iSTOXX^® L&G UK Value

STOXX single and multi-factor indices aim to harvest the risk premia of several academically validated style factors – Value, Momentum, Quality, Size and Low Risk. At the same time the rules ensure tradability and diversification as well as limit untargeted systematic exposures.

STOXX uses Axioma's risk model and optimizer to construct the factor indices. The STOXX ESG-X single and multi-factor indices are based on the respective STOXX ESG-X country or regional benchmark indices.

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.Per the ESMA guidelines on funds’ names using ESG or sustainability-related terms, this index meets an 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy.

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

The iSTOXX® Global ESG Select 100 Index uses the STOXX Global ESG Leaders Index as an underlying. The index consists of three subindices which roll into the STOXX Global ESG Leaders index. The three subindices are: STOXX® Global ESG Environment Leaders, STOXX® Global ESG Social Leaders and STOXX® Global ESG Governance Leaders Indices.

The STOXX Global ESG Leaders index provides access to the leading global companies in terms of environmental, social and governance criteria, using a bottom-up selection approach based on ESG Risk Ratings provided by Sustainalytics. Companies that are non-compliant based on the Sustainalytics’ Global Standards Screening assessment or are involved in controversial weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in tobacco production and distribution, thermal coal extraction and power generation, small arms manufacturing, military contracting, unconventional oil and gas exploration and production, and ESG Controversies.

Using this ESG index as an underlying, stocks with the lowest volatility and the highest dividends are selected.

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

STOXX ESG Target indices aim to provide a strong ESG tilt to the benchmark index while maintaining low tracking error of the benchmark index. The weight of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma's Risk Models and Optimizer. Companies that are non-compliant based on the ISS ESG’ Norms-based research assessment or are involved in controversial weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in tobacco production and distribution, thermal coal extraction and power generation, small arms manufacturing, military contracting, unconventional oil and gas exploration and production, high ESG risk, and ESG controversies.

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.

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

The iSTOXX APG Developed Real Estate -X and Responsible Indices start from a broad free float market cap weighted index (iSTOXX APG Developed Real Estate Index) and exclude companies based on various criteria such as APG Product Exclusion Flag, APG Real Estate ESG-Leader Flag, APG Real Estate Sound Governance Flag etc. Those indices incorporate these exclusions while seeking to maintain a similar profile to its parent index. The weighting of each constituent security is determined through an optimization process that is designed to minimize predicted tracking error to the parent index while controlling for subsector / country/ style factor active ex-posures, turnover, liquidity, absolute and relative issuer weights.

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