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ISTOXX INDICES

iSTOXX Univest Sustainable World

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 (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Univest Sustainable World N/A 103.1 0.1 0.1 4.8 0.0 4.7 0.0 29.9
iSTOXX Univest World 66,579.1 60,469.8 38.6 13.7 2,895.3 0.4 4.8 0.0 2.7

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 Univest Sustainable World 3.6 12.5 24.8 34.1 67.8 N/A N/A 24.9 10.3 10.9
iSTOXX Univest World 3.1 10.9 23.9 N/A N/A N/A N/A 24.5 N/A N/A
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Univest Sustainable World N/A N/A 9.7 13.7 17.4 N/A N/A 2.1 0.6 0.5
iSTOXX Univest World N/A N/A 9.9 14.0 14.0 N/A N/A 2.0 0.6 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX Univest Sustainable World 1.0 1.0 1.0 1.0 1.0 1.3 1.2 1.1 1.2 1.2
Index to benchmark Beta Annualized information ratio
iSTOXX Univest Sustainable World 1.0 1.0 1.0 1.0 1.0 4.2 4.7 0.5 0.3 0.3

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

2Based on EURIBOR1M

(EUR, Price), all data as of March 29, 2024

ISTOXX INDICES

iSTOXX Univest Sustainable World

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 Univest Sustainable World 22.6 18.8 21.7 21.7 3.4 2.1 2.0 22.8
iSTOXX Univest World 23.8 19.5 22.1 22.1 3.3 1.9 2.2 2.2

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 CH1112453316 ISXUSWR .ISXUSWR
Gross Return EUR CH1112453324 ISXUSWGR .ISXUSWGR
Price EUR CH1112453308 ISXUSWP .ISXUSWP
Gross Return USD CH1112453357 ISXUSWEG ISXUSWEG INDEX .ISXUSWEG
Price USD CH1112453332 ISXUSWE .ISXUSWE
Net Return USD CH1112453340 ISXUSWER ISXUSWER INDEX .ISXUSWER

Quick Facts

Weighting Optimization
Cap Factor None
No. of components Capped at 800
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 100 as of Mar. 19, 2018
History Available daily as of Mar 19, 2018
Inception date Sep. 30, 2021
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 Univest Sustainable World

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 4.653%
NVIDIA Corp. Technology USA 4.051%
Apple Inc. Technology USA 3.384%
ALPHABET CLASS C Technology USA 1.750%
META PLATFORMS CLASS A Technology USA 1.732%
Eli Lilly & Co. Health Care USA 1.430%
MasterCard Inc. Cl A Industrial Goods and Services USA 1.130%
VISA Inc. Cl A Industrial Goods and Services USA 1.092%
Home Depot Inc. Retail USA 1.030%
Amazon.com Inc. Retail USA 0.969%

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

4Based on the composition as of March 29, 2024