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ISTOXX INDICES

iSTOXX L&G North America Multi-Factor ESG

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Index Description

Key facts

Diversified multi factor exposure to a combination of four target risk-premia factors: momentum, quality, value; and low volatility.
The portfolio construction is performed using LGIM’s Style factor scores and Axioma’s portfolio optimization software and risk models.
The index is designed to provide exposure to ESG metrics as measured by the rules-based LGIM ESG scores
The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity

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
iSTOXX L&G North America Multi-Factor ESG	N/A	125.7	0.2	0.0	8.3	0.0	6.6	0.0	20.0
STOXX North America	64,388.6	61,314.2	97.3	33.0	4,552.6	0.1	7.4	0.0	2.2

Supersector weighting (top 10)


Technology	37.4
Industrial Goods and Services	10.8
Banks	9.0
Healthcare	8.6
Insurance	4.6
Food, Beverage and Tobacco	4.0
Telecommunications	3.9
Retail	3.9
Financial Services	3.3
Consumer Products and Services	2.6

Country weighting


USA	94.8
Canada	5.2

Risk and return figures¹

Index returns	Return (%)					Annualized return (%)
	Last month	YTD	1Y	3Y	5Y	Last month	YTD	1Y	3Y	5Y
iSTOXX L&G North America Multi-Factor ESG	2.9	16.7	18.1	95.5	107.9	N/A	N/A	18.1	25.1	15.7
STOXX North America	3.7	15.3	18.0	92.8	105.8	N/A	N/A	18.0	24.5	15.5
Index volatility and risk	Annualized volatility (%)					Annualized Sharpe ratio²
iSTOXX L&G North America Multi-Factor ESG	N/A	N/A	16.7	15.1	16.3	N/A	N/A	1.0	1.3	0.8
STOXX North America	N/A	N/A	18.6	16.3	17.2	N/A	N/A	0.9	1.2	0.8
Index to benchmark	Correlation					Tracking error (%)
iSTOXX L&G North America Multi-Factor ESG	0.9	1.0	1.0	1.0	1.0	2.9	3.4	3.2	2.6	2.5
Index to benchmark	Beta					Annualized information ratio
iSTOXX L&G North America Multi-Factor ESG	0.9	0.9	0.9	0.9	0.9	-3.0	0.3	-0.1	0.1	0.0

¹For information on data calculation, please refer to STOXX calculation reference guide

²Based on EURIBOR1M

(USD, Net Return), all data as of September 30, 2025

ISTOXX INDICES

iSTOXX L&G North America Multi-Factor ESG

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
iSTOXX L&G North America Multi-Factor ESG	23.6	20.4	23.5	20.4	4.5	1.3	3.1	26.7
STOXX North America	30.1	25.0	28.6	24.8	4.6	1.0	3.4	31.1

