Introducing

STOXX ESG-X Factor Indices

Responsible Investing Criteria, Targeted Factor Exposures

The STOXX® ESG-X Factor Indices provide sustainability-driven investors with ESG-screened indices that can target similar levels of factor exposures as the STOXX Factor Indices, while also controlling for unintended exposures.

Capture Your Exposure >

Coverage at Launch


The STOXX ESG-X Factor Index suite includes over 30 indices covering 6 factors and 6 universes.

Download the Brochure >

Discover our STOXX ESG-X Factor Indices  >

FACTORS

> Value

> Quality

> Momentum

> Low Risk

> Size

> Multi-Factor (Premium)

UNIVERSES

> Global 1800

> Europe 600

> USA 900

> USA 500

> APAC 600

> Japan 600

Built using the same methodology as the STOXX Factor Indices, the STOXX ESG-X Factor Indices incorporate the exclusion criteria of the STOXX ESG-X Universe to create an ESG-X screened version of the STOXX benchmark.

 

Our ESG-X approach is applied across regions, sizes and sectors to meet the responsible-investing criteria of leading asset owners: 

1. Select STOXX Parent Index

2. Apply ESG-X Exclusion criteria:

Global Standards Screening 

A thorough global standards screening is applied based on the latest Sustainalytics' methodology.

Involvement in Controversial Weapons

Exclusion of securities that are associated with the production of anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium, nuclear weapons and white phosphorus.

Tobacco Producers

0% revenue threshold ensures that there no tobacco producers are included in these benchmarks.

Thermal Coal

  • 25% revenue threshold from thermal coal mining and exploration
  • 25% power generating capacity (coal-fired electricity, heat or steam generation capacity / thermal coal electricity production)

Global Standards Screening 

A thorough global standards screening is applied based on the latest Sustainalytics' methodology.

Involvement in Controversial Weapons

Exclusion of securities that are associated with the production of anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium, nuclear weapons and white phosphorus.

Tobacco Producers

0% revenue threshold ensures that there no tobacco producers are included in these benchmarks.

Thermal Coal

  • 25% revenue threshold from thermal coal mining and exploration
  • 25% power generating capacity (coal-fired electricity, heat or steam generation capacity / thermal coal electricity production)

3. Free Float Market Cap (i.e. not score weighted)

4. Fast Exit Rule

A company is deleted from the Index (t+2) if Sustainalytics raises the ESG-controversy rating to category 5 and becomes non-compliant based on Global Standards Screening

STOXX ESG-X Factor Indices deliver targeted factor exposure comparable to non-ESG indices

 

Annual Return Comparison of STOXX ESG-X Factor Indices vs. STOXX Flagship Universe.

 

Adding ESG criteria does not negatively impact the performance of index families. 

The Resulting Indices Offer Factor Clarity as Demonstrated by Historical Results

Qontigo Factor iQTM harnesses the power of Axioma's daily risk models to unpack the exposure of select STOXX indices, which have been designed to target specific factor objectives.

Capture Your Exposure >

Qontigo Factor iQ harnesses the power of Axioma's daily risk models to unpack the exposure of select STOXX indices, which have been designed to target specific factor objectives.

Capture Your Exposure >
Additional Resources
Design Objectives

Create a modern, comprehensive toolkit of indices for benchmarking and investors.

Robust Definitions
  • Built by mapping Axioma’s granular, research-based factor definitions to smart beta factors – Value, Quality, Momentum, Low Risk and Size

    Using a risk model allows for ease of control over unintended factor exposures
Tradable
  • Limits exposures to less liquid names and turnover
  • Controls number of names and potential weights

    Deliver results aiming for higher capacity and reduced trading costs
Intuitive
  • Consistent methodology across regions and factors

    Users can resolve some of the traditional tradeoffs in factor index construction
Factor Clarity
  • Ensures strong factor exposure
  • Controls unintended factor exposures
  • Targets benchmark tracking, with sector and country controls
About STOXX Indices

STOXX is Qontigo’s global index provider, currently calculating a global, comprehensive index family of over 10,000 strictly rules-based and transparent indices.

About Axioma Analytics

Qontigo provides Axioma analytic tools for portfolio construction, factor risk modeling, and performance attribution to over 300 investment management firms.

©STOXX 2020. All Rights Reserved. STOXX research reports are for informational purposes only and do not constitute investment advice or an offer to sell or the solicitationof an offer to buy any security of any entity in any jurisdiction. Although the information herein is believed to be reliable and has been obtained from sources believed to be reliable, we make no representation or warranty, expressed or implied, with respect to the fairness, correctness, accuracy, reasonableness or completeness of such information. No guarantee is made that the information in this report is accurate or complete, and no warranties are made with regard to the results to be obtained from its use. STOXX Ltd. will not be liable for any loss or damage resulting from information obtained from this report. Furthermore, past performance is not necessarily indicative of future results. Exposure to an asset class, a sector, a geography or a strategy represented by an index can be achieved either through a replication of the list of constituents and their respective weightings or through investable instruments based on that index. STOXX Ltd. does not sponsor, endorse, sell, promote or manage any investment product that seeks to provide an investment return based on the performance of any index. STOXX Ltd. makes no assurance that investment products based on any STOXX index will accurately track the performance of the index itself or return positive performance.