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ISTOXX INDICES

iSTOXX L&G North America Multi-Factor ESG

Index Description

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.

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 108.1 0.2 0.0 8.6 0.0 8.0 0.0 0.0
STOXX North America 54,615.0 52,119.1 79.4 29.6 3,434.8 0.7 6.6 0.0 2.2

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
iSTOXX L&G North America Multi-Factor ESG -0.8 23.0 39.8 27.1 93.5 N/A N/A 39.6 8.3 14.1
STOXX North America -0.8 20.1 37.6 24.2 95.7 N/A N/A 37.4 7.5 14.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G North America Multi-Factor ESG N/A N/A 11.6 16.9 21.2 N/A N/A 2.8 0.4 0.6
STOXX North America N/A N/A 12.2 17.7 21.3 N/A N/A 2.5 0.3 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G North America Multi-Factor ESG 1.0 1.0 1.0 1.0 1.0 2.4 2.1 2.1 2.4 2.3
Index to benchmark Beta Annualized information ratio
iSTOXX L&G North America Multi-Factor ESG 0.9 0.9 0.9 0.9 1.0 0.2 1.3 0.7 0.3 -0.1

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

2Based on EURIBOR1M

(USD, Net Return), all data as of October 31, 2024

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 22.9 19.4 22.6 22.6 4.6 1.5 2.8 22.8
STOXX North America 27.9 23.8 26.0 26.0 5.1 1.4 3.0 25.6

Performance and annual returns

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 Bloomberg 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 7.973%
Microsoft Corp. Technology USA 7.886%
NVIDIA Corp. Technology USA 5.103%
JPMorgan Chase & Co. Banks USA 4.051%
META PLATFORMS CLASS A Technology USA 3.303%
ALPHABET INC. CL A Technology USA 2.946%
ALPHABET CLASS C Technology USA 2.776%
Johnson & Johnson Health Care USA 2.426%
Qualcomm Inc. Technology USA 1.783%
AT&T Inc. Telecommunications USA 1.751%

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

4Based on the composition as of October 31, 2024

ISTOXX INDICES

iSTOXX L&G North America Multi-Factor ESG