iSTOXX^® L&G Global Quality

The iSTOXX APG Emerging Markets Responsible Indices are a series of indices designed to track and quantify the impact of different ESG, Carbon and SDI constraints and tilts on a broad emerging global market cap index. The weighting of each constituent security is determined through an optimization process that is designed to minimize tracking error to the benchmark while improving the ESG, Carbon and SDI exposures.

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

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 Sustainalytics’ Global Standards Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco Production, Thermal Coal, Small Arms, Military Contracting and ESG Controversies. The remaining securities are ranked in descending order of their 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 iSTOXX APG World Multi-Factor Index Family are constructed by maximizing the index exposure to a multi-factor alpha signal while satisfying a set of constraints while improving the ESG, Carbon and SDI exposures on a developed market universe.

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

The STOXX USA Low Carbon Select 50 USD Index captures the performance of US low carbon emissions stocks with low volatility and high dividends from the STOXX Global 1800 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 STOXX ESG-X & Ex Nuclear Power Single Factor Indices are constructed on the EURO STOXX^® Index with standardized ESG exclusion screens applied for Global Compact Principles, Controversial Weapons, Thermal Coal, Nuclear Power and Tobacco Producers. The objective is to extract the following factor risk premia: Value (Earnings Yield and Value), Quality (Leverage and Profitability) and Medium-term Momentum, while controlling for risk and focusing on tradability. The weighting is determined by a single-factor optimization process.

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