Performance and annual returns

	iSTOXX L&G North America Multi-Factor ESG
1016409600000	100
1016496000000	100.42
1016582400000	99.15
1016668800000	99.2
1016755200000	98.9
1017014400000	97.54
1017100800000	98.08
1017187200000	98.69
1017273600000	98.98
1017360000000	98.98
1017619200000	98.66
1017705600000	97.87
1017792000000	97.01
1017878400000	97.04
1017964800000	96.86
1018224000000	97.03
1018310400000	96.65
1018396800000	98
1018483200000	96.18
1018569600000	96.83
1018828800000	96.14
1018915200000	98.04
1019001600000	97.46
1019088000000	97.47
1019174400000	97.92
1019433600000	96.6
1019520000000	96.12
1019606400000	95.65
1019692800000	95.61
1019779200000	94.54
1020038400000	93.78
1020124800000	94.71
1020211200000	95.68
1020297600000	95.66
1020384000000	94.79
1020643200000	93.16
1020729600000	92.89
1020816000000	95.73
1020902400000	94.61
1020988800000	93.47
1021248000000	94.99
1021334400000	96.54
1021420800000	96
1021507200000	96.44
1021593600000	97.04
1021852800000	95.97
1021939200000	95.23
1022025600000	95.93
1022112000000	96.69
1022198400000	95.61
1022457600000	95.62
1022544000000	94.84
1022630400000	94.64
1022716800000	94.47
1022803200000	94.7
1023062400000	92.65
1023148800000	92.57
1023235200000	93.44
1023321600000	91.94
1023408000000	91.94
1023667200000	92.5
1023753600000	91.26
1023840000000	91.81
1023926400000	90.93
1024012800000	90.61
1024272000000	92.74
1024358400000	92.79
1024444800000	91.55
1024531200000	90.62
1024617600000	89.11
1024876800000	89.35
1024963200000	87.98
1025049600000	88.03
1025136000000	89.5
1025222400000	89.34
1025481600000	87.75
1025568000000	86.23
1025654400000	86.6
1025740800000	86.59
1025827200000	89.26
1026086400000	88.43
1026172800000	86.75
1026259200000	84.2
1026345600000	84.29
1026432000000	83.45
1026691200000	82.9
1026777600000	81.54
1026864000000	81.79
1026950400000	79.67
1027036800000	76.48
1027296000000	74.12
1027382400000	72.75
1027468800000	77.02
1027555200000	76.92
1027641600000	77.99
1027900800000	81.79
1027987200000	81.89
1028073600000	82.86
1028160000000	80.72
1028246400000	79.21
1028505600000	76.84
1028592000000	78.79
1028678400000	80.39
1028764800000	82.74
1028851200000	82.86
1029110400000	82.5
1029196800000	81.01
1029283200000	84.05
1029369600000	84.69
1029456000000	84.78
1029715200000	86.33
1029801600000	85.22
1029888000000	86.18
1029974400000	87.31
1030060800000	85.65
1030320000000	86.3
1030406400000	85.22
1030492800000	83.83
1030579200000	83.83
1030665600000	83.76
1030924800000	83.76
1031011200000	80.69
1031097600000	81.92
1031184000000	80.8
1031270400000	81.86
1031529600000	82.65
1031616000000	83.31
1031702400000	83.32
1031788800000	81.4
1031875200000	81.7
1032134400000	81.96
1032220800000	80.3
1032307200000	80.06
1032393600000	77.96
1032480000000	78.21
1032739200000	77.24
1032825600000	75.99
1032912000000	77.76
1032998400000	79.03
1033084800000	76.88
1033344000000	75.88
1033430400000	78.76
1033516800000	77.09
1033603200000	76.4
1033689600000	74.78
1033948800000	73.65
1034035200000	74.9
1034121600000	72.86
1034208000000	75.32
1034294400000	77.8
1034553600000	78.4
1034640000000	81.79
1034726400000	79.77
1034812800000	81.42
1034899200000	81.91
1035158400000	83.32
1035244800000	82.19
1035331200000	82.63
1035417600000	81.4
1035504000000	82.75
1035763200000	82.01
1035849600000	81.41
1035936000000	82.23
1036022400000	81.94
1036108800000	83.1
1036368000000	83.52
1036454400000	83.98
1036540800000	84.78
1036627200000	83.21
1036713600000	82.56
1036972800000	80.94
1037059200000	81.51
1037145600000	81.56
1037232000000	83.22
1037318400000	83.61
1037577600000	82.71
1037664000000	82.46
1037750400000	83.83
1037836800000	85.37
1037923200000	85.06
1038182400000	85.1
1038268800000	83.57
1038355200000	85.69
1038441600000	85.7
1038528000000	85.29
1038787200000	85.11
1038873600000	84.12
1038960000000	83.98
1039046400000	82.95
1039132800000	83.45
1039392000000	82.01
1039478400000	83.15
1039564800000	83.33
1039651200000	82.95
1039737600000	82.02
1039996800000	83.72
1040083200000	82.99
1040169600000	82.09
1040256000000	81.53
1040342400000	82.45
1040601600000	82.69
1040688000000	82.42
1040774400000	82.43
1040860800000	82.08
1040947200000	80.97
1041206400000	81.41
1041292800000	81.33
1041465600000	83.78
1041552000000	83.88
1041811200000	85.48
1041897600000	84.89
1041984000000	83.77
1042070400000	85.35
1042156800000	85.35
1042416000000	85.14
1042502400000	85.55
1042588800000	84.37
1042675200000	84
1042761600000	82.86
1043020800000	82.86
1043107200000	81.75
1043193600000	81.02
1043280000000	81.83
1043366400000	79.72
1043625600000	78.4
1043712000000	79.33
1043798400000	79.83
1043884800000	78.17
1043971200000	79.18
1044230400000	79.57
1044316800000	78.55
1044403200000	78.14
1044489600000	77.73
1044576000000	77.06
1044835200000	77.58
1044921600000	76.94
1045008000000	76.07
