn) Components (GBP bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Developed World Min Vol ESG N/A 86.4 0.6 0.3 4.0 0.0 4.6 0.0 30.2
STOXX Developed World 57,315.3 51,967.7 31.8 10.8 2,475.3 0.1 4.8 0.0 2.9

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 Developed World Min Vol ESG 0.9 6.7 14.5 38.2 50.1 N/A N/A 14.9 11.5 8.6
STOXX Developed World 3.1 9.4 20.5 32.2 67.0 N/A N/A 20.5 9.7 10.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Developed World Min Vol ESG N/A N/A 8.6 10.9 13.5 N/A N/A 1.3 0.9 0.6
STOXX Developed World N/A N/A 10.1 14.0 17.2 N/A N/A 1.5 0.5 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX Developed World Min Vol ESG 0.9 0.8 0.8 0.9 0.9 3.5 5.6 5.7 7.3 7.7
Index to benchmark Beta Annualized information ratio
iSTOXX Developed World Min Vol ESG 0.9 0.6 0.7 0.7 0.7 -8.2 -1.9 -0.8 0.2 -0.4

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

2Based on EURIBOR1M

(GBP, Price), all data as of March 29, 2024

ISTOXX INDICES

iSTOXX Developed World Min Vol 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 Developed World Min Vol ESG 23.7 20.5 23.3 23.3 4.1 1.8 1.7 24.9
STOXX Developed World 23.9 19.6 22.1 22.1 3.3 1.9 2.2 2.2

Performance and annual returns

Methodology

The iSTOXX Developed World Min Vol ESG index (iSTOXX Developed World MV ESG) is designed to track the performance of an optimised, minimum variance portfolio that will incorporate tilts towards companies that exhibit low volatility, favourable fundamentals (specifically profitability and leverage), and superior ESG scores. The index utilizes a minimum variance index (iSTOXX Developed World Min Vol) based on the STOXX Developed World and improves the Climate and ESG profiles of this index, using data from ISS ESG and LGIM, respectively. The index rules ensure tradability, diversification, positive exposure to fundamental quality (i.e., positive exposure to profitability and low leverage), and untargeted factor and industry/country/region exposures are risk managed.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return GBP CH1213357887 ISDMVEV ISDMVEV INDEX .ISDMVEV
Price GBP CH1213357861 ISDMVE ISDMVE INDEX .ISDMVE
Gross Return GBP CH1213357879 ISDMVEGV ISDMVEGV INDEX .ISDMVEGV
Net Return USD CH1213357911 ISDMVEU .ISDMVEU
Gross Return USD CH1213357903 ISDMVEGU .ISDMVEGU
Price USD CH1213357895 ISDMVEP .ISDMVEP

Quick Facts

Weighting Price weighted(minimum variance optimization model)
Cap Factor NA
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of June. 18, 2018
History Available from Jun. 18, 2018
Inception date October. 13, 2023
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

iSTOXX Developed World Min Vol ESG

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 4.622%
Procter & Gamble Co. Personal Care, Drug and Grocery Stores USA 4.516%
Costco Wholesale Corp. Retail USA 4.263%
Accenture PLC Cl A Industrial Goods and Services USA 4.095%
WALMART INC. Retail USA 3.712%
Vertex Pharmaceuticals Inc. Health Care USA 3.358%
Johnson & Johnson Health Care USA 3.186%
Microsoft Corp. Technology USA 2.962%
Tokyo Electron Ltd. Technology Japan 2.818%
McKesson Corp. Personal Care, Drug and Grocery Stores USA 2.199%

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

4Based on the composition as of March 29, 2024