The latest STOXX research paper examines the effect on a portfolio’s risk and returns of implementing standardized environmental, social and governance (ESG) exclusions, by looking at the profile and performance characteristics of six STOXX ESG-X Indices. These include the STOXX^® Europe 600 ESG-X Index, STOXX^® USA 500 ESG-X Index and STOXX^® Global 1800 ESG-X Index.

The STOXX ESG-X Indices implement negative screening based on norms (United Nations Global Compact principles) and products (controversial weapons, tobacco and thermal coal).

Over 50 tables and charts in the paper provide granular insight into:

• - performance analysis
• - comparative returns
• - effect on industry weights and stock constituency
• - performance impact of each exclusion
• - active, specific, factor and sub-factor contribution

While the overall findings confirm that the ESG exclusions tend not to create statistically significant divergences on headline returns and risk, differences are observed from region to region and marginal tracking error, biases and exposures emerge.

STOXX introduced in May a fully-fledged ESG-X Index family, which are ESG-compliant versions of established benchmarks, to meet investors’ need for market-capitalization-weighted benchmarks that are in line with their responsible-investing policies.

Download the paper by clicking the button below and discover the true scope and implications of the STOXX ESG-X Indices.