1045094400000	76.21
1045180800000	77.56
1045440000000	77.59
1045526400000	79
1045612800000	78.35
1045699200000	77.67
1045785600000	78.71
1046044800000	77.36
1046131200000	77.8
1046217600000	76.76
1046304000000	77.6
1046390400000	77.91
1046649600000	77.39
1046736000000	76.23
1046822400000	76.87
1046908800000	76.34
1046995200000	77.11
1047254400000	75.28
1047340800000	74.7
1047427200000	74.89
1047513600000	77.05
1047600000000	77.15
1047859200000	79.65
1047945600000	80.05
1048032000000	80.69
1048118400000	80.78
1048204800000	82.52
1048464000000	79.86
1048550400000	80.73
1048636800000	80.35
1048723200000	80.34
1048809600000	79.94
1049068800000	78.8
1049155200000	79.57
1049241600000	81.47
1049328000000	81.01
1049414400000	81.12
1049673600000	81.16
1049760000000	81.06
1049846400000	80.01
1049932800000	80.43
1050019200000	80.22
1050278400000	81.66
1050364800000	82.04
1050451200000	81.05
1050537600000	82.12
1050624000000	82.12
1050883200000	81.98
1050969600000	83.56
1051056000000	83.89
1051142400000	83.08
1051228800000	82.01
1051488000000	83.36
1051574400000	83.68
1051660800000	83.66
1051747200000	83.63
1051833600000	84.83
1052092800000	84.58
1052179200000	85.34
1052265600000	84.86
1052352000000	84.22
1052438400000	85.27
1052697600000	86.32
1052784000000	86.15
1052870400000	85.96
1052956800000	86.5
1053043200000	86.46
1053302400000	84.5
1053388800000	84.47
1053475200000	84.79
1053561600000	85.4
1053648000000	85.51
1053907200000	85.51
1053993600000	86.94
1054080000000	87.01
1054166400000	86.65
1054252800000	88
1054512000000	88.32
1054598400000	88.64
1054684800000	89.88
1054771200000	90.14
1054857600000	89.92
1055116800000	88.97
1055203200000	89.73
1055289600000	90.92
1055376000000	91.13
1055462400000	90.32
1055721600000	92.12
1055808000000	92.32
1055894400000	92.28
1055980800000	91
1056067200000	91.03
1056326400000	89.93
1056412800000	89.99
1056499200000	89.45
1056585600000	90.33
1056672000000	89.61
1056931200000	89.46
1057017600000	90.06
1057104000000	91.07
1057190400000	90.42
1057276800000	90.41
1057536000000	91.95
1057622400000	92.15
1057708800000	91.65
1057795200000	90.49
1057881600000	91.31
1058140800000	91.88
1058227200000	91.37
1058313600000	90.89
1058400000000	89.84
1058486400000	91.03
1058745600000	89.82
1058832000000	90.62
1058918400000	90.9
1059004800000	90.32
1059091200000	91.79
1059350400000	91.52
1059436800000	90.98
1059523200000	90.64
1059609600000	90.88
1059696000000	90.01
1059955200000	90.09
1060041600000	88.6
1060128000000	88.59
1060214400000	89.21
1060300800000	89.59
1060560000000	89.88
1060646400000	90.78
1060732800000	90.32
1060819200000	90.76
1060905600000	90.89
1061164800000	91.58
1061251200000	91.83
1061337600000	91.45
1061424000000	91.66
1061510400000	90.84
1061769600000	90.79
1061856000000	91.13
1061942400000	91.12
1062028800000	91.68
1062115200000	92.19
1062374400000	92.23
1062460800000	93.55
1062547200000	94.1
1062633600000	94.17
1062720000000	93.56
1062979200000	94.46
1063065600000	93.8
1063152000000	92.64
1063238400000	93.12
1063324800000	93.38
1063584000000	93.06
1063670400000	94.16
1063756800000	93.79
1063843200000	95.03
1063929600000	94.9
1064188800000	93.67
1064275200000	94.3
1064361600000	92.76
1064448000000	92.12
1064534400000	91.67
1064793600000	92.41
1064880000000	91.52
1064966400000	93.45
1065052800000	93.7
1065139200000	94.6
1065398400000	94.99
1065484800000	95.36
1065571200000	94.93
1065657600000	95.44
1065744000000	95.62
1066003200000	96.31
1066089600000	96.7
1066176000000	96.73
1066262400000	96.94
1066348800000	96.11
1066608000000	96.54
1066694400000	96.68
1066780800000	95.34
1066867200000	95.51
1066953600000	94.73
1067212800000	94.79
1067299200000	95.95
1067385600000	96.01
1067472000000	95.84
1067558400000	96.19
1067817600000	96.9
1067904000000	96.56
1067990400000	96.5
1068076800000	96.99
1068163200000	96.57
1068422400000	96.09
1068508800000	95.9
1068595200000	96.9
1068681600000	97.07
1068768000000	96.41
1069027200000	95.79
1069113600000	95.05
1069200000000	95.76
1069286400000	95.08
1069372800000	95.21
1069632000000	96.72
1069718400000	96.93
1069804800000	97.34
1069891200000	97.34
1069977600000	97.43
1070236800000	98.55
1070323200000	98.38
1070409600000	98.28
1070496000000	98.62
1070582400000	97.95
1070841600000	98.79
1070928000000	98.07
1071014400000	97.86
1071100800000	98.81
1071187200000	99.08
1071446400000	98.58
1071532800000	99.17
1071619200000	99.41
1071705600000	100.46
1071792000000	100.44
1072051200000	100.73
1072137600000	101.06
1072224000000	101.02
1072310400000	101
1072396800000	101.19
1072656000000	102.43
1072742400000	102.47
1072828800000	102.6
1073001600000	102.32
1073260800000	103.53
1073347200000	103.7
1073433600000	103.84
1073520000000	104.32
1073606400000	103.52
1073865600000	103.9
1073952000000	103.47
1074038400000	104.22
1074124800000	104.35
