EURO STOXX^® Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment

The iSTOXX L&G Multifactor ESG index is designed to provide regional exposures to Value, Momentum, Low Volatility and Quality risk-premia factors, a greater exposure to the ESG scores provided by LGIM, while achieving sustainable carbon reduction in terms of greenhouse gas emission intensities over time. The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity.

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

The STOXX Benchmark ESG-X ex Nuclear Power Indices are based on a selection of STOXX Benchmark ESG-X Indices and apply additional Nuclear Power screens. The screens are based on the responsible policies of leading asset owners and aim to reduce reputational and idiosyncratic risks.  

STOXX will exclude companies that ISS ESG considers to be non-compliant with the Global Compact Principles, are involved in Controversial Weapons, Nuclear Power, are Tobacco Producers, or that either derive revenues from Thermal Coal extraction or exploration, or have power generation capacity that utilizes Thermal Coal.

STOXX Benchmark ESG-X ex Nuclear Power Indices are suitable as underlying indices for mandates, passive funds, ETFs, structured products and listed derivatives, with the ambition to increase liquidity and lower the cost of trading.

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.Per the ESMA guidelines on funds’ names using ESG or sustainability-related terms, this index meets an 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy.

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

The STOXX USA Low Carbon Select 50 USD Index captures the performance of US low carbon emissions stocks with 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 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.

STOXX ESG Target TE Indices aim to provide a low tracking error to the benchmark index while ensuring an improved ESG score. The weighting of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma's Risk Model and Optimizer to construct the indices. Companies that are non-compliant based on the ISS ESG’ Norms-based research 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, high ESG risk, and ESG controversies.

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.

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

The STOXX Climate Awareness Ex UN Global Compact Principles and Controversial Weapons indices will include companies with a CDP Performance Band A to C- (pre-2016 Performance Band A to C). Band A and A- includes companies that are seen as leading companies in terms of climate change: these companies are disclosing particular “actions” which mark them as leaders, as well as high scores across all other levels of the CDP Scoring matrix. Scoring requires detailed company-specific explanations.  Band B & B- includes companies that “manage” climate change: companies seek evidence of climate actions implemented and requires company-specific understanding of cli-mate change related issues.  Band C and C- identifies companies who have looked at implications of climate change for, and on, their business and recognizes a high level, contextual knowledge of environmental issues. 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.

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