STOXX^® Europe 600 ESG-X Ax Multi-Factor

The STOXX USA Low Carbon Diversification Select 50 USD Index captures the performance of US low carbon emissions stocks with low correlation, low volatility and high dividends from the STOXX Global 1800 Index.

The component selection process first excludes all stocks that belong to the ICB Subsector 1771 (Coal), then selects in each ICB industry all stocks whose Carbon Intensity is the lowest. Next, it excludes all stocks with the highest 12-month average correlation with all other stocks in the benchmark, then excludes stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 50 stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same. The index also exlcudes companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

Index Guides, Benchmark statement, and other reports are available under the Data tab.

The STOXX Europe Sustainability 40 Index offers a consistent, flexible and investable blue-chip representation of the largest European sustainability leaders, i.e. the European top leaders in terms of long-term environmental, social and governance criteria. Compared to other equity indices, the STOXX Europe Sustainability 40 Index is weighted according to sustainability scores.
Based on the broad STOXX Europe Sustainability Index, the STOXX Europe Sustainability 40 Index covers 40 stocks from 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United Kingdom.

Index Guides, Benchmark statement, and other reports are available under the Data tab.

The EURO iSTOXX 50 ESG NR Decrement 4% Index replicates the performance of the net return version of the EURO STOXX 50 ESG Index assuming a constant 4% performance deduction per annum. The performance deduction accrues constantly on a daily basis (using an Actual/365 Fixed day count convention). Consequently, due to the percentage of performance deduction, the EURO iSTOXX 50 ESG NR Decrement 4% Index underperforms the EURO STOXX 50 ESG Net Return Index.

Index Guides, Benchmark statement, and other reports are available under the Data tab.