1074211200000	104.92
1074470400000	104.96
1074556800000	104.82
1074643200000	105.6
1074729600000	105.45
1074816000000	105.26
1075075200000	106.42
1075161600000	105.46
1075248000000	103.96
1075334400000	104.23
1075420800000	104.02
1075680000000	104.23
1075766400000	104.45
1075852800000	103.59
1075939200000	103.73
1076025600000	105.13
1076284800000	104.98
1076371200000	105.52
1076457600000	106.46
1076544000000	105.95
1076630400000	105.47
1076889600000	105.49
1076976000000	106.46
1077062400000	106.05
1077148800000	105.53
1077235200000	105.13
1077494400000	104.76
1077580800000	104.67
1077667200000	105.02
1077753600000	105.2
1077840000000	105.38
1078099200000	106.49
1078185600000	105.84
1078272000000	106.07
1078358400000	106.33
1078444800000	106.79
1078704000000	105.96
1078790400000	105.42
1078876800000	103.83
1078963200000	102.42
1079049600000	103.72
1079308800000	102.46
1079395200000	103.21
1079481600000	104.34
1079568000000	104.21
1079654400000	103.16
1079913600000	101.97
1080000000000	101.95
1080086400000	101.65
1080172800000	103.36
1080259200000	103.29
1080518400000	104.61
1080604800000	105.1
1080691200000	105
1080777600000	105.55
1080864000000	106.42
1081123200000	107.22
1081209600000	106.99
1081296000000	106.32
1081382400000	106.09
1081468800000	106.09
1081728000000	106.51
1081814400000	105.04
1081900800000	104.77
1081987200000	104.71
1082073600000	105.22
1082332800000	105.31
1082419200000	103.76
1082505600000	104.4
1082592000000	105.98
1082678400000	106.05
1082937600000	105.57
1083024000000	105.72
1083110400000	104.12
1083196800000	103.25
1083283200000	102.79
1083542400000	103.76
1083628800000	103.99
1083715200000	104.27
1083801600000	103.51
1083888000000	101.97
1084147200000	100.56
1084233600000	101.43
1084320000000	101.65
1084406400000	101.58
1084492800000	101.65
1084752000000	100.67
1084838400000	101.29
1084924800000	101.23
1085011200000	101.16
1085097600000	101.56
1085356800000	101.74
1085443200000	103.36
1085529600000	103.59
1085616000000	104.15
1085702400000	104.18
1085961600000	104.25
1086048000000	104.29
1086134400000	104.72
1086220800000	103.96
1086307200000	104.5
1086566400000	106.12
1086652800000	106.37
1086739200000	105.21
1086825600000	105.61
1086912000000	105.6
1087171200000	104.45
1087257600000	105
1087344000000	105.05
1087430400000	105.07
1087516800000	105.25
1087776000000	104.96
1087862400000	105.37
1087948800000	106.27
1088035200000	106.04
1088121600000	105.47
1088380800000	105.36
1088467200000	105.59
1088553600000	106.06
1088640000000	105.3
1088726400000	104.96
1088985600000	104.97
1089072000000	104.26
1089158400000	104.52
1089244800000	103.72
1089331200000	104.09
1089590400000	104.19
1089676800000	104.17
1089763200000	103.74
1089849600000	103.37
1089936000000	103.02
1090195200000	103.01
1090281600000	103.57
1090368000000	102.41
1090454400000	102.56
1090540800000	101.71
1090800000000	101.53
1090886400000	102.33
1090972800000	102.59
1091059200000	103.33
1091145600000	103.52
1091404800000	103.97
1091491200000	103.47
1091577600000	103.23
1091664000000	101.65
1091750400000	100.2
1092009600000	100.26
1092096000000	101.42
1092182400000	101.04
1092268800000	99.86
1092355200000	100.15
1092614400000	101.38
1092700800000	101.54
1092787200000	102.65
1092873600000	102.45
1092960000000	103.08
1093219200000	102.76
1093305600000	102.84
1093392000000	103.6
1093478400000	103.58
1093564800000	103.88
1093824000000	103.16
1093910400000	103.76
1093996800000	104.05
1094083200000	105.14
1094169600000	104.72
1094428800000	104.74
1094515200000	105.46
1094601600000	105.05
1094688000000	105.18
1094774400000	105.56
1095033600000	105.87
1095120000000	106.03
1095206400000	105.42
1095292800000	105.86
1095379200000	106.23
1095638400000	105.7
1095724800000	106.62
1095811200000	105.38
1095897600000	104.83
1095984000000	105.09
1096243200000	104.55
1096329600000	105.31
1096416000000	105.69
1096502400000	105.9
1096588800000	107.23
1096848000000	107.42
1096934400000	107.47
1097020800000	108.23
1097107200000	107.19
1097193600000	106.55
1097452800000	106.66
1097539200000	106.45
1097625600000	105.66
1097712000000	105
1097798400000	105.39
1098057600000	105.72
1098144000000	104.66
1098230400000	105
1098316800000	105.19
1098403200000	104.46
1098662400000	104.46
1098748800000	105.9
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1668384000000	552.98
1668470400000	556.53
1668556800000	552.94
1668643200000	553.02
1668729600000	555.56
1668988800000	553.81
1669075200000	561.42
1669161600000	564.25
1669248000000	564.37
1669334400000	564.35
1669593600000	556.61
1669680000000	555.24
1669766400000	571.84
1669852800000	572.22
1669939200000	571.73
1670198400000	562.74
1670284800000	554.11
1670371200000	553.63
1670457600000	557.59
1670544000000	553.49
1670803200000	560.82
1670889600000	564.37
1670976000000	561.88
