iSTOXX^® L&G North America Multi-Factor

The objective of the STOXX Willis Tower Watson World Climate Transition Index is to align a broad based equity index, from a valuation and financial perspective, with a global economic transition that would limit greenhouse gas concentrations to levels consistent with United Nations objectives for global temperature rises. The index relies on Climate Transition Value at Risk (CTVaR) metrics from Willis Towers Watson, and incorporates screens for Global Standards Screening, Controversial Weapons, Thermal Coal and Oil Sands.

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

The EURO STOXX Low Carbon Select 50 EUR Index captures the performance of low carbon emissions stocks with low volatility and high dividends from the EURO STOXX 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.

The EURO iSTOXX 50 ESG NR Decrement 4% Index replicates the performance of the net return version of the EURO STOXX 50 ESG Index assuming a constant 4% performance deduction per annum. The performance deduction accrues constantly on a daily basis (using an Actual/365 Fixed day count convention). Consequently, due to the percentage of performance deduction, the EURO iSTOXX 50 ESG NR Decrement 4% Index underperforms the EURO STOXX 50 ESG Net Return Index.

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