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ISTOXX INDICES

iSTOXX L&G Global Multi-Factor ESG

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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 Global Multi-Factor ESG N/A 10,770.1 3.5 0.3 573.0 0.0 5.3 N/A 0.0
STOXX World AC 101,112.9 78,097.4 20.7 3.3 3,434.8 0.0 4.4 0.0 3.0

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 Global Multi-Factor ESG -2.0 19.1 35.5 21.0 71.7 N/A N/A 35.3 6.5 11.4
STOXX World AC -2.3 16.0 32.7 16.5 67.8 N/A N/A 32.6 5.2 10.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Global Multi-Factor ESG N/A N/A 9.8 13.6 16.8 N/A N/A 3.1 0.4 0.6
STOXX World AC N/A N/A 10.3 14.4 17.2 N/A N/A 2.7 0.2 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G Global Multi-Factor ESG 1.0 1.0 1.0 1.0 1.0 2.0 1.6 1.6 1.8 1.7
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Global Multi-Factor ESG 0.9 0.9 0.9 0.9 1.0 1.9 2.0 1.3 0.6 0.2

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 Global 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 Global Multi-Factor ESG 18.6 16.9 18.3 18.3 2.9 2.2 2.0 21.0
STOXX World AC 22.8 19.9 21.2 21.2 3.2 2.0 2.0 22.3

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
Gross Return EUR CH1213353860 SWGMEGR .SWGMEGR
Net Return EUR CH1213353852 SWGMER .SWGMER
Price EUR CH1213353845 SWGMEP .SWGMEP
Gross Return GBP CH1213353803 SWGMEGHB .SWGMEGHB
Price GBP CH1213353720 SWGMEGB .SWGMEGB
Net Return GBP CH1213353738 SWGMEHB .SWGMEHB
Price USD CH1213353811 SWGMEL .SWGMEL
Net Return USD CH1213353829 SWGMEV SWGMEV INDEX .SWGMEV
Gross Return USD CH1213353837 SWGMEGV .SWGMEGV

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 5.320%
Microsoft Corp. Technology USA 5.262%
NVIDIA Corp. Technology USA 3.405%
JPMorgan Chase & Co. Banks USA 2.703%
META PLATFORMS CLASS A Technology USA 2.204%
ALPHABET INC. CL A Technology USA 1.966%
ALPHABET CLASS C Technology USA 1.853%
Johnson & Johnson Health Care USA 1.619%
Qualcomm Inc. Technology USA 1.189%
AT&T Inc. Telecommunications USA 1.168%

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 Global Multi-Factor ESG

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.

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.