iSTOXX^® L&G North America Momentum

The STOXX ESG Broad Market Indices track the performance of a selection of STOXX indices after a set of compliance, involvement and ESG performance screens are applied.

Companies that are non-compliant based on the ISS ESG's Norms-based screening or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco Production, Small Arms, Military Contracting, ESG Controversies, coal, oil, gas and energy production, aligned with the EU Paris Aligned Benchmarks (PAB) exclusions. The remaining securities are ranked in descending order of their ISS ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.

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

The STOXX Industry Leaders Low Carbon Indices represent the top industry (as defined by the ICB Industry classification) leaders with the lowest carbon emissions considering estimated and reported carbon intensity data. The indices are available for various regions and countries, including Global, Europe and USA. They are blue-chip indices with a fixed component number at the annual rebalance, and are price weighted with a weight factor based on the free-float market cap multiplied by the corresponding Z-score carbon intensity factor of each constituent. Components with lower carbon intensities are overweighted, while those with higher carbon emission are underweighted. Additionally, STOXX also calculates an equal weight version for this group of indices.  The indices also exlcude companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

STOXX uses  ISS ESG as reliable and professional data sources for the estimated and reported data. Data considered comprise Scope 1 (All direct GHG emissions) and Scope 2 (Indirect GHG emissions from consumption of purchased electricity, heat or steam) emissions.

STOXX calculates a comprehensive family of Low Carbon Indices. Click here to see all available indices.

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

The EURO STOXX 50 ESG Index reflects the EURO STOXX 50 Index with standardized ESG exclusion screens applied for Norms-based research, Controversial Weapons, Small Arms, Military Contracting, Thermal Coal, Unconventional Oil; Gas, ESG Controversies, ESG Risk, and Tobacco. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial EURO STOXX 50 components are excluded. Each exclusion is replaced by a EURO STOXX company with a higher ESG score from the same ICB Supersector as the excluded company.

The index is free float market capitalization weighted with cap factors imposed on the index components such that the index achieves an overall ESG score that exceeds that of the EURO STOXX 50 Index excluding its worst 20% ESG scorers.The index is free float market capitalization weighted with cap factors imposed on the index components such that the index achieves an overall ESG score that exceeds that of the EURO STOXX 50 Index excluding its worst 20% ESG scorers.

This index applies screens in alignment with the ESMA guidelines on funds' names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coat (>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 iSTOXX L&G Single-Factor indices are designed to provide exposure to Momentum risk-premia factor, where style factor scores are provided by Legal and General Investment Management (LGIM). 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.