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OPTIMISED INDICES

iSTOXX L&G Emerging Markets Diversified Multi-Factor ESG

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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 Emerging Markets Diversified Multi-Factor ESG N/A 759.1 0.6 0.1 18.1 0.0 2.4 0.0 N/A
STOXX Emerging Markets 19,093.2 6,478.9 3.0 0.7 585.8 0.0 9.0 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 Emerging Markets Diversified Multi-Factor ESG -1.0 9.9 14.7 8.2 33.2 N/A N/A 14.7 2.6 5.9
STOXX Emerging Markets -2.2 8.7 12.3 0.9 19.5 N/A N/A 12.3 0.3 3.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Emerging Markets Diversified Multi-Factor ESG N/A N/A 11.1 13.7 15.1 N/A N/A 0.8 0.0 0.2
STOXX Emerging Markets N/A N/A 12.8 15.9 17.0 N/A N/A 0.6 -0.2 0.1
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G Emerging Markets Diversified Multi-Factor ESG 0.9 1.0 1.0 1.0 1.0 3.0 3.4 3.4 4.4 4.3
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Emerging Markets Diversified Multi-Factor ESG 0.9 0.8 0.8 0.8 0.9 5.2 0.3 0.5 0.4 0.4

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 Emerging Markets 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 Emerging Markets Diversified Multi-Factor ESG 11.0 10.9 11.0 11.0 1.4 3.3 0.7 7.0
STOXX Emerging Markets 15.4 13.5 14.0 14.0 1.8 2.4 0.9 17.3

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 CH1362047255 SWMDMR .SWMDMR
Gross Return EUR CH1362047263 SWMDMGR .SWMDMGR
Price EUR CH1362047248 SWMDMP .SWMDMP
Price GBP CH1362047180 SWMDMGB .SWMDMGB
Net Return GBP CH1362047198 SWMDMHB SWMDMHB INDEX .SWMDMHB
Gross Return GBP CH1362047206 SWMDMGHB .SWMDMGHB
Price USD CH1362047214 SWMDML .SWMDML
Net Return USD CH1362047222 SWMDMV .SWMDMV
Gross Return USD CH1362047230 SWMDMGV .SWMDMGV

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
CHINA CONSTRUCTION BANK CORP H Banks China 2.379%
BANK OF CHINA 'H' Banks China 2.341%
TSMC Technology Taiwan 2.313%
ICBC H Banks China 2.256%
Hon Hai Precision Industry Co Technology Taiwan 1.917%
Bank Central Asia Tbk PT Banks Indonesia 1.728%
Infosys Ltd Technology India 1.478%
SUN PHARMA INDUSTRIES Health Care India 1.381%
KIA CORPORATION Automobiles and Parts South Korea 1.357%
MediaTek Inc Technology Taiwan 1.348%

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

4Based on the composition as of November 29, 2024

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.