The ESG Target and Target TE (Tracking Error) Indices were designed to maximize a portfolio’s ESG profile, while getting as close to benchmark returns as possible. The indices are derived from STOXX and DAX benchmark universes by applying a set of compliance, product involvement and ESG performance exclusionary screens.
The STOXX and DAX ESG Target Indices implement an optimization process to maximize the overall ESG score of the portfolio subject to a number of constraints including ex-ante tracking error, a maximum cap on quarterly turnover, and limits to active country and industry exposures. The DAX ESG Target Index, which aims to closely track Germany’s flagship DAX, additionally reduces the portfolio’s carbon intensity by at least 30% relative to the benchmark.
The STOXX ESG Target TE Indices follow a similar overall approach to the ESG Target Indices, but the optimization’s objective function is to minimize tracking error to the benchmark, while imposing a constraint on ESG profile improvement.
EURO STOXX® ESG Target
EURO STOXX® ESG Target TE
STOXX® Global 1800 ESG Target
STOXX® Global 1800 ESG Target TE
STOXX® Europe 600 ESG Target
STOXX® Europe 600 ESG Target TE
DAX ESG Target (PR) EUR
Enhanced ESG investing
Target an enhanced sustainability profile compared to standard exclusionary or integration strategies, without significantly diverting from established benchmarks.
State-of-the-art index construction
Benefit from Qontigo’s capabilities that bring together the transparent and rules-based indexing of STOXX and the prowess of Axioma’s Risk Model and Portfolio Optimizer.
Work with familiar indices including the EURO STOXX 50®, STOXX® Europe 600, STOXX® USA 500 and DAX® as your starting universe.
Efficient ESG integration
Tackle your sustainability strategy’s tracking error/ESG score tradeoff via transparent quantitative techniques.
Reach and consistency
Apply the same sustainability methodology across global portfolios with every major region covered.
Diversified and liquid
Take advantage of diversification and tradability provided by constraints at the single-stock, country, industry, turnover and asset weight levels.
Featured Index: DAX ESG Target
The DAX ESG Target Index reflects the idiosyncratic responsible-investing priorities in Europe’s largest economy, with a low-carbon profile and exclusions of activities such as nuclear power. Through a series of constraints on security weights, tracking error, sector exposure, turnover and carbon intensity reduction, the DAX ESG Target offers an enhanced ESG profile versus the benchmark DAX without deviating significantly in performance. Backtested data show the ESG index version has outperformed the benchmark and provided lower volatility in the past five years.
EURO STOXX® ESG Target Index
STOXX ESG Target indices aim to provide a strong ESG tilt to the benchmark index while maintaining low tracking error of the benchmark index. The weight of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma’s Risk Models and Optimizer.
DAX ESG Target Index
The objective of the DAX ESG Target Index is to reflect the DAX Index while maximizing its ESG score and at the same time reducing its carbon intensity by at least 30%. The predicted tracking error is constrained with respect to its parent index. The index includes ESG exclusion filters for Global Standards Screening, Controversial Weapons, Thermal Coal, Tobacco, Nuclear Power, Military Contracting, Small Arms and Oil Sands.