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ISTOXX INDICES

iSTOXX L&G Global 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 Global Multi-Factor ESG N/A 11,144.0 3.8 0.3 530.6 0.0 4.8 N/A 0.0
STOXX World AC 104,079.1 79,993.5 21.2 3.5 3,542.6 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 1.5 21.5 34.9 29.8 80.0 N/A N/A 34.9 9.1 12.4
STOXX World AC 2.3 18.7 31.7 25.2 76.6 N/A N/A 31.7 7.8 12.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Global Multi-Factor ESG N/A N/A 10.1 13.7 16.8 N/A N/A 2.6 0.5 0.6
STOXX World AC N/A N/A 10.7 14.4 17.2 N/A N/A 2.2 0.4 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 1.9 1.5 1.5 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 -5.1 2.0 1.5 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 September 30, 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 17.1 18.2 18.2 2.9 2.2 2.0 18.4
STOXX World AC 23.1 19.8 21.4 21.4 3.2 2.0 2.0 18.2

Performance and annual returns