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ISTOXX INDICES

iSTOXX L&G Emerging Markets 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 Emerging Markets Multi-Factor ESG N/A 105.1 0.1 0.0 7.7 0.0 7.3 N/A N/A
STOXX Emerging Markets 21,552.2 8,099.7 3.7 0.8 689.9 0.0 8.5 0.0 7.0

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 Emerging Markets Multi-Factor ESG -0.1 11.6 15.0 1.0 35.9 N/A N/A 14.9 0.3 6.3
STOXX Emerging Markets 0.4 8.7 8.3 -7.8 20.2 N/A N/A 8.3 -2.7 3.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Emerging Markets Multi-Factor ESG N/A N/A 12.1 14.7 16.7 N/A N/A 0.8 -0.1 0.3
STOXX Emerging Markets N/A N/A 12.3 15.9 17.6 N/A N/A 0.3 -0.3 0.1
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G Emerging Markets Multi-Factor ESG 1.0 1.0 1.0 1.0 1.0 2.5 2.2 2.3 3.3 3.2
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Emerging Markets Multi-Factor ESG 1.0 1.0 1.0 0.9 0.9 -1.9 2.1 2.6 0.8 0.7

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

2Based on EURIBOR1M

(USD, Net Return), all data as of July 31, 2024

ISTOXX INDICES

iSTOXX L&G Emerging Markets 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 Multi-Factor ESG 12.8 11.5 12.5 12.5 1.5 2.9 0.8 12.5
STOXX Emerging Markets 16.7 13.3 15.2 15.2 1.7 2.3 0.8 30.7

Performance and annual returns