iSTOXX^® L&G UK Momentum

The iSTOXX L&G Multifactor index is designed to provide exposure to regional Value, Momentum, Low Volatility and Quality risk-premia factors, where style factor scores are provided by Legal and General Investment Management (LGIM). The indices track the STOXX World regional indices, while ensuring tradability, diversification, and liquidity.

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

The iSTOXX Europe 600 BDFG ESG FCPE Index components will have the components of the parent STOXX Europe 600 Index as of the review effective date excluding the stocks in the BDF Gestion exclusion lists. These are companies that do not meet BDF Gestion’s ESG and climate criteria. The exclusion lists will be provided to STOXX on the Wednesday before the second Friday of April and October.

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

The STOXX Future Water ESG Index is designed to capture the performance of companies with involvement in the water sector, including water utilities, firms engaged in water treatment and related technologies, as well as those developing equipment and infrastructure essential to water management. STOXX uses a detailed breakdown of companies´ revenues and their patent data to identify companies that have a significant revenue or innovation exposure to the theme. Revenue breakdown utilizes FactSet RBICS and patent data is sourced from EconSight. The index incorporates ESG considerations by applying exclusionary screens on: Norms Based Screening, Human Rights controversy, Environmental Protection controversy, Controversial Weapons, Product Involvement, emissions intensity and energy consumption intensity, ESG rating and SDG 6 Impact Rating.

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

The STOXX Europe Low Carbon Diversification Select 50 EUR Index captures the performance of low carbon emissions stocks with low correlation, low volatility and high dividends from the STOXX Europe 600 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 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 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.