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ISTOXX INDICES

iSTOXX Global ESG Trend Select 30

Index Description

The iSTOXX Global ESG Trend Select 30 Index tracks the performance of 30 liquid stocks with low volatility and high dividend yield, that have improved or maintained their ESG performance in the last year. Companies that are in contravention of the Global Standards Screening or are involved in Controversial Weapons activities, as identified by Sustainalytics, are excluded. Companies involved in Adult Entertainment, Gambling, Conventional Oil & Gas, Unconventional Oil & Gas (Arctic Oil and Gas Exploration, Oil Sands and Shale Energy), Nuclear Power, Thermal Coal, Tobacco, Weapons (Small Arms and Military Contracting), Aerospace and Defense are also excluded. An additional filter excludes poor ESG performers from the index. Industry and country neutrality filters are applied to ensure diversification.

Key facts

  • Selection of 30 liquid stocks with low volatility and high dividend yield from a range of companies that have improved or maintained their ESG performance in the previous year
  • Liquidity filter ensures replicability.
  • Companies are Global Standards Screening-compliant and are not involved in Controversial Weapons.
  • Product involvement filters are applied.
  • Companies with the lowest ESG scores are filtered out.

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 Global ESG Trend Select 30 N/A 1.0 0.0 0.0 0.0 0.0 4.7 2.7 226.5
STOXX Global 1800 66,572.5 60,764.2 33.7 11.1 2,895.3 1.1 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 Global ESG Trend Select 30 1.7 1.4 3.7 13.6 16.2 N/A N/A 3.8 4.4 3.1
STOXX Global 1800 3.3 11.3 25.5 37.6 81.7 N/A N/A 26.2 11.4 12.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Global ESG Trend Select 30 N/A N/A 8.1 8.4 13.3 N/A N/A 0.1 0.3 0.2
STOXX Global 1800 N/A N/A 9.8 13.7 17.3 N/A N/A 2.2 0.7 0.7
Index to benchmark Correlation Tracking error (%)
iSTOXX Global ESG Trend Select 30 0.4 0.3 0.5 0.5 0.7 7.9 10.0 8.7 11.7 12.3
Index to benchmark Beta Annualized information ratio
iSTOXX Global ESG Trend Select 30 0.3 0.2 0.4 0.3 0.5 -2.7 -3.9 -2.3 -0.7 -0.8

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 Global ESG Trend Select 30

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 Global ESG Trend Select 30 12.9 9.5 10.7 10.7 0.9 5.0 0.9 -47.9
STOXX Global 1800 23.7 19.4 21.8 21.8 3.2 1.9 2.2 2.3

Performance and annual returns

Methodology

The parent index is the STOXX Global 1800 Index. Components that are engaged in controversial activities or non-compliant with the Global Standards Screening, are excluded. Moreover, only companies that have not suffered a decrease in their ESG score, as calculated by Sustainalytics, in the last 12 months are considered eligible for selection. In addition, the eligible companies are ranked based on their current ESG score; the bottom 20% of companies are excluded. All remaining companies are ranked based on their volatility, and the 200 securities with the lowest volatility proceed to the final step. Here, the 30 companies with the highest dividend yields are selected for inclusion in the index such that country and industry diversification constraints are met.

The index is weighted by the inverse of the selected stocks' volatility; component weight is capped at 10%. The index composition is reviewed quarterly.

The detailed methodology including the calculation formula and the list of sectors can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0487086131 IXGESGTG .IXGESGTG
Price EUR CH0487086115 IXGESGTP IXGESGTP INDEX .IXGESGTP
Net Return EUR CH0487086123 IXGESGTN .IXGESGTN
Price USD CH0487086149 IXGESGTL .IXGESGTL
Gross Return USD CH0487086107 IXGESGTU .IXGESGTU
Net Return USD CH0487086099 IXGESGTV .IXGESGTV

Quick Facts

Weighting Inverse Volatility weighted
Cap Factor 0.1
No. of components 30
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, 2012
History Available from Mar. 19, 2012
Inception date Jul. 24, 2019
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

iSTOXX Global ESG Trend Select 30

Top 10 Components4

Company Supersector Country Weight
IBERDROLA Utilities Spain 4.661%
Redeia Corporacion Utilities Spain 4.585%
FREENET Telecommunications Germany 4.439%
AGEAS Insurance Belgium 3.848%
AURIZON HOLDINGS Industrial Goods and Services Australia 3.832%
CREDIT AGRICOLE Banks France 3.527%
PHOENIX GROUP HDG. Insurance UK 3.438%
ORKLA Food, Beverage and Tobacco Norway 3.419%
BCE Inc. Telecommunications Canada 3.394%
HKT TRUST & HKT Telecommunications Hong Kong 3.352%

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.