Summary
The STOXX USA Low Carbon Diversification Select 50 USD Index captures the performance of US low carbon emissions stocks with low correlation, low volatility and high dividends from the STOXX Global 1800 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.
Details
Top 10 Components
| Johnson & Johnson | US |
| ATMOS ENERGY | US |
| McDonald's Corp. | US |
| REALTY INCOME | US |
| MEDTRONIC PLC | US |
| JACK HENRY & ASSOCS. | US |
| Consolidated Edison Inc. | US |
| EQUITY LIFESTYLE PROPS. | US |
| WP CAREY | US |
| Procter & Gamble Co. | US |