STOXX^® Willis Towers Watson USA 500 Climate Transition

These STOXX Low Carbon indices cover benchmark indices and the blue-chip index EURO STOXX 50®. By utilizing both estimated and reported carbon intensity scores, this index family represents broad indices with a variable number of components, covering the regions Global, Europe, Eurozone, USA and Japan. These indices closely track the risk-return profile of the underlying benchmark indices while offering a reduction in carbon emissions in the overall portfolio of constituents by overweighting lower carbon emitters, while underweighting higher carbon emitters. The indices are price weighted with a weight factor based on the free-float market cap multiplied by the corresponding Z-score carbon intensity factor of each constituent.  The indices also exlcude companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

STOXX uses  ISS ESG as reliable and professional data sources for the estimated and reported data. Data considered comprise Scope 1 (All direct GHG emissions) and Scope 2 (Indirect GHG emissions from consumption of purchased electricity, heat or steam) emissions.

STOXX calculates a comprehensive family of Low Carbon Indices. Click here to see all available indices.

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

The STOXX® Europe 600 ESG-X index is based on the STOXX® Europe 600 index, one of Europe's key benchmarks, with standardized ESG exclusion screens applied. The screens are based on the responsible policies of leading asset owners and aims to reduce reputational and idiosyncratic risks. STOXX will exclude companies that ISS ESG considers to be non-compliant based on Norms-based research, are involved in Controversial Weapons, are Tobacco Producers and that either derive revenues from Thermal Coal extraction or exploration, or, have power generation capacity that utilises thermal coal. The STOXX® Europe 600 ESG-X index is suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives, with the ambition to increase liquidity and lower the cost of trading.

In February 2019, the STOXX^® Europe 600 ESG-X Index became the underlying for Europe’s first ESG futures contracts, listed on Eurex.

Since October 21, 2019 Eurex too offers options contracts on the STOXX^® Europe 600 ESG-X Index.

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 STOXX Global ESG Leaders Select 50 EUR Index captures the performance of stocks with low volatility and high dividends from the STOXX Global ESG Leaders Index.

The component selection process first excludes all 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.

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.