The EURO STOXX Low Carbon Diversification Select 50 EUR Index captures the performance of low carbon emissions stocks with low correlation, low volatility and high dividends from the EURO STOXX 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.
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.
Top 10 Components
|DANONE||Food, Beverage and Tobacco||FR|
|AHOLD DELHAIZE||Personal Care, Drug and Grocery Stores||NL|
|RED ELECTRICA CORPORATION||Utilities||ES|