1671062400000	547.76
1671148800000	541.51
1671408000000	536.59
1671494400000	538.23
1671580800000	545.59
1671667200000	538.52
1671753600000	541.23
1672012800000	541.23
1672099200000	539.03
1672185600000	532.74
1672272000000	541.44
1672358400000	540.14
1672617600000	540.14
1672704000000	538.77
1672790400000	541.16
1672876800000	535.38
1672963200000	547.32
1673222400000	544.93
1673308800000	548.07
1673395200000	554.43
1673481600000	556.38
1673568000000	558.91
1673827200000	559
1673913600000	557.37
1674000000000	549.12
1674086400000	545.81
1674172800000	555.93
1674432000000	562.11
1674518400000	561.67
1674604800000	561.69
1674691200000	567.38
1674777600000	568.31
1675036800000	561.66
1675123200000	569.68
1675209600000	574.62
1675296000000	584.22
1675382400000	580.06
1675641600000	576.33
1675728000000	584.25
1675814400000	577.24
1675900800000	571.89
1675987200000	573.46
1676246400000	580.28
1676332800000	579.57
1676419200000	580.74
1676505600000	573.06
1676592000000	572.59
1676851200000	572.66
1676937600000	562.07
1677024000000	560.98
1677110400000	563.65
1677196800000	557.79
1677456000000	558.75
1677542400000	556.81
1677628800000	554.24
1677715200000	557.83
1677801600000	566.34
1678060800000	568.18
1678147200000	559.82
1678233600000	559.47
1678320000000	549.46
1678406400000	541.73
1678665600000	540.1
1678752000000	549.49
1678838400000	546.73
1678924800000	556.79
1679011200000	550.23
1679270400000	554.92
1679356800000	561.81
1679443200000	553.14
1679529600000	555.55
1679616000000	558.22
1679875200000	559.16
1679961600000	558.09
1680048000000	565.18
1680134400000	567.95
1680220800000	575.36
1680480000000	578.88
1680566400000	575.2
1680652800000	574.82
1680739200000	577.65
1680825600000	577.65
1681084800000	577.34
1681171200000	577.57
1681257600000	576.28
1681344000000	583.81
1681430400000	583.42
1681689600000	584.57
1681776000000	584.78
1681862400000	584.09
1681948800000	581.76
1682035200000	581.7
1682294400000	581.66
1682380800000	572.88
1682467200000	571.11
1682553600000	583.01
1682640000000	587.67
1682899200000	587.8
1682985600000	581.19
1683072000000	577.08
1683158400000	571.47
1683244800000	582.26
1683504000000	582.64
1683590400000	579.84
1683676800000	581.94
1683763200000	581.24
1683849600000	580.24
1684108800000	582.03
1684195200000	578.61
1684281600000	584.34
1684368000000	588.74
1684454400000	588.34
1684713600000	588.97
1684800000000	582.98
1684886400000	577.81
1684972800000	580.56
1685059200000	586.68
1685318400000	586.89
1685404800000	585.62
1685491200000	582.59
1685577600000	588.34
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1685923200000	595.42
1686009600000	596.52
1686096000000	593.77
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1686268800000	597.06
1686528000000	602.17
1686614400000	605.64
1686700800000	604.62
1686787200000	612.93
1686873600000	610.97
1687132800000	610.9
1687219200000	607.71
1687305600000	605.25
1687392000000	608.2
1687478400000	604.36
1687737600000	601.65
1687824000000	607.33
1687910400000	606.88
1687996800000	609.92
1688083200000	617.28
1688342400000	617.15
1688428800000	617.29
1688515200000	615.85
1688601600000	610.62
1688688000000	608.03
1688947200000	609.9
1689033600000	613.71
1689120000000	617.54
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1689552000000	624.79
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1689811200000	627.04
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1690156800000	629.73
1690243200000	630.67
1690329600000	630.54
1690416000000	627.67
1690502400000	633.48
1690761600000	634.41
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1690934400000	624.28
1691020800000	623.75
1691107200000	619.5
1691366400000	625.13
1691452800000	622.17
1691539200000	618.3
1691625600000	618.79
1691712000000	618.98
1691971200000	621.78
1692057600000	614.82
1692144000000	610.66
1692230400000	605.92
1692316800000	605.44
1692576000000	608.43
1692662400000	606.8
1692748800000	614.12
1692835200000	605.99
1692921600000	609.63
1693180800000	613.2
1693267200000	621.41
1693353600000	623.61
1693440000000	622.24
1693526400000	625.35
1693785600000	625.31
1693872000000	622.04
1693958400000	617.93
1694044800000	615.67
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1694563200000	618.21
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1694995200000	618.14
1695081600000	617.58
1695168000000	611.78
1695254400000	602.42
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1695859200000	598.95
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1696204800000	596.38
1696291200000	588.39
1696377600000	593.09
1696464000000	593.73
1696550400000	600.59
1696809600000	604.22
1696896000000	606.69
1696982400000	609.79
1697068800000	606.5
1697155200000	604.37
1697414400000	610.6
1697500800000	610.84
1697587200000	602.95
1697673600000	598.14
