ESG-X meets factor investing

STOXX is merging two of the strongest passive investing trends of recent times: a responsible approach combined with the power of factor-based stock selection.

The Eurozone’s first ESG + factor indices are based on the EURO STOXX^® Index, with standardized ESG exclusion screens applied for Global Compact Principles, controversial weapons, thermal coal, nuclear power and tobacco producers.

EURO iSTOXX^® ESG-X & Ex Nuclear Power Multi Factor Index
The index aims to diversify across the factors of profitability, earnings yield, leverage, value and low volatility, with the weighting determined by a multi-factor optimization process.

EURO STOXX^® ESG-X & Ex Nuclear Power Single Factor Indices
The three Single Factor Indices in this family each aim to extract one of the following risk premia, while controlling for risk and focusing on tradability: value (earnings yield and value), quality (leverage and profitability) and medium-term momentum.

EURO STOXX^® ESG-X & Ex Nuclear Power Minimum Variance Unconstrained Index
This is an ESG-screened version of the EURO STOXX Index with weighting determined by a minimum-variance optimization.

ESG screening and factor/minimum-variance optimization is provided by our award-winning partners Sustainalytics and Axioma, respectively.

Here is the list of indices:

• EURO iSTOXX^® ESG-X & Ex Nuclear Power Multi Factor
• EURO STOXX^® ESG-X & Ex Nuclear Power Minimum Variance Unconstrained
• EURO STOXX^® ESG-X & Ex Nuclear Power Momentum
• EURO STOXX^® ESG-X & Ex Nuclear Power Quality
• EURO STOXX^® ESG-X & Ex Nuclear Power Value