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ISTOXX INDICES

iSTOXX L&G Developed Asia Pacific ex Japan 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 Developed Asia Pacific ex Japan Multi-Factor ESG N/A 106.8 0.8 0.2 8.5 0.0 8.0 0.0 N/A
STOXX Developed Asia Pacific ex Japan 2,641.9 2,103.2 13.7 6.0 158.8 0.5 7.6 0.0 4.7

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 Developed Asia Pacific ex Japan Multi-Factor ESG -4.2 10.7 10.7 9.4 45.9 N/A N/A 10.6 3.0 7.8
STOXX Developed Asia Pacific ex Japan -4.8 5.5 5.5 1.1 16.6 N/A N/A 5.5 0.4 3.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX L&G Developed Asia Pacific ex Japan Multi-Factor ESG N/A N/A 13.0 15.8 18.1 N/A N/A 0.5 0.1 0.3
STOXX Developed Asia Pacific ex Japan N/A N/A 13.5 16.7 18.8 N/A N/A 0.1 -0.1 0.1
Index to benchmark Correlation Tracking error (%)
iSTOXX L&G Developed Asia Pacific ex Japan Multi-Factor ESG 1.0 1.0 1.0 1.0 1.0 2.3 2.5 2.5 2.8 2.8
Index to benchmark Beta Annualized information ratio
iSTOXX L&G Developed Asia Pacific ex Japan Multi-Factor ESG 1.0 0.9 0.9 0.9 1.0 3.3 1.9 1.9 0.9 1.5

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

2Based on EURIBOR1M

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

ISTOXX INDICES

iSTOXX L&G Developed Asia Pacific ex Japan 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 Developed Asia Pacific ex Japan Multi-Factor ESG 16.3 15.3 15.2 15.2 1.5 4.2 1.9 13.1
STOXX Developed Asia Pacific ex Japan 21.3 17.2 18.3 18.3 1.8 3.8 1.9 3.4

Performance and annual returns

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