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THEME INDICES
ISS STOXX US ESG Climbers Industry Adjusted
Index Description
The ISS STOXX US ESG Climbers Industry Adjusteds index selects securities from the STOXX US 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 over the past 5 years. 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. Securities are selected through an iterative process within each of the 11 ICB industry based on their improvement and deterioration count, which are then adjusted for industry exposure and subject to concentrated capping.
Key facts
- Selecting companies consistently improving their ESG performance.
- Removing ESG laggards.
- Extensive set of exclusions.
- SFDR Article 8 eligible
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 | |
ISS STOXX US ESG Climbers Industry Adjusted | N/A | 1,073.4 | 15.6 | 9.1 | 78.8 | 0.6 | 7.3 | 0.1 | 69.3 |
STOXX US | 49,983.5 | 47,746.6 | 80.9 | 29.6 | 3,321.0 | 0.6 | 7.0 | 0.0 | 2.0 |
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 | |
ISS STOXX US ESG Climbers Industry Adjusted | 1.6 | 13.2 | 26.0 | 34.0 | N/A | N/A | N/A | 26.1 | 10.2 | N/A |
STOXX US | 3.7 | 15.0 | 24.9 | 28.9 | 100.0 | N/A | N/A | 25.0 | 8.8 | 14.8 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
ISS STOXX US ESG Climbers Industry Adjusted | N/A | N/A | 12.5 | 18.1 | 17.8 | N/A | N/A | 1.6 | 0.4 | 0.5 |
STOXX US | N/A | N/A | 11.4 | 17.7 | 21.5 | N/A | N/A | 1.7 | 0.4 | 0.6 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
ISS STOXX US ESG Climbers Industry Adjusted | 0.8 | 0.9 | 0.9 | 1.0 | 1.0 | 7.1 | 5.8 | 5.2 | 5.2 | 5.2 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
ISS STOXX US ESG Climbers Industry Adjusted | 1.4 | 1.0 | 1.0 | 1.0 | 0.6 | -3.8 | -0.6 | 0.2 | 0.2 | 0.2 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(USD, Gross Return), all data as of June 28, 2024
THEME INDICES
ISS STOXX US ESG Climbers Industry Adjusted
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 | ||
ISS STOXX US ESG Climbers Industry Adjusted | 28.9 | 23.3 | 27.0 | 27.0 | 5.2 | 1.6 | 2.1 | 24.5 |
STOXX US | 29.6 | 23.2 | 27.4 | 27.4 | 5.1 | 1.8 | 2.9 | 26.5 |
Performance and annual returns
Methodology
The ISS STOXX US ESG Climbers Industry Adjusted Index select securities issued by companies 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. 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 Ratings as of the effective review are also excluded.
Companies are considered to have improved their ESG performance if their quarterly numeric rating change surpasses a pre-defined positive threshold (i.e., >= 0.025); companies are considered to have deteriorating ESG performance if such rating change is below a pre-defined negative threshold (i.e., < -0.01).
Rating change is calculated on a quarterly basis over the past 5 years, which is then counted and considered at the company issuer level for security selection. Securities are selected through an iterative process within each of the 11 ICB industry based on their improvement and deterioration count, which are then adjusted for industry exposure and subject to concentrated capping (4.5/8/35).
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Price EUR | CH0122730580 | SUSCLMP | .SUSCLMP | |
Gross Return EUR | CH0122730606 | SUSCLMGR | .SUSCLMGR | |
Net Return EUR | CH0122730598 | SUSCLMR | .SUSCLMR | |
Gross Return USD | CH0122730630 | SUSCLMGV | SUSCLMGV INDEX | .SUSCLMGV |
Net Return USD | CH0122730622 | SUSCLMV | .SUSCLMV | |
Price USD | CH0122730614 | SUSCLML | .SUSCLML |
Quick Facts
Weighting | Price weighted with a weighting factor and capping factor |
Cap Factor | 8 |
No. of components | Variable |
Review frequency | Quarterly |
Calculation/distribution | realtime 15 sec |
Calculation hours | 00:00:00 22:15:00 |
Base value/base date | 1000 as of Mar. 22, 2021 |
History | Available since 22 Mar 2021 |
Inception date | June. 05, 2024 |
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet. |
THEME INDICES
ISS STOXX US ESG Climbers Industry Adjusted
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
Qualcomm Inc. | Technology | USA | 7.341% |
Netflix Inc. | Media | USA | 7.218% |
VISA Inc. Cl A | Industrial Goods and Services | USA | 7.185% |
Lam Research Corp. | Technology | USA | 6.604% |
UnitedHealth Group Inc. | Health Care | USA | 6.046% |
KLA | Technology | USA | 4.485% |
SYNOPSYS | Technology | USA | 4.445% |
Analog Devices Inc. | Technology | USA | 4.404% |
Danaher Corp. | Health Care | USA | 2.313% |
CHUBB | Insurance | USA | 2.286% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of June 28, 2024