1697760000000	591.22
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1698192000000	586.56
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1698624000000	583.46
1698710400000	587.1
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1699228800000	612.03
1699315200000	613.38
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1699488000000	609.21
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1699920000000	627.5
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1702425600000	656.66
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1702857600000	660.16
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1703462400000	664.33
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1703635200000	667.53
1703721600000	668.56
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1708041600000	704.88
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1708560000000	717.72
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1709510400000	721.41
1709596800000	715.39
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1709856000000	722.33
1710115200000	722.13
1710201600000	730.59
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1710460800000	724.48
1710720000000	729.28
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1710979200000	743.25
1711065600000	742.19
1711324800000	739.06
1711411200000	737.27
1711497600000	742.97
1711584000000	743.79
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1712102400000	739.45
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1712534400000	738.48
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1712707200000	731.71
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1712880000000	725.98
1713139200000	718.08
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1713830400000	721.67
1713916800000	721.15
1714003200000	715.99
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1714348800000	725.67
1714435200000	714.91
1714521600000	713.98
1714608000000	719.89
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1714953600000	736.8
1715040000000	738.77
1715126400000	739.49
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1715299200000	744.6799
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1716336000000	757.95
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1717459200000	759.41
1717545600000	768.13
1717632000000	767.38
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1718150400000	777.88
1718236800000	779.83
1718323200000	779.71
1718582400000	785.57
1718668800000	787.17
1718755200000	787.07
1718841600000	785.15
1718928000000	783.46
1719187200000	782.1799
1719273600000	786.3
1719360000000	786.26
1719446400000	786.17
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1719878400000	789.12
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1721001600000	808.48
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1721347200000	791.67
1721606400000	799.69
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1721865600000	776.09
1721952000000	785.41
1722211200000	786.16
1722297600000	783.7
1722384000000	792.3
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1722556800000	770.8099
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1722902400000	754.55
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1723420800000	769.21
1723507200000	780.6799
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1723680000000	794.36
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1724112000000	802.91
1724198400000	805.9299
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1724803200000	806.62
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1725321600000	799.15
1725408000000	798.39
1725494400000	795.08
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1725840000000	790.89
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1726617600000	811.52
1726704000000	823.3099
1726790400000	822.04
1727049600000	822.9
1727136000000	822.54
1727222400000	820.6799
1727308800000	824.23
1727395200000	823.64
1727654400000	827.48
1727740800000	821.75
1727827200000	821.39
1727913600000	819.83
1728000000000	826.59
1728259200000	818.1
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1728432000000	831.11
1728518400000	829.28
1728604800000	835.86
1728864000000	841.98
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1729209600000	843.84
1729468800000	840.16
1729555200000	840.68
1729641600000	833.85
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1730160000000	836.48
1730246400000	836.14
1730332800000	820.87
1730419200000	822.48
1730678400000	820.02
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1730851200000	851.06
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1731283200000	855.86
1731369600000	854.26
1731456000000	853.38
1731542400000	850.34
1731628800000	840.18
1731888000000	843.5
1731974400000	845
