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OPTIMISED INDICES

iSTOXX L&G Developed Europe ex UK Diversified Multi-Factor ESG

Index Description

The iSTOXX L&G Diversified Multi-Factor 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 a greater exposure to the ESG scores provided by LGIM.
  • The LGIM ESG score combines an environment E score, a social S score, and a governance G score, with adjustments made for a company’s overall levels of transparency T with regards to ESG issues.
  • The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity.

Descriptive Statistics

Index Market Cap (GBP bn) Components (GBP bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX L&G Developed Europe ex UK Diversified Multi-Factor ESG N/A 822.7 3.5 1.0 30.1 0.0 3.7 0.0 N/A
STOXX Developed Europe ex UK 8,381.7 6,322.5 18.2 7.1 270.5 0.2 4.3 0.0 N/A

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 Developed Europe ex UK Diversified Multi-Factor ESG -1.1 9.3 14.1 15.7 44.7 N/A N/A 14.1 5.0 7.6
STOXX Developed Europe ex UK -1.4 2.9 7.5 12.7 39.3 N/A N/A 7.5 4.1 6.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Developed Europe ex UK Diversified Multi-Factor ESG N/A N/A 9.6 14.9 17.1 N/A N/A 1.0 0.2 0.3
STOXX Developed Europe ex UK N/A N/A 10.5 15.4 17.4 N/A N/A 0.3 0.1 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G Developed Europe ex UK Diversified Multi-Factor ESG 1.0 1.0 1.0 1.0 1.0 1.8 2.2 2.2 2.2 2.2
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Developed Europe ex UK Diversified Multi-Factor ESG 0.9 0.9 0.9 1.0 1.0 2.3 2.9 2.7 0.4 0.3

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

2Based on EURIBOR1M

(GBP, Net Return), all data as of November 29, 2024

OPTIMISED INDICES

iSTOXX L&G Developed Europe ex UK Diversified 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 Developed Europe ex UK Diversified Multi-Factor ESG 13.9 13.7 13.8 13.8 2.0 2.8 1.2 -498.2
STOXX Developed Europe ex UK 16.9 14.8 16.0 16.0 2.1 2.4 1.4 -18.4

Performance and annual returns

Methodology

The iSTOXX L&G Diversified Multi-Factor 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.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1362046893 SWEDMR .SWEDMR
Gross Return EUR CH1362046901 SWEDMGR .SWEDMGR
Price EUR CH1362046885 SWEDMP .SWEDMP
Gross Return GBP CH1362046844 SWEDMGHB .SWEDMGHB
Price GBP CH1362046828 SWEDMGB .SWEDMGB
Net Return GBP CH1362046836 SWEDMHB SWEDMHB INDEX .SWEDMHB
Price USD CH1362046851 SWEDML .SWEDML
Gross Return USD CH1362046877 SWEDMGV .SWEDMGV
Net Return USD CH1362046869 SWEDMV .SWEDMV

Quick Facts

Weighting Price weighted with a weighting factor and capping factor
Cap Factor na
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 00:00:00 22:30:00
Base value/base date 100 as of Mar. 18, 2002
History Available since 18 Mar 2002
Inception date Nov. 29, 2024
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
DEUTSCHE TELEKOM Telecommunications Germany 3.662%
SAP Technology Germany 3.356%
NOVARTIS Health Care Switzerland 3.329%
NOVO NORDISK B Health Care Denmark 2.378%
ZURICH INSURANCE GROUP Insurance Switzerland 2.078%
SANOFI Health Care France 2.028%
WOLTERS KLUWER Media Netherlands 1.877%
ROCHE HLDG P Health Care Switzerland 1.707%
SCHNEIDER ELECTRIC Industrial Goods and Services France 1.678%
INVESTOR B Financial Services Sweden 1.655%

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

4Based on the composition as of November 29, 2024