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Index Solutions

ESG indices

Our growing family of ESG indices offers several approaches to sustainable investing

Our best-in-class solutions consider investors’ need to integrate environmental, social and governance metrics alongside the traditional risk-return framework. And, because we understand the need to integrate our clients’ views and sustainability objectives, our curated, open ESG data and partnering architecture offers investors and clients choice and the ability to customize solutions.

“Exclude” strategies – an efficient starting base

This category is a starting point in responsible engagement and risk mitigation, and comprises ESG exclusion and integration strategies. For investors seeking to raise the ESG profile of portfolios but maintain low tracking errors and similar risk-return characteristics to STOXX and DAX benchmarks.

ESG-X

Our ESG-X methodology incorporates standard norm- and product-based exclusionary screens, for example, filtering out controversial weapons, thermal coal and tobacco (exclusion only).

ESG Broad Market

Our STOXX ESG Broad Market Indices exclude 20% of the parent index through a combination of negative exclusions and the removal of the poorest-scoring securities in terms of ESG criteria.

ESG Blue-Chip

Our STOXX and DAX ESG blue-chip indices combine negative exclusions with the positive integration of ESG scoring into stock selection, removing companies with the lowest ESG grades and replacing them with better-ranked peers. The EURO STOXX 50 ESG Index and the DAX 50 ESG Index belong in this category.

ESG+

ESG+ indices track the performance of their parent indices after a set of compliance, involvement and ESG performance screens are applied. The ESG+ indices select the securities with the highest ESG ranking in each of the ICB Industry Groups until the number of selected securities reaches 80% of the number of securities in the parent index.

Enhance” strategies – optimizing sustainable investing

Our ‘Enhance’ category has been designed for investors who wish to maximize their portfolios’ ESG profiles while maintaining benchmark exposure. The category is made up of STOXX and DAX indices that aim to maximize the sustainability profile of portfolios.

ESG Target / Target TE

ESG Target indices aim to reflect the benchmark’s performance and, at the same time, maximize the portfolio’s ESG score. The weighting of each constituent is determined through an optimization process that ensures diversification and relies on Axioma’s risk modelling for tracking error (TE) calibration. The ESG Target TE indices use a similar configuration, but have an even stricter tracking error objective.

ESG Leaders

STOXX ESG Leaders indices are made up of the best-in-class stocks in terms of E, S and G criteria based on specific indicators. The indices were introduced in 2011 and have earned a large following from investors seeking targeted sustainable returns.

SRI

STOXX SRI (Socially Responsible Investing) indices track the best ESG performers from each industry group within a selection of STOXX benchmarks, and additionally apply a set of carbon emissions intensity, compliance and product involvement screens.

ESG+

ESG+ indices track the performance of their parent indices after a set of compliance, involvement and ESG performance screens are applied. The ESG+ indices select the securities with the highest ESG ranking in each of the ICB Industry Groups until the number of selected securities reaches 80% of the number of securities in the parent index.

Key benefits

Superior design

Accurate and transparent non-financial factors are used to identify material ESG risks and growth opportunities

State-of-the-art index construction

The combination of superior index construction expertise with leading risk model and optimization tools allows for the creation of powerful and creative indices

Transparency and simplicity

We provide a clear and easy-to-explain, rules-based framework to incorporate ESG considerations into investment processes

Liquidity and tradability

Liquidity considerations always play a crucial role in the development and composition of indices

Key ESG indices

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