iSTOXX^® L&G UK Low Volatility

The iSTOXX Europe 600 Ircantec PAB Index tracks the performance of liquid securities from the STOXX Europe 600. The index is constructed to follow the EU Paris-aligned Benchmark (EU PAB) requirements outlined in the Commission Delegated Regulation (EU) 2020/1818 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards minimum standards for EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks. The index is designed to help investors align investments with the overall long-term global warming target of the Paris Agreement. Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment or are involved in Controversial Weapons or display a Severe (Category 5) Controversy Rating, as identified by Sustainalytics, are not eligible for selection. In addition, companies that are on Ircantec Exclusion List are excluded from the index, these are companies that do not meet Ircantec’s ESG and sustainability criteria. Tobacco Producers, and companies that derive revenues higher than 5% from wholesale or retail distribution, or services related to tobacco products, as identified by ISS ESG, are also not eligible. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities are excluded. Additionally, securities that derive higher than 5% of their revenues from thermal coal-based power generation or have thermal coal power generation capacity greater than 5 GW, or producing more than 10Mt volume from thermal coal, or higher than 50% from power generation with carbon intensity of lifecycle emissions higher than 100gCO2e/kWh are not considered for selection. Companies that ISS-ESG identifies to be expanding their thermal coal mining or thermal coal power generation capabilities, as identified by ISS-ESG, are also excluded from the index. The weighing process follows an optimization process to meet the minimum requirements detailed in the Commission Delegated Regulation (EU) 2020/1818. The STOXX Paris-Aligned Benchmark Indices aim to reduce their greenhouse gas intensity by at least 50% when compared to their underlying benchmarks. They are also designed to meet the year on year 7% decarbonization target.

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

The STOXX Europe ESG Leaders Select 30 EUR Index captures the performance of stocks with low volatility and high dividends from the STOXX Global ESG Leaders Index.

The component selection process first excludes all stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 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.

Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

In October 2019, the STOXX^® Europe ESG Leaders Select 30 EUR Index became the underlying for one of Europe’s first ESG futures contracts, listed on Eurex.

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

The STOXX Global ESG Governance Leaders Diversification Select 30 EUR Index captures the performance of stocks with low correlation, low volatility and high dividends from the STOXX Global ESG Governance Leaders Index.

The component selection process first excludes all stocks with the highest 12-month average correlation with all other stocks in the benchmark, then excludes stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 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.

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.

Companies that measure their environmental risk are better equipped to mitigate those risks. Those that are transparent about it and disclose this information provide critical insights to change market behavior. The STOXX Reported Low Carbon Indices cover only stocks with available reported carbon intensity data from companies, which are publicly committed to disclose their carbon emissions. These indices cover the regions Global, Europe, Eurozone and the USA. The indices have a variable number of components, and are price weighted with a weight factor based on the free-float market cap multiplied by the corresponding Z-score carbon intensity factor of each constituent. Components with lower carbon intensities are overweighted, while those with higher carbon emission are underweighted. The indices also exlcude companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

STOXX uses  ISS ESG as reliable and professional data sources for the estimated and reported data. Data considered comprise Scope 1 (All direct GHG emissions) and Scope 2 (Indirect GHG emissions from consumption of purchased electricity, heat or steam) emissions.

STOXX calculates a comprehensive family of Low Carbon Indices. Click here to see all available indices.

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