STOXX^® USA 900 ESG Target

The STOXX Europe ESG Leaders Diversification Select 30 EUR Index captures the performance of stocks with low correlation, low volatility and high dividends from the STOXX Global ESG Leaders Index.

The component selection process first excludes all stocks with the highest 12-months average correlation with all other stocks of the benchmark, then excludes stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 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.

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 ESG Broad Market Indices track the performance of a selection of STOXX indices after a set of compliance, involvement and ESG performance screens are applied.

Companies that are non-compliant based on the ISS ESG's Norms-based screening or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco Production, Small Arms, Military Contracting, ESG Controversies, coal, oil, gas and energy production, aligned with the EU Paris Aligned Benchmarks (PAB) exclusions. The remaining securities are ranked in descending order of their ISS ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.

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

The STOXX Global ESG Leaders Select 50 Risk Control 10% Index aims to create a portfolio consisting of a mix of the underlying index – the STOXX^® Global ESG Leaders Select 50 EUR Index – and a risk-free money market investment (EONIA), whose risk fluctuates around a predefined level. The allocation between the two components is determined by the volatility of the underlying index as compared to the risk level targeted by the Risk Control index: the more the underlying index's volatility exceeds the threshold, the higher the allocation to the cash component.

The underlying index, the STOXX Global ESG Leaders Select 50 EUR Index, captures the performance of stocks with low volatility and high dividends from the STOXX^® Global ESG Leaders Index.

The STOXX Global ESG Leaders Select 50 Risk Control 10% Index utilizes a measure of volatility in realized terms. The allocation to the underlying index, which may be adjusted on a daily basis, is capped to 150%.

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