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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Willis Towers Watson World Climate Transition

Index Description

The objective of the STOXX WTW World 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 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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Willis Towers Watson World Climate Transition N/A 11,062.8 8.2 2.6 554.5 0.2 5.0 0.0 8.6
iSTOXX World A 71,759.9 65,288.6 41.6 14.1 3,085.4 0.4 4.7 0.0 N/A

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 World Climate Transition 4.9 10.1 25.4 N/A N/A N/A N/A 25.8 N/A N/A
iSTOXX World A 4.5 9.7 25.4 22.4 85.6 N/A N/A 25.7 7.0 13.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Willis Towers Watson World Climate Transition N/A N/A 10.9 15.8 15.8 N/A N/A 1.7 0.3 0.3
iSTOXX World A N/A N/A 10.3 15.0 18.0 N/A N/A 1.8 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX Willis Towers Watson World Climate Transition 1.0 1.0 1.0 1.0 1.0 1.0 1.2 1.2 1.6 1.6
Index to benchmark Beta Annualized information ratio
STOXX Willis Towers Watson World Climate Transition 1.0 1.1 1.1 1.1 0.7 4.9 0.7 0.1 -0.4 -0.4

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(USD, Gross Return), all data as of May 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Willis Towers Watson World 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 World Climate Transition 25.8 20.4 23.6 23.6 3.6 2.3 2.5 5.0
iSTOXX World A 23.9 19.3 22.1 22.1 3.3 2.4 2.2 5.8

Performance and annual returns

Methodology

The STOXX WTW World 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.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1131943768 SXWPWCT SXWPWCT INDEX .SXWPWCT
Net Return EUR CH1131943982 SXWRWCT SXWRWCT INDEX .SXWRWCT
Gross Return EUR CH1131943792 SXWGRWCT SXWGRWCT INDEX .SXWGRWCT
Gross Return GBP CH1131944006 SXWGHWCT SXWGHWCT INDEX .SXWGHWCT
Price GBP CH1131943842 SXWGBWCT SXWGBWCT INDEX .SXWGBWCT
Net Return GBP CH1131943974 SXWHBWCT SXWHBWCT INDEX .SXWHBWCT
Net Return USD CH1131943784 SXWVWCT SXWVWCT INDEX .SXWVWCT
Price USD CH1131943933 SXWLWCT SXWLWCT INDEX .SXWLWCT
Gross Return USD CH1131943867 SXWGVWCT SXWGVWCT INDEX .SXWGVWCT

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 Realtime 15 sec
Calculation hours 00:00:00 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 World Climate Transition

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 5.012%
NVIDIA Corp. Technology USA 4.991%
Apple Inc. Technology USA 4.331%
Amazon.com Inc. Retail USA 2.658%
META PLATFORMS CLASS A Technology USA 1.863%
ALPHABET INC. CL A Technology USA 1.844%
ALPHABET CLASS C Technology USA 1.796%
Eli Lilly & Co. Health Care USA 1.264%
BROADCOM Technology USA 1.166%
JPMorgan Chase & Co. Banks USA 0.937%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of May 31, 2024