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ISTOXX INDICES

iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG

Index Description

The iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG Index is designed to track a high-quality universe of companies that exhibit lower overall absolute volatility and to achieve climate and sustainability targets. It is based on the STOXX Global 1800 Index, and uses the proprietary Northern Trust Quality factor to identify companies that exhibit strength in profitability, management expertise and cash flow. The weighting of each constituent security is determined through an optimization process that is designed to reduce total variance and transaction costs.

Key facts

  • Derived from the STOXX Global 1800 Index with screens using Northern Trust ESG Scores and Exclusion Flags to achieve climate and sustainability targets.
  • Uses the proprietary Northern Trust Quality factor to identify companies that exhibit strength in profitability, management expertise and cash flow.
  • Invest in targeted factor exposures with managed risk profiles across various regions.
  • Uses Axioma's factor risk models and optimization to control for unintended systematic exposures.
  • Ensures tradability by managing turnover.
  • Ensures diversification using country and industry controls.

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG N/A 112.5 0.7 0.4 5.2 0.0 4.6 0.0 0.6
STOXX Global 1800 66,555.8 60,503.9 33.6 11.6 2,817.5 1.0 4.7 0.0 2.9

Supersector weighting (top 10)

Country weighting

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG 4.0 14.1 14.1 14.4 57.3 N/A N/A 14.1 4.6 9.5
STOXX Global 1800 4.8 21.3 21.3 16.1 66.5 N/A N/A 21.6 5.1 10.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG N/A N/A 9.1 12.4 15.1 N/A N/A 1.1 0.3 0.5
STOXX Global 1800 N/A N/A 11.4 15.2 18.0 N/A N/A 1.4 0.3 0.6
Index to benchmark Correlation Tracking error (%)
iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG 0.9 1.0 1.0 1.0 1.0 3.7 3.7 3.7 4.6 5.0
Index to benchmark Beta Annualized information ratio
iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG 0.7 0.8 0.8 0.8 0.8 -3.7 -1.7 -1.7 -0.2 -0.3

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(USD, Net Return), all data as of December 29, 2023

ISTOXX INDICES

iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG 22.0 17.8 21.1 21.1 3.5 2.1 1.7 22.1
STOXX Global 1800 21.5 18.6 19.2 19.2 0.1 2.0 2.0 10.7

Performance and annual returns

Methodology

The index is derived from the STOXX Global 1800 Index. Using the Northern Trust Quality Factor, the index identifies high quality names that also help achieve climate and sustainability targets. The index weights are determined by an optimization process which ensures diversification with controls on targeted factor, region and industry exposures while reducing volatility and transaction costs. The component selection is conducted quarterly in January, April, July and October.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return USD CH0576209610 ISXNDVGV .ISXNDVGV
Net Return USD CH0576209735 ISXNDVV ISXNDVV INDEX .ISXNDVV
Price USD CH0576209768 ISXNDVL ISXNDVL INDEX .ISXNDVL
Gross Return GBP CH0576209677 ISXNDVGH .ISXNDVGH
Net Return GBP CH0576209651 ISXNDVH .ISXNDVH
Price GBP CH0576209750 ISXNDVG .ISXNDVG
Gross Return EUR CH0576209578 ISXNDVGR .ISXNDVGR
Net Return EUR CH0576209727 ISXNDVR .ISXNDVR
Price EUR CH0576209636 ISXNDVP .ISXNDVP
Gross Return CHF CH0576209586 ISXNDVGD .ISXNDVGD
Net Return CHF CH0576209669 ISXNDVD .ISXNDVD
Price CHF CH0576209784 ISXNDVC .ISXNDVC

Quick Facts

Weighting Optimization
Cap Factor None
No. of components Variable
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Apr. 22, 2014
History Available daily as of Apr. 22, 2014
Inception date Oct. 23, 2020
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://qontigo.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

ISTOXX INDICES

iSTOXX Northern Trust Developed Markets Low Volatility Climate ESG

Top 10 Components4

Company Supersector Country Weight
Apple Inc. Technology USA 4.627%
Microsoft Corp. Technology USA 3.700%
ALPHABET CLASS C Technology USA 2.803%
VISA Inc. Cl A Industrial Goods and Services USA 2.278%
JPMorgan Chase & Co. Banks USA 2.228%
MasterCard Inc. Cl A Industrial Goods and Services USA 2.120%
Johnson & Johnson Health Care USA 2.065%
NVIDIA Corp. Technology USA 1.885%
META PLATFORMS CLASS A Technology USA 1.851%
McDonald's Corp. Travel and Leisure USA 1.841%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of December 29, 2023

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.