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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Willis Towers Watson World Climate Transition Monthly Hedged

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Index Description

The iSTOXX Univest Sustainable World Index is designed to achieve sustainable carbon reduction in terms of greenhouse gas emissions and intensities over time, while tracking the iSTOXX Univest World Index and providing exposure to Value, Momentum, Quality and Low Risk risk-premia factors. The iSTOXX Univest Sustainable World Index also tilts away from companies that are laggards in corporate governance, and other social criteria. In addition, the Index aims to reduce its greenhouse gas emissions and intensity at least by half by December 2024 (versus the baseline values of iSTOXX Univest World Index in December 2019), and aims to track the iSTOXX Univest World Index with a tracking error close to 1%.

Key facts

  • The iSTOXX Univest Sustainable World Index is designed to achieve sustainable carbon reduction in terms of greenhouse gas emissions and intensities over time, while tracking the iSTOXX Univest World Index and providing exposure to Value, Momentum, Quality and Low Risk risk-premia factors.
  • The iSTOXX Univest Sustainable World Index also tilts away from companies that are laggards in Corporate Governance, Human Capital, and Human Rights. In addition, the Index aims to reduce its greenhouse gas emissions and intensity at least by half by December 2024 (versus the baseline values of iSTOXX Univest World Index in December 2019).
  • Use of Axioma's factor risk model and optimization to control for unintended systematic and ESG exposures
  • Ensures tradability by managing turnover and using liquidity constraints in the optimization
  • Ensures diversification using country and industry controls

Descriptive Statistics

Index Market Cap (USD ) Components (USD ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Willis Towers Watson World Climate Transition Monthly Hedged N/A N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Willis Towers Watson World Climate Transition N/A N/A N/A N/A N/A N/A N/A N/A N/A

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 Monthly Hedged -0.9 18.4 34.6 19.9 N/A N/A N/A 35.1 6.3 N/A
STOXX Willis Towers Watson World Climate Transition -2.0 16.6 34.6 13.0 N/A N/A N/A 35.0 4.2 N/A
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Willis Towers Watson World Climate Transition Monthly Hedged N/A N/A 11.2 15.3 N/A N/A N/A 2.4 0.3 N/A
STOXX Willis Towers Watson World Climate Transition N/A N/A 11.4 16.0 15.5 N/A N/A 2.6 0.1 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Willis Towers Watson World Climate Transition Monthly Hedged 1.0 1.0 1.0 1.0 N/A 1.2 1.6 1.8 2.2 N/A
Index to benchmark Beta Annualized information ratio
STOXX Willis Towers Watson World Climate Transition Monthly Hedged 1.0 1.0 1.0 0.9 N/A 10.9 1.1 0.0 0.8 N/A

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

2Based on EURIBOR1M

(USD, Price), all data as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Willis Towers Watson World Climate Transition Monthly Hedged

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 Monthly Hedged N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Willis Towers Watson World Climate Transition N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The iSTOXX Univest Sustainable World Index is constructed by solving a series of optimization problems using Axioma's portfolio optimization software and the Axioma World-wide medium horizon fundamental factor risk model.Four single factor portfolios are first constructed which are then combined to create a target multifactor portfolio such that the four single factor portfolios contribute equally to active risk. A final optimization is then run to track the target portfolio while managing risk, liquidity risk, and tradability of the portfolio and while satisfying the Climate, Social and Governance constraints.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1105672294 SXWRWCTH SXWRWCTH INDEX .SXWRWCTH
Gross Return EUR CH1105672278 SXWGWCTH SXWGWCTH INDEX .SXWGWCTH
Price EUR CH1105672302 SXWPWCTH SXWPWCTH INDEX .SXWPWCTH
Net Return GBP CH1105672344 SXWHWCTH SXWHWCTH INDEX .SXWHWCTH
Price GBP CH1105672369 SXWBWCTH SXWBWCTH INDEX .SXWBWCTH
Gross Return GBP CH1105672328 SXWKWCTH SXWKWCTH INDEX .SXWKWCTH
Price USD CH1105672419 SXWLWCTH SXWLWCTH INDEX .SXWLWCTH
Net Return USD CH1105672393 SXWVWCTH SXWVWCTH INDEX .SXWVWCTH
Gross Return USD CH1105672385 SXWUWCTH SXWUWCTH INDEX .SXWUWCTH

Quick Facts

Weighting Free-float market cap adjusted
Cap Factor Component: max(ffmcap, 5%); Industry: overweight 5%; Country: active weight +/-15%
No. of components Variable
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:30:00 22:30:00
Base value/base date 100 as of Jun. 30, 2021
History Available from Jun. 30, 2021
Inception date Sep. 08, 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 Monthly Hedged

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.