STOXX^® US Equity Factor Screened

The STOXX Paris-Aligned Benchmark Indices are based on liquid securities from a selection of STOXX Benchmark Indices. The indices are constructed to follow the EU Paris-aligned Benchmark (EU PAB) requirements outlined in the Commission Delegated Regulation (EU) 2020/1818 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards minimum standards for EU Paris-aligned Benchmarks.

Companies identified as non-compliant based on norms-based Screening assessment, or are involved in Controversial Weapons, as identified by ISS ESG are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities are excluded. Additionally, securities that derive higher than 10% of their revenues from thermal coal-based power generation, or higher than 50% from power generation with carbon intensity of lifecycle emissions higher than 100gCO2e/kWh are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have significant obstruction in the following UN SDGs: SDG 12 Responsible Consumption and Production, SDG 13 Climate Action, SDG 14 Life Below Water and SDG 15 Life On Land.

The weighing process follows an optimization process to keep the tracking error less than on equal to 1.5% compared to the parent indes while meeting the minimum requirements detailed in the regulation. The STOXX Paris-Aligned Benchmark Indices aim to reduce their greenhouse gas intensity by at least 50% when compared to their underlying benchmarks. They are also designed to meet the year on year 7% decarbonization target.

High climate impact sector weights of the STOXX Paris-Aligned Benchmark Indices are not underweighted relative to the underlying benchmark. The indices also overweigh securities with Science Based Targets, as verified by the Science Based Target initiative (SBTi).

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

The ISS STOXX World AC ESG Climbers Index selects securities from the STOXX World AC universe that consistently improve their ESG performance, with standardized ESG exclusion screens applied for ISS ESG Norms Based Screening assessment, a set of definitions for Controversial Weapons, Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms and Military Equipment. The objective is to select such companies that are on trajectory to become ESG leaders in the future, based on whether their ISS ESG Corporate Ratings Overall Numeric Scores have improved at least 5 times if they are assigned to Developed Markets and at least 3 times of improvement if they are assigned to Emerging Markets in the past 5 years, and are required to improve at least 3 times if they are assigned to Developed Markets and 2 times if they are assigned to Emerging Markets in order to remain as constituents. The methodology also removes securities whose issuers are poor ESG performers, where their ISS ESG Corporate Ratings Overall Numeric Score is lower than 1.75. Securities whose issuers do not receive ESG Rating as of the effective review are also excluded.

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

The STOXX Global ESG Leaders index provides access to the leading global companies in terms of environmental, social and governance criteria, using a bottom-up selection approach based on ESG Risk Ratings provided by Sustainalytics. The index is made of the following three ESG sub-indices: the STOXX Global ESG Environmental Leaders, the STOXX Global ESG Social Leaders and the STOXX Global ESG Governance Leaders indices.

Companies that are non-compliant based on the Sustainalytics’ Global Standards Screening assessment or are involved in controversial weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in tobacco production and distribution, thermal coal extraction and power generation, small arms manufacturing, military contracting, unconventional oil and gas exploration and production, and ESG Controversies.

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