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1732147200000	848.85
1732233600000	851.92
1732492800000	856.92
1732579200000	861.28
1732665600000	859.16
1732752000000	859.22
1732838400000	862.57
1733097600000	864.12
1733184000000	864.76
1733270400000	867.43
1733356800000	866.9
1733443200000	867.89
1733702400000	863.14
1733788800000	860.7
1733875200000	865.75
1733961600000	861.56
1734048000000	859.86
1734307200000	860.95
1734393600000	857.93
1734480000000	834.5599
1734566400000	834.15
1734652800000	843.25
1734912000000	848.79
1734998400000	856.1
1735084800000	856.1
1735171200000	856.21
1735257600000	848.13
1735516800000	839.78
1735603200000	837.64
1735776000000	836.13
1735862400000	844.58
1736121600000	849.25
1736208000000	843.18
1736294400000	844.03
1736380800000	843.97
1736467200000	830.29
1736726400000	831.74
1736812800000	833.69
1736899200000	848.01
1736985600000	846.15
1737072000000	853.26
1737331200000	853.42
1737417600000	859.24
1737504000000	863.96
1737590400000	868.54
1737676800000	867.28
1737936000000	861.08
1738022400000	868.67
1738108800000	866.02
1738195200000	870.22
1738281600000	866.03
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1738627200000	864.76
1738713600000	866.83
1738800000000	869.57
1738886400000	861.66
1739145600000	865.33
1739232000000	866.92
1739318400000	864.12
1739404800000	872.45
1739491200000	872.65
1739750400000	872.6
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1739923200000	877.29
1740009600000	873.65
1740096000000	861.66
1740355200000	859.52
1740441600000	857.65
1740528000000	855.9
1740614400000	845.93
1740700800000	858.8
1740960000000	847.25
1741046400000	835.6
1741132800000	844.66
1741219200000	834.32
1741305600000	838.42
1741564800000	819.38
1741651200000	810.9
1741737600000	812.3
1741824000000	802.83
1741910400000	818.76
1742169600000	824.3
1742256000000	815.6799
1742342400000	823.51
1742428800000	821.67
1742515200000	821.76
1742774400000	834.4
1742860800000	835.96
1742947200000	829.39
1743033600000	827.4
1743120000000	811.46
1743379200000	817.17
1743465600000	818.9
1743552000000	822.14
1743638400000	788.8
1743724800000	743.3099
1743984000000	740.26
1744070400000	730.15
1744156800000	790.7
1744243200000	766.37
1744329600000	780.83
1744588800000	787.85
1744675200000	786.24
1744761600000	770.84
1744848000000	773.1799
1744934400000	773.1799
1745193600000	757.28
1745280000000	777.12
1745366400000	788.45
1745452800000	802.11
1745539200000	805.59
1745798400000	806.76
1745884800000	811.49
1745971200000	814.11
1746057600000	817.77
1746144000000	829.8
1746403200000	827.1
1746489600000	822.13
1746576000000	823.28
1746662400000	826.57
1746748800000	824.87
1747008000000	845.96
1747094400000	850.58
1747180800000	852.48
1747267200000	858.49
1747353600000	864.58
1747612800000	866.16
1747699200000	862.67
1747785600000	851.41
1747872000000	850.42
1747958400000	845.97
1748217600000	846.22
1748304000000	861.92
1748390400000	857.73
1748476800000	860.1
1748563200000	861.96
1748822400000	865.96
1748908800000	869.24
1748995200000	869.79
1749081600000	868.38
1749168000000	877.03
1749427200000	875.94
1749513600000	879.35
1749600000000	877.39
1749686400000	880.01
1749772800000	869
1750032000000	876.94
1750118400000	870.68
1750204800000	869.36
1750291200000	869.27
1750377600000	867.25
1750636800000	875.57
1750723200000	884.07
1750809600000	883.76
1750896000000	891.88
1750982400000	897.01
1751241600000	903.42
1751328000000	902.57
1751414400000	904.78
1751500800000	912.55
1751587200000	912.5
1751846400000	905.9
1751932800000	902.44
1752019200000	907.42
1752105600000	910.36
1752192000000	905.92
1752451200000	907.92
1752537600000	903.32
1752624000000	906.49
1752710400000	910.23
1752796800000	910.16
1753056000000	912.76
1753142400000	914.3
1753228800000	921.2
1753315200000	921.56
1753401600000	925.04
1753660800000	922.32
1753747200000	920.9
1753833600000	918.97
1753920000000	917.94
1754006400000	906.7
1754265600000	920.43
1754352000000	915.79
1754438400000	922.81
1754524800000	922.7
1754611200000	932.14
1754870400000	930.62
1754956800000	940.79
1755043200000	943.17
1755129600000	944.24
1755216000000	941.74
1755475200000	941.62
1755561600000	937.94
1755648000000	937.76
1755734400000	934.45
1755820800000	946.85
1756080000000	942.87
1756166400000	946.44
1756252800000	948.81
1756339200000	952.19
1756425600000	949.71
1756684800000	949.64
1756771200000	944.39
1756857600000	951.62
1756944000000	959.76
1757030400000	955.7
1757289600000	956.55
1757376000000	959.48
1757462400000	958.05
1757548800000	967.13
1757635200000	964.78
1757894400000	968.34
1757980800000	966.62
1758067200000	968.45
1758153600000	971.68
1758240000000	976.89
1758499200000	979.27
1758585600000	975.67
1758672000000	971.87
1758758400000	969.28
1758844800000	973.93
1759104000000	974.99
1759190400000	977.26

