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ISTOXX INDICES

iSTOXX ADB Developed World Multi-Factor ESG

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Index Description

iSTOXX ADB Developed World Multi-Factor ESG is designed to deliver balanced, persistent active exposure to Value, Momentum, Quality, Size and Low Volatility, while keeping a Beta-neutral profile relative to the parent index (STOXX Developed World Universal Large Cap Index), subject to ESG exclusions and country selection. The construction is grounded in a Multi-Factor multiplicative tilt framework that re-weights the parent free-float market-cap weights to achieve equal active exposure targets across the five style factors and a Beta-neutral profile relative to the parent index.

Key facts

  • Deliver balanced, persistent active exposure to five target risk-premia factors: value, momentum, quality, size and low volatility, while keeping a Beta-neutral profile relative to the parent index
  • Portfolio construction grounded in a Multi-Factor multiplicative tilt framework that re-weights the parent free-float market-cap weights to achieve equal active exposure targets across five style factors
  • Universe is based on the STOXX Developed World Universal Large Cap Index, subject to ESG and country exclusions
  • The index tracks the STOXX Developed World Universal Large Cap Index, subject to ESG and country exclusions, while ensuring investability, tradability, diversification and liquidity

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
iSTOXX ADB Developed World Multi-Factor ESG N/A 1.1 0.0 0.0 0.1 0.0 5.3 0.0 90.2
STOXX Developed World Universal Large Cap 87,500.9 80,911.7 128.6 52.9 5,526.8 0.5 6.8 0.0 N/A

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 ADB Developed World Multi-Factor ESG -2.7 8.6 12.4 77.3 79.8 N/A N/A 12.4 21.0 12.4
STOXX Developed World Universal Large Cap -0.9 12.0 15.8 82.4 80.8 N/A N/A 15.8 22.2 12.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX ADB Developed World Multi-Factor ESG N/A N/A 13.5 13.7 15.1 N/A N/A 0.7 1.2 0.7
STOXX Developed World Universal Large Cap N/A N/A 11.9 12.8 14.6 N/A N/A 1.1 1.4 0.7
Index to benchmark Correlation Tracking error (%)
iSTOXX ADB Developed World Multi-Factor ESG 0.9 0.9 0.9 0.9 1.0 4.0 6.3 6.0 4.8 4.6
Index to benchmark Beta Annualized information ratio
iSTOXX ADB Developed World Multi-Factor ESG 0.9 1.1 1.0 1.0 1.0 -5.5 -0.7 -0.5 -0.2 0.0

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

2Based on EURIBOR1M

(USD, Net Return), all data as of September 30, 2026

ISTOXX INDICES

iSTOXX ADB Developed World Multi-Factor 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 ADB Developed World Multi-Factor ESG 19.6 14.7 19.4 14.6 3.9 2.0 2.5 19.9
STOXX Developed World Universal Large Cap 23.8 19.3 22.9 19.2 4.6 1.9 3.3 27.3

Performance and annual returns

Methodology

iSTOXX ADB Developed World Multi-Factor ESG is designed to deliver balanced, persistent active exposure to Value, Momentum, Quality, Size and Low Volatility, while keeping a Beta-neutral profile relative to the parent index (STOXX Developed World Universal Large Cap Index), subject to ESG exclusions and country selection.
The construction is grounded in a Multi-Factor multiplicative tilt framework that re-weights the parent free-float market-cap weights to achieve equal active exposure targets across the five style factors and a Beta-neutral profile relative to the parent index.
Tilt strengths are not equal across factors, they are solved numerically using Newton–Raphson, with industry and country bracketing to satisfy the exposure target equations.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1487685393 ISWDMEEP .ISWDMEEP
Net Return EUR CH1487685401 ISWDMEEN .ISWDMEEN
Gross Return EUR CH1487685435 ISWDMEEG ISWDMEEG INDEX .ISWDMEEG
Net Return USD CH1487685427 ISWDMEUN .ISWDMEUN
Price USD CH1487685419 ISWDMEUP .ISWDMEUP
Gross Return USD CH1487685443 ISWDMEUG ISWDMEUG INDEX .ISWDMEUG

Quick Facts

Weighting The indices are weighted using an optimization model.
Cap Factor At stage 1, Single-stock cap is 5% of index weight.
No. of components Variable
Review frequency Semi-annually
Calculation/distribution End of Day
Calculation hours 00:00:00 22:30:00
Base value/base date 2827.185578 as of March 21, 2016
History Available from March 21, 2016
Inception date Mar 2, 2026
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
NVIDIA Corp. Technology USA 5.263%
Apple Inc. Technology USA 4.311%
Micron Technology Inc. Technology USA 4.277%
ALPHABET INC. CL A Technology USA 2.533%
Microsoft Corp. Technology USA 2.526%
ALPHABET CLASS C Technology USA 2.247%
Amazon.com Inc. Retail USA 2.211%
Eli Lilly & Co. Healthcare USA 1.998%
ABBVIE Healthcare USA 1.502%
KIOXIA HOLDINGS Technology Japan 1.421%

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

4Based on the composition as of September 30, 2026

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.