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FACTOR & STRATEGY INDICES

EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor

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Index Description

The EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor Index is constructed on the EURO STOXX� Index with standardized ESG exclusion screens applied for Global Standards Screening, Controversial Weapons, Thermal Coal, Nuclear Power and Tobacco Producers. The objective is to diversify across the factors of Profitability, Earnings Yield, Leverage, Value and Low Volatility (accomplished through the minimum variance objective), with the weighting determined by a multi-factor optimization process.

Key facts

  • Constructed on the EURO STOXX Index with standardized ESG exclusion screens applied for Global Standards Screening, Controversial Weapons, Thermal Coal, Nuclear Power and Tobacco Producers.
  • The screens are based on responsible policies and aim to reduce reputational and idiosyncratic risks.
  • Screening provided by award-winning ESG data provider Sustainalytics.
  • The objective is to diversify across the factors of Profitability, Earnings Yield, Leverage, Value, and Low Volatility (accomplished through the minimum variance objective).
  • Optimization provided by award-winning partner Axioma.
  • The weighting determined by a multi-factor optimization process.
  • Suitable as underlying for passive funds, ETFs, structured products and listed derivatives.

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
EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor N/A 99.8 1.9 1.0 8.2 0.0 8.2 0.0 30.4
EURO STOXX 7,139.0 5,120.4 17.5 6.5 274.8 1.9 5.4 0.0 4.0

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 ESG-X & Ex Nuclear Power Multi Factor 1.3 12.5 12.5 13.6 33.4 N/A N/A 12.8 4.4 6.0
EURO STOXX 3.2 15.7 15.7 19.3 44.3 N/A N/A 15.9 6.1 7.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor N/A N/A 11.4 14.9 17.2 N/A N/A 0.6 0.2 0.3
EURO STOXX N/A N/A 13.3 17.0 19.7 N/A N/A 0.8 0.3 0.4
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor 0.8 0.9 0.9 1.0 1.0 4.3 4.4 4.4 5.0 5.2
Index to benchmark Beta Annualized information ratio
EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor 0.6 0.8 0.8 0.8 0.8 -6.0 -0.7 -0.7 -0.4 -0.4

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

2Based on EURIBOR1M

(EUR, Price), all data as of December 29, 2023

FACTOR & STRATEGY INDICES

EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor

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 ESG-X & Ex Nuclear Power Multi Factor 11.9 10.6 11.5 11.5 1.2 3.3 0.7 12.8
EURO STOXX 15.6 12.4 13.1 13.1 1.7 2.9 1.1 10.2

Performance and annual returns

Methodology

The EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor Index is constructed on the EURO STOXX Index with standardized ESG exclusion screens applied for Global Standards Screening, Controversial Weapons, Thermal Coal, Nuclear Power and Tobacco Producers. The objective is to diversify across the factors of Profitability, Earnings Yield, Leverage, Value, and Low Volatility (accomplished through the minimum variance objective), with the weighting determined by a multi-factor optimization process. The index is reviewed quarterly.

The EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor optimization is performed using Axioma's Portfolio Optimization software. This portfolio construction tool includes a Second-Order Cone optimization engine as well as a Branch-and-Bound algorithm for combinatorial problems that has been specialized for financial problems. Risk predictions are made using Axioma's European, Medium-Horizon, Equity Fundamental Factor Risk Model.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0459297708 IXEXMFEG IXEXMFEG INDEX .IXEXMFEG
Price EUR CH0459297823 IXEXMFEP IXEXMFEP INDEX .IXEXMFEP
Gross Return USD CH0459297591 IXEXMFUG .IXEXMFUG
Net Return EUR CH0459297658 IXEXMFEN IXEXMFEN INDEX .IXEXMFEN
Price USD CH0459297732 IXEXMFUP .IXEXMFUP
Net Return USD CH0459297872 IXEXMFUN .IXEXMFUN

Quick Facts

Weighting Optimized
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History 100 as of Mar. 19, 2012
Inception date Jan. 30, 2019
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
L'OREAL Consumer Products and Services France 8.172%
SAP Technology Germany 5.874%
STELLANTIS Automobiles and Parts Italy 5.466%
SANOFI Health Care France 5.201%
ORANGE Telecommunications France 5.085%
ENI Energy Italy 4.979%
KONE B Industrial Goods and Services Finland 4.588%
GRP SOCIETE GENERALE Banks France 4.505%
DEUTSCHE POST Industrial Goods and Services Germany 4.406%
HERMES INTERNATIONAL Consumer Products and Services France 4.363%

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

4Based on the composition as of December 29, 2023

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.