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ISTOXX INDICES
iSTOXX L&G Dev World ESG
Index Description
The iSTOXX L&G Developed World ESG index is designed to track an ESG-weighted market cap benchmark based on STOXX Developed World, where the ESG scores are provided by Legal and General Investment Management (LGIM). The index rules aim to ensure tradability, diversification, and untargeted factor and industry/country exposures are risk managed.
Key facts
- Innovative minimum volatility solution that incorporates LGIM's proprietary ESG scores
- Explicitly designed to minimize portfolio volatility whilst incorporating ESG considerations
- Embedded diversification elements across industry and country exposures
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 | |
iSTOXX L&G Dev World ESG | N/A | 102.9 | 0.1 | 0.0 | 3.2 | 0.0 | 3.1 | 0.0 | 12.5 |
STOXX Developed World | 67,038.6 | 60,783.7 | 37.2 | 12.7 | 2,895.3 | 0.1 | 4.8 | 0.0 | 2.9 |
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 | |
iSTOXX L&G Dev World ESG | 3.3 | 11.7 | 26.3 | 37.1 | 84.3 | N/A | N/A | 27.0 | 11.2 | 13.2 |
STOXX Developed World | 3.4 | 11.3 | 25.7 | 37.6 | 81.9 | N/A | N/A | 25.8 | 11.2 | 12.7 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
iSTOXX L&G Dev World ESG | N/A | N/A | 10.0 | 14.0 | 17.9 | N/A | N/A | 2.2 | 0.7 | 0.7 |
STOXX Developed World | N/A | N/A | 9.8 | 13.8 | 17.5 | N/A | N/A | 2.1 | 0.7 | 0.7 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
iSTOXX L&G Dev World ESG | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.5 | 1.2 | 1.3 | 1.4 | 1.3 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
iSTOXX L&G Dev World ESG | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | -0.3 | 1.4 | 1.1 | 0.2 | 0.4 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(EUR, Net Return), all data as of March 29, 2024
ISTOXX INDICES
iSTOXX L&G Dev World ESG
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 | ||
iSTOXX L&G Dev World ESG | 25.1 | 19.5 | 22.7 | 22.7 | 3.3 | 2.0 | 2.3 | 30.5 |
STOXX Developed World | 23.9 | 19.6 | 22.1 | 22.1 | 3.3 | 1.9 | 2.2 | 2.2 |
Performance and annual returns
Methodology
The iSTOXX L&G Developed World ESG index is designed to track an ESG-weighted market cap benchmark based on STOXX Developed World, where the ESG scores are provided by Legal and General Investment Management (LGIM). The index rules aim to ensure tradability, diversification, and untargeted factor and industry/country exposures are risk managed.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Net Return EUR | CH0462362705 | ISWDENE | .ISWDENE | |
Price EUR | CH0462362713 | ISWDEPE | .ISWDEPE | |
Gross Return EUR | CH0462362697 | ISWDEGE | .ISWDEGE | |
Price GBP | CH0462362804 | ISWDEP | .ISWDEP | |
Gross Return GBP | CH0462362788 | ISWDEG | .ISWDEG | |
Net Return GBP | CH0462362796 | ISWDEN | .ISWDEN | |
Price USD | CH1213357010 | ISWDEPU | .ISWDEPU | |
Gross Return USD | CH1213356996 | ISWDEGU | .ISWDEGU | |
Net Return USD | CH1213357002 | ISWDENU | .ISWDENU |
Quick Facts
Weighting | Optimization |
Cap Factor | N/A |
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 March. 24, 2014 |
History | Available from Mar. 24, 2014 |
Inception date | November. 30, 2022 |
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet. |
ISTOXX INDICES
iSTOXX L&G Dev World ESG
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
Microsoft Corp. | Technology | USA | 3.081% |
NVIDIA Corp. | Technology | USA | 2.999% |
Apple Inc. | Technology | USA | 2.985% |
Amazon.com Inc. | Retail | USA | 1.843% |
META PLATFORMS CLASS A | Technology | USA | 1.725% |
BROADCOM | Technology | USA | 1.335% |
ALPHABET INC. CL A | Technology | USA | 1.172% |
ALPHABET CLASS C | Technology | USA | 1.142% |
Eli Lilly & Co. | Health Care | USA | 1.013% |
NOVO NORDISK B | Health Care | Denmark | 0.946% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of March 29, 2024