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ISTOXX INDICES

EURO iSTOXX Ambition Climat PAB

Index Description

The EURO STOXX Ambition Climat PAB Index is based on liquid securities from the EURO STOXX Total Market Index. The index follows the EU Paris-Aligned Benchmark (EU PAB) requirements outlined by the European Commission for climate benchmarks. Companies identified as non-compliant based on Sustainalytics Global Standards 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. Securities that generate revenues above a certain threshold from coal, oil, gas or generate power with carbon intensity of lifecycle emissions higher than 100g CO2e/kWh, as identified by ISS ESG, are excluded. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15. The weighing process follows an optimization process with the aim to reduce the index green house gas intensity by at least 50% when compared to the benchmark. The index is also designed to meet the year on year 7% decarbonisation target, with trajectory in line or beyond the 1.5C scenario by 2050, as verified by ISS ESG.

Key facts

  • The index is designed to help investors shift towards a low-carbon economy and align investments to the Paris Climate Agreement
  • Scope 1, Scope 2 and Scope 3 used across all sectors from the first date of the index construction
  • The index aims to reduce its greenhouse gases emission intensity by at least 50% when compared to the benchmark index
  • Sectors key to the low-carbon transition, high climate impact sectors are not underweighted relative to the benchmark
  • The index is designed to meet the year on year 7% decarbonization target
  • Index overweights securities with concrete targets and emission reduction targets verified by the Science Based Target initiative (SBTi)

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
EURO iSTOXX Ambition Climat PAB N/A 102.0 0.5 0.1 4.7 0.0 4.6 0.0 21.5
EURO STOXX Total Market 8,629.1 5,955.0 7.4 1.0 356.5 0.0 6.0 0.0 3.6

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
EURO iSTOXX Ambition Climat PAB 3.6 8.9 13.4 25.5 57.8 N/A N/A 13.7 7.9 9.7
EURO STOXX Total Market 4.6 9.7 16.8 29.7 61.2 N/A N/A 17.3 9.2 10.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX Ambition Climat PAB N/A N/A 11.0 16.4 19.0 N/A N/A 0.9 0.4 0.5
EURO STOXX Total Market N/A N/A 10.9 16.6 19.4 N/A N/A 1.2 0.4 0.5
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX Ambition Climat PAB 1.0 1.0 1.0 1.0 1.0 2.0 2.1 2.4 2.4 2.3
Index to benchmark Beta Annualized information ratio
EURO iSTOXX Ambition Climat PAB 1.0 1.0 1.0 1.0 1.0 -5.7 -1.6 -1.3 -0.5 -0.2

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of March 29, 2024

ISTOXX INDICES

EURO iSTOXX Ambition Climat PAB

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
EURO iSTOXX Ambition Climat PAB 21.1 15.7 17.8 17.8 2.0 3.2 1.5 26.7
EURO STOXX Total Market 118.8 13.7 14.9 14.9 1.7 3.7 1.1 26.6

Performance and annual returns

Methodology

The EURO STOXX Ambition Climat PAB Index is based on liquid securities from the EURO STOXX Total Market Index. The index follows the EU Paris-Aligned Benchmark (EU PAB) requirements outlined by the European Commission for climate benchmarks.

Companies identified as non-compliant based on Sustainalytics Global Standards 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. Securities that generate revenues above a certain threshold from coal, oil, gas or generate power with carbon intensity of lifecycle emissions higher than 100g CO2e/kWh, as identified by ISS ESG, are excluded. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15.

The weighing process follows an optimization process with the aim to reduce the index green house gas intensity by at least 50% when compared to the benchmark. The index is also designed to meet the year on year 7% decarbonisation target, with trajectory in line or beyond the 1.5C scenario by 2050, as verified by ISS ESG.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0528703348 BKEACPAB .BKEACPAB
Gross Return EUR CH0528703314 BKGACPAB .BKGACPAB
Net Return EUR CH0528703363 BKTACPAB BKTACPAB INDEX .BKTACPAB
Net Return USD CH0528703355 BKUACPAB .BKUACPAB
Price USD CH0528703330 BKKACPAB .BKKACPAB
Gross Return USD CH0528703322 BKXACPAB .BKXACPAB

Quick Facts

Weighting Optimization
Cap Factor 0.045
No. of components Variable
Review frequency Reviewed annually in March and rebalanced quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of March 19, 2018
History Available from Mar. 19, 2018
Inception date June. 03, 2020
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

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

ISTOXX INDICES

EURO iSTOXX Ambition Climat PAB

Top 10 Components4

Company Supersector Country Weight
SANOFI Health Care France 4.560%
SAP Technology Germany 4.478%
LVMH MOET HENNESSY Consumer Products and Services France 4.380%
L'OREAL Consumer Products and Services France 4.345%
ASML HLDG Technology Netherlands 4.147%
Industria de Diseno Textil SA Retail Spain 3.997%
DEUTSCHE TELEKOM Telecommunications Germany 3.655%
HERMES INTERNATIONAL Consumer Products and Services France 2.973%
SCHNEIDER ELECTRIC Industrial Goods and Services France 2.780%
IBERDROLA Utilities Spain 2.210%

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

4Based on the composition as of March 29, 2024

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.