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ISTOXX INDICES

iSTOXX Global ESG Dividend Trend

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Index Description

The iSTOXX Global ESG Dividend Trend Index selects 20 liquid stocks with low volatility and high dividend yield, that have improved or maintained their ESG scores in the last year. Compa-nies that are non-compliant with the Global Standards Screening (GSS) or are involved in Controversial Weapons activities, as identified by Sustainalytics, are excluded. Additionally, companies involved in Adult Entertainment, Gambling, Conventional Oil & Gas, Unconventional Oil & Gas (Arctic Oil and Gas Exploration, Oil Sands and Shale Energy), Nuclear Power, Thermal Coal, Tobacco, Weapons (Small Arms and Military Contracting), Aerospace and Defense are also excluded. An additional filter excludes poor ESG performers from the index.

Key facts

  • Selection of 20 liquid stocks with high dividend yield and low volatility from a range of companies that have improved or maintained their ESG performance in the previous year.
  • Liquidity filter ensures replicability.
  • Companies are Global Standards Screening (GSS) compliant and are not involved in Controversial Weapons.
  • Product involvement filters are applied.
  • Companies with the lowest ESG scores are filtered out.

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 Global ESG Dividend Trend N/A 1.0 0.1 0.1 0.1 0.0 6.4 4.0 375.4
iSTOXX Global ESG Trend Select 30 N/A 1.1 0.0 0.0 0.0 0.0 4.1 2.5 200.9

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 Global ESG Dividend Trend -6.0 8.4 23.3 7.4 22.6 N/A N/A 23.7 2.4 4.2
iSTOXX Global ESG Trend Select 30 -4.7 7.8 20.9 9.7 18.6 N/A N/A 21.2 3.2 3.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Global ESG Dividend Trend N/A N/A 11.0 11.9 13.8 N/A N/A 2.0 0.1 0.3
iSTOXX Global ESG Trend Select 30 N/A N/A 10.4 11.6 15.0 N/A N/A 1.8 0.1 0.2
Index to benchmark Correlation Tracking error (%)
iSTOXX Global ESG Dividend Trend 0.8 0.8 0.8 0.8 0.9 4.1 6.3 6.3 7.4 7.9
Index to benchmark Beta Annualized information ratio
iSTOXX Global ESG Dividend Trend 0.7 0.9 0.9 0.8 0.8 -3.8 0.1 0.3 -0.1 0.0

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

ISTOXX INDICES

iSTOXX Global ESG Dividend Trend

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 Global ESG Dividend Trend 25.1 14.8 18.3 18.3 1.4 12.7 1.1 15.3
iSTOXX Global ESG Trend Select 30 13.9 11.3 11.4 11.4 1.0 8.0 0.9 13.1

Performance and annual returns

Methodology

The parent index is the STOXX Global 1800 Index. Components that are engaged in controversial activities or are not Global Standards Screening (GSS) compliant, are excluded. Moreover, only companies that have not suffered a decrease in their ESG score, as calculated by Sustainalytics, in the last 12 months are considered eligible for selection. In addition, the eligible companies are ranked based on their current ESG score; the bottom 20% of companies are excluded. Remaining Constituents are sorted in descending order in terms of their dividend yield and the top 80 (highest dividend yield) stocks are selected. Here, the 20 companies with the lowest volatility are selected for inclusion in the index.

The index is weighted by the inverse of the selected stocks' volatility; component weight is capped at 10%.

The index composition is reviewed quarterly.

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

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1124567400 IXESGDTN IXESGDTN INDEX .IXESGDTN
Gross Return EUR CH1124567368 IXESGDTG IXESGDTG INDEX .IXESGDTG
Price EUR CH1124567350 IXESGDTP IXESGDTP INDEX .IXESGDTP
Price USD CH1124567392 IXESGDTL .IXESGDTL
Net Return USD CH1124567376 IXESGDTV .IXESGDTV
Gross Return USD CH1124567384 IXESGDTU .IXESGDTU

Quick Facts

Weighting Inverse Volatility weighted
Cap Factor 0.1
No. of components 20
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2012
Inception date Jul. 16, 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
BCE Inc. Telecommunications Canada 6.445%
Washington H. Soul Pattinson L Energy Australia 6.089%
TELUS Telecommunications Canada 6.003%
Bank of Nova Scotia Banks Canada 5.948%
TELEFONICA Telecommunications Spain 5.588%
Incitec Pivot Ltd. Chemicals Australia 5.495%
ORANGE Telecommunications France 5.191%
TELENOR Telecommunications Norway 5.132%
KDDI Corp. Telecommunications Japan 5.111%
UNITED URB.INV. Real Estate Japan 5.034%

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

4Based on the composition as of October 31, 2024

ISTOXX INDICES

iSTOXX Global ESG Dividend Trend

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.