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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES
STOXX Willis Towers Watson USA 500 Climate Transition
Index Description
The objective of the STOXX World WTW 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.
Key facts
- The index is designed to closely track the parent index.
- The index relies on Climate Transition Value at Risk (CTVaR)metrics from Willis Towers Watson allowing to reduce the financial risk of transition to a global economy consistent with the UN global warming objectives.
- Product involvement screens applied are based on data from award winning ESG data provider Sustainalytics.
Descriptive Statistics
Index | Market Cap (EUR bn) | Components (EUR bn) | Component weight (%) | Turnover (%) | |||||
---|---|---|---|---|---|---|---|---|---|
Full | Free-float | Mean | Median | Largest | Smallest | Largest | Smallest | Last 12 monts | |
STOXX Willis Towers Watson USA 500 Climate Transition | N/A | 9,717.9 | 20.9 | 8.4 | 665.6 | 0.1 | 6.8 | 0.0 | 11.0 |
STOXX USA 500 | 35,678.6 | 34,256.3 | 68.2 | 29.1 | 2,380.1 | 1.6 | 6.9 | 0.0 | 3.3 |
Supersector weighting (top 10)
Country weighting
Risk and return figures1
Index returns | Return (%) | Annualized return (%) | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Last month | YTD | 1Y | 3Y | 5Y | Last month | YTD | 1Y | 3Y | 5Y | |
STOXX Willis Towers Watson USA 500 Climate Transition | -2.8 | 13.9 | 10.5 | N/A | N/A | N/A | N/A | 10.6 | N/A | N/A |
STOXX USA 500 | -2.4 | 12.9 | 10.7 | 37.0 | 60.8 | N/A | N/A | 10.7 | 11.1 | 10.0 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
STOXX Willis Towers Watson USA 500 Climate Transition | N/A | N/A | 17.6 | 19.9 | 19.9 | N/A | N/A | 0.5 | 0.2 | 0.2 |
STOXX USA 500 | N/A | N/A | 17.1 | 18.3 | 22.3 | N/A | N/A | 0.5 | 0.6 | 0.4 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
STOXX Willis Towers Watson USA 500 Climate Transition | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.3 | 1.4 | 1.6 | 1.8 | 1.8 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
STOXX Willis Towers Watson USA 500 Climate Transition | 1.0 | 1.0 | 1.0 | 1.1 | 0.8 | -3.5 | 0.8 | 0.0 | -0.7 | -0.7 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(EUR, Price), all data as of September 29, 2023
ENVIRONMENTAL SOCIAL GOVERNANCE INDICES
STOXX Willis Towers Watson USA 500 Climate Transition
Fundamentals
Index | Price/earnings incl. negative | Price/earnings excl. negative | Price/book | Dividend yield (%)3 | Price/sales | Price/cash flow | ||
---|---|---|---|---|---|---|---|---|
Trailing | Projected | Trailing | Projected | Trailing | Trailing | Trailing | ||
STOXX Willis Towers Watson USA 500 Climate Transition | 31.1 | 21.0 | 26.1 | 26.1 | 0.1 | 1.2 | 2.7 | 19.5 |
STOXX USA 500 | 27.8 | 20.1 | 23.8 | 23.8 | 0.1 | 1.3 | 2.4 | 19.3 |
Performance and annual returns
Methodology
The STOXX WTW Climate Transition Indices track the performance of liquid securities from a selection of STOXX Benchmark Indices.
Companies identified as non-compliant based on Sustainalytics Global Standard Screening (GSS) assessment or are involved in anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium and white phosphorus weapons are not eligible for selection. In addition, companies with significant involvement in Thermal Coal and Oil Sands, are also not eligible.
Eligible companies are weighted based on their free-float market capitalization adjusted by Climate Transition Value at Risk (CTVaR) metrics from Willis Towers Watson that measures a company's readiness for the global economic transition to a low carbon economy.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Net Return EUR | CH1131943891 | SXUSNWCT | .SXUSNWCT | |
Gross Return EUR | CH1131943966 | SXUSGWCT | .SXUSGWCT | |
Price EUR | CH1131943917 | SXUSPWCT | .SXUSPWCT | |
Net Return GBP | CH1131943941 | SXUSHWCT | .SXUSHWCT | |
Gross Return GBP | CH1131944014 | SXUSKWCT | .SXUSKWCT | |
Price GBP | CH1131943875 | SXUSBWCT | .SXUSBWCT | |
Net Return USD | CH1131943750 | SXUSVWCT | .SXUSVWCT | |
Gross Return USD | CH1131943818 | SXUSUWCT | .SXUSUWCT | |
Price USD | CH1131943909 | SXUSLWCT | .SXUSLWCT |
Quick Facts
Weighting | Free-float market cap adjusted |
Cap Factor | Component: max(ffmcap, 5%); Industry: overweight 5%; Country: |
No. of components | Variable |
Review frequency | Quarterly |
Calculation/distribution | dayend |
Calculation hours | 22:15:00 22:15:00 |
Base value/base date | 100 as of Jun. 18, 2021 |
History | Available from Jun. 18, 2021 |
Inception date | Aug. 25, 2021 |
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet. |
ENVIRONMENTAL SOCIAL GOVERNANCE INDICES
STOXX Willis Towers Watson USA 500 Climate Transition
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
Apple Inc. | Technology | USA | 6.849% |
Microsoft Corp. | Technology | USA | 6.576% |
Amazon.com Inc. | Retail | USA | 3.432% |
NVIDIA Corp. | Technology | USA | 2.844% |
ALPHABET CLASS C | Technology | USA | 2.517% |
TESLA | Automobiles and Parts | USA | 2.327% |
META PLATFORMS CLASS A | Technology | USA | 2.196% |
BROADCOM | Technology | USA | 1.543% |
UnitedHealth Group Inc. | Health Care | USA | 1.537% |
Eli Lilly & Co. | Health Care | USA | 1.501% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of September 29, 2023