STOXX^® North America Industry Neutral ESG 150

The STOXX® Global ESG Select KPIs offer a broad market exposure that is tilted towards companies that score better with respect to a small set of environmental, social, and governance KPIs.

Companies are selected and weighted by the following KPIs: CDP emission/energy reduction target, percentage of women on the board, percentage of independent directors, policy against child labor, golden parachute agreement. The index includes ESG exclusion screens for Global Standards Screening, Controversial Weapons, Small Arms, Military Contracting, Unconventional Oil & Gas, Thermal Coal, Tobacco, Private Prisons and ESG Controversies. KPI standardization by industry and country capping reduce unwanted systematic active exposures.

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

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

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. 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 objective of the STOXX Willis Tower Watson USA 500 Climate Transition Indices is to align a broad based equity index, from a valuation and financial perspective, with a global economic transition that would limit greenhouse gas concentrations to levels consistent with United Nations objectives for global temperature rises. The index relies on Climate Transition Value at Risk (CTVaR) metrics from Willis Towers Watson, and incorporates screens for Global Standards Screening, Controversial Weapons, Thermal Coal and Oil Sands.

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

The STOXX SRI (Socially Responsible Investing) Indices, track the performance of a selection of STOXX Indices after a set of emission intensity, compliance, involvement and ESG performance screens are applied.

Companies that rank in the highest 10% in terms of their emission intensities are not eligible for selection. Exclusion filters are applied, screening companies for compliance based on the Sustainalytics’ Global Standards Screening assessment, ESG Risk Rating and ESG Controversies and involvement in Controversial Weapons, Tobacco, Alcohol, Adult Entertainment, Gambling, Weapons, Thermal Coal, Oil & Gas and Nuclear Power. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX SRI Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches a third of the number of securities in the underlying index.

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