Bringing you live news and features since 2006 

Hartmut Graf, chief executive officer, Stoxx

STOXX launches iSTOXX Global ESG Select 100 Index

RELATED TOPICS​

STOXX Limited has launched the iSTOXX Global ESG Select 100 Index, which screens the components of the STOXX Global ESG Leaders Index for high dividend paying companies which also have low volatility.

This creates a hybrid portfolio of ESG, maximum dividend and low volatility strategies.
 
The new index is designed to act as an underlying to exchange-traded funds and other investable products, such as structured products.
 
“Part of the research done by STOXX centres around the low volatility anomaly, where low volatility companies have historically produced higher returns than high volatility companies, although the opposite would have been expected,” says Hartmut Graf (pictured), chief executive officer, STOXX Limited. “Within this research, we have discovered that the historical performance of dividend indices can be significantly enhanced when adding screens for low volatility components. In our new iSTOXX Global ESG Select 100 Index, we combine the outcome of this research with a screen for ESG, creating a hybrid index concept for ESG conscious market participants, who are also looking for high dividend payments and low volatility in an index component.”
 
The iSTOXX Global ESG Select 100 Index is derived from the STOXX Global ESG Leaders Index, a fully transparent equity index with components selected based on a comprehensive set of sustainability ratings. The new index includes those companies out of the underlying index which pay the highest dividends and, at the same time, have the lowest volatility.
 
To identify these companies, all companies in the STOXX Global ESG Leaders Index are ranked in ascending order by their volatility. Simultaneously, they are also ranked in descending order by gross dividend yield. An average rank is calculated out of those two, and companies are then sorted by this average rank. In the case that two companies end up with the same rank, the one with the lowest volatility will be assigned the better rank. Out of the final list, the top 100 companies are selected for inclusion in the index.
 
The iSTOXX Global ESG Select 100 Index is weighted by free float market cap, with a single component’s weight cap of 10 per cent. 

The index is reviewed annually in September after the review of the underlying index, and rebalanced quarterly in March, June, September and December.
 
The iSTOXX Global ESG Select 100 Index is calculated in price, net and gross return versions and available in Euro, GBP and USD. The Euro/price return version will be available real time, while all other index versions will be calculated at the end of day. Daily historical data is available back to 20 September 2004.

Latest News

Amundi’s ETF Market Flows Analysis for May finds that global ETF inflows were EUR105.1 billion with US-domiciled equity funds accounting..
MerQube has announced the appointment of Dave Mueller as Chief Financial Officer. Mueller brings 17 years experience operating in corporate..
Northern Trust Asset Management (NTAM), has announced that David Abner is joining as Head of Global ETFs and Funds...
Nvidia’s market cap surge to more than USD3 trillion making it the second most valuable company in the world almost..

Related Articles

Darren Johnson, Komainu
Custody specialist, Komainu, was launched in 2018 as a joint venture between Nomura, digital-asset investment manager, CoinShares and blockchain business,...
Stuart Chaussee
In January this year, global data and business intelligence platform, Statista reported that there are now more than 8000 ETFs...
Ethereum coin
Last week saw Australia launch spot bitcoin ETFs, with Matteo Greco, Research Analyst at Fineqia International, writing that Monochrome Asset...
Timothy Rotolo, Range Funds
In 2023, Timothy Rotolo launched his business, Range Fund Holdings, the parent company for Range Indices and Range ETFs, followed...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by