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FACTOR & STRATEGY INDICES

EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor

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 (USD bn) Components (USD 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 110.5 2.4 1.5 8.5 0.0 7.7 0.0 30.4
EURO STOXX 8,323.1 6,052.9 20.4 7.8 377.7 1.0 6.2 0.0 3.8

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 4.1 7.0 16.6 2.8 48.9 N/A N/A 16.8 0.9 8.4
EURO STOXX 4.3 9.0 21.1 10.1 57.0 N/A N/A 21.4 3.3 9.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor N/A N/A 12.8 19.0 20.1 N/A N/A 0.8 0.0 0.4
EURO STOXX N/A N/A 14.6 21.0 22.5 N/A N/A 0.9 0.1 0.4
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor 0.9 1.0 1.0 1.0 1.0 3.8 3.8 4.0 4.8 5.1
Index to benchmark Beta Annualized information ratio
EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor 0.9 0.8 0.8 0.9 0.9 -0.6 -1.3 -1.0 -0.6 -0.3

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

2Based on EURIBOR1M

(USD, Net Return), all data as of May 31, 2024

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 12.2 11.0 12.0 12.0 1.3 3.7 0.9 13.8
EURO STOXX 16.9 13.4 14.9 14.9 1.7 3.0 1.2 15.2

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

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.

FACTOR & STRATEGY INDICES

EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor

Top 10 Components4

Company Supersector Country Weight
L'OREAL Consumer Products and Services France 7.700%
SAP Technology Germany 6.564%
BANK OF IRELAND GROUP Banks Ireland 5.318%
STELLANTIS Automobiles and Parts Italy 4.903%
SANOFI Health Care France 4.884%
KONE B Industrial Goods and Services Finland 4.820%
HERMES INTERNATIONAL Consumer Products and Services France 4.647%
GRP SOCIETE GENERALE Banks France 4.604%
ORANGE Telecommunications France 4.473%
AHOLD DELHAIZE Personal Care, Drug and Grocery Stores Netherlands 4.430%

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

4Based on the composition as of May 31, 2024