	iSTOXX L&G North America Multi-Factor ESG	STOXX North America
2018	-4.7089733980733	-5.9129666825471
2019	30.650206353168	30.668195214888
2020	15.357031227408	19.803637003854
2021	28.146631398773	26.076319101394
2022	-19.157661567934	-19.983838076541
2023	23.567963861218	26.202691367235
2024	25.391248521522	23.850090398424
2025	22.950540647534	21.048015618615

Methodology

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. A Global index is constructed by aggregating the six regional indices using the regional weights of STOXX World AC Index.
The portfolio construction is performed using LGIM’s Value, Momentum, Low Volatility, and Quality factor scores and Axioma’s portfolio optimization software and risk models.

Versions and symbols

Index	ISIN	Symbol	Reuters
Net Return EUR	CH1213345858	SWAMER	.SWAMER
Price EUR	CH1213345841	SWAMEP	.SWAMEP
Gross Return EUR	CH1213346286	SWAMEGR	.SWAMEGR
Gross Return GBP	CH1213345809	SWAMEGHB	.SWAMEGHB
Net Return GBP	CH1213345619	SWAMEHB	.SWAMEHB
Price GBP	CH1213345601	SWAMEGB	.SWAMEGB
Gross Return USD	CH1213345833	SWAMEGV	.SWAMEGV
Net Return USD	CH1213345825	SWAMEV	.SWAMEV
Price USD	CH1213345817	SWAMEL	.SWAMEL

Quick Facts

Weighting	The indices are weighted using an optimization model.
Cap Factor	na
No. of components	Variable
Review frequency	Quarterly
Calculation/distribution	End Of Day
Calculation hours	00:00:00 22:15:00
Base value/base date	100 as of Mar. 18, 2002
History	Available from Mar. 18, 2002
Inception date	March. 27, 2024
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components⁴

Company	Supersector	Country	Weight
Apple Inc.	Technology	USA	6.638%
NVIDIA Corp.	Technology	USA	6.084%
Microsoft Corp.	Technology	USA	5.275%
META PLATFORMS CLASS A	Technology	USA	4.456%
JPMorgan Chase & Co.	Banks	USA	3.520%
ALPHABET INC. CL A	Technology	USA	3.201%
ALPHABET CLASS C	Technology	USA	3.108%
Johnson & Johnson	Healthcare	USA	2.233%
AT&T Inc.	Telecommunications	USA	1.861%
MasterCard Inc. Cl A	Industrial Goods and Services	USA	1.819%

³Net dividend yield is calculated as net return index return minus price index return

⁴Based on the composition as of September 30, 2025

CONTACT DETAILS

STOXX customer support
P +41 43 430 7272
customersupport@stoxx.com
https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

ISTOXX INDICES

iSTOXX L&G North America Multi-Factor ESG

Index Description

Key facts

Descriptive Statistics

Supersector weighting (top 10)

Country weighting

Risk and return figures1

ISTOXX INDICES

iSTOXX L&G North America Multi-Factor ESG

Fundamentals

Performance and annual returns

Methodology

Versions and symbols

Quick Facts

Top 10 Components4

CONTACT DETAILS

DISCLAIMER

BACKTESTED PERFORMANCE

CUSTOMIZATION

CONTACT DETAILS

DISCLAIMER

BACKTESTED PERFORMANCE

CUSTOMIZATION

Risk and return figures¹

Top 10 Components⁴