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BENCHMARK INDICES
iSTOXX Global Climate Change ESG
Index Description
The iSTOXX Global Climate Change ESG Index is based on liquid securities from the STOXX Global 1800 Index. The index is constructed to follow the EU Paris-Aligned Benchmark (EU PAB) requirements outlined in the Commission Delegated Regulation (EU) 2020/1818 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards minimum standards for EU Paris-aligned Benchmarks Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment or are involved in Controversial Weapons are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities are excluded. Additionally, securities that derive more than 10% of their revenues from thermal coal-based power generation, or more than 50% from power generation with carbon intensity of lifecycle emissions higher than 100gCO2e/kWh are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15 or have involvement in the production of military equipment and/or the provision of related services.
Key facts
- The indices are 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 are used across all sectors from the first date of the index construction
- The indices aim to reduce their greenhouse gases emission intensity by at least 50% when compared to their underlying benchmarks
- Sectors key to the low-carbon transition, high climate impact sectors, arenot underweighted relative to the underlying benchmarks
- The STOXX Paris-Aligned Benchmark Indices are designed to meet the year on year 7% decarbonization target
- Indices overweight securities with concrete targets and emission reduction targets verified by the Science Based Target initiative (SBTi)
Descriptive Statistics
Index | Market Cap (USD bn) | Components (USD bn) | Component weight (%) | Turnover (%) | |||||
---|---|---|---|---|---|---|---|---|---|
Full | Free-float | Mean | Median | Largest | Smallest | Largest | Smallest | Last 12 monts | |
iSTOXX Global Climate Change ESG | N/A | 109.5 | 0.1 | 0.0 | 5.1 | 0.0 | 4.6 | 0.0 | 28.5 |
STOXX Global 1800 | 71,896.9 | 65,624.3 | 36.4 | 12.0 | 3,126.9 | 1.2 | 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 Climate Change ESG | 1.6 | 7.1 | 22.9 | 28.8 | 89.1 | N/A | N/A | 23.5 | 8.9 | 13.8 |
STOXX Global 1800 | 3.2 | 9.0 | 25.4 | 28.2 | 79.2 | N/A | N/A | 26.0 | 8.7 | 12.5 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
iSTOXX Global Climate Change ESG | N/A | N/A | 11.0 | 15.7 | 18.0 | N/A | N/A | 1.7 | 0.5 | 0.7 |
STOXX Global 1800 | N/A | N/A | 10.2 | 14.9 | 17.9 | N/A | N/A | 2.0 | 0.5 | 0.6 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
iSTOXX Global Climate Change ESG | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 2.4 | 2.0 | 2.7 | 2.6 | 2.5 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
iSTOXX Global Climate Change ESG | 1.1 | 1.1 | 1.0 | 1.0 | 1.0 | -8.1 | -3.5 | -0.7 | 0.1 | 0.4 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(USD, Gross Return), all data as of March 29, 2024
BENCHMARK INDICES
iSTOXX Global Climate Change 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 Global Climate Change ESG | 29.2 | 21.8 | 27.5 | 27.5 | 4.5 | 2.1 | 2.4 | 29.9 |
STOXX Global 1800 | 23.7 | 19.4 | 21.8 | 21.8 | 3.2 | 2.6 | 2.2 | 2.3 |
Performance and annual returns
Methodology
The iSTOXX Global Climate Change ESG Index is based on liquid securities from the STOXX Global 1800 Index. The index is constructed to follow the EU Paris-Aligned Benchmark (EU PAB) requirements outlined in the Commission Delegated Regulation (EU) 2020/1818 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards minimum standards for EU Paris-aligned Benchmarks
Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment or are involved in Controversial Weapons are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities are excluded. Additionally, securities that derive more than 10% of their revenues from thermal coal-based power generation, or more than 50% from power generation with carbon intensity of lifecycle emissions higher than 100g CO2e/kWh are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15 or have involvement in the production of military equipment and/or the provision of related services.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Gross Return EUR | CH0462361657 | SXGPABWG | .SXGPABWG | |
Price EUR | CH0462361632 | SXGPABWE | SXGPABWE INDEX | .SXGPABWE |
Net Return EUR | CH0462361640 | SXGPABWR | SXGPABWR INDEX | .SXGPABWR |
Price USD | CH0462361665 | SXGPABWL | .SXGPABWL | |
Gross Return USD | CH0462361681 | SXGPABWV | .SXGPABWV | |
Net Return USD | CH0462361673 | SXGPABWU | SXGPABWU INDEX | .SXGPABWU |
Quick Facts
Weighting | Price-weighted |
Cap Factor | Optimization process |
No. of components | Variable |
Review frequency | Annual |
Calculation/distribution | Realtime 15 sec |
Calculation hours | 00:00:00 22:15:00 |
Base value/base date | 100 as of March 19, 2018 |
History | Available from Mar. 19, 2018 |
Inception date | May. 13, 2022 |
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet. |
BENCHMARK INDICES
iSTOXX Global Climate Change ESG
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
Microsoft Corp. | Technology | USA | 4.618% |
Apple Inc. | Technology | USA | 4.557% |
VISA Inc. Cl A | Industrial Goods and Services | USA | 3.213% |
MasterCard Inc. Cl A | Industrial Goods and Services | USA | 2.513% |
NVIDIA Corp. | Technology | USA | 2.426% |
ALPHABET CLASS C | Technology | USA | 2.274% |
META PLATFORMS CLASS A | Technology | USA | 2.103% |
ASML HLDG | Technology | Netherlands | 1.728% |
Amazon.com Inc. | Retail | USA | 1.712% |
NOVO NORDISK B | Health Care | Denmark | 1.687% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of March 29, 2024