Asset owners are steadily stepping up their fiduciary role and are implementing environmental, social and governance (ESG) investment strategies. STOXX is addressing this demand by offering two approaches for ESG-compliant versions of STOXX and DAX flagship benchmarks that meet the standard responsible criteria of leading investors:

STOXX ESG-X

The STOXX ESG-X indices are ESG-screened versions of flagship STOXX global, regional, country, size and blue-chip benchmarks. They incorporate standard norm- and product-based exclusions as defined by Sustainalytics, that aim to limit market and reputational risks while keeping a low tracking error and a similar risk-return profile to the respective benchmark.

Companies are removed when Sustainalytics considers they meet at least one of the following criteria:

• Non-compliance with the Sustainalytics Global Standards Screening

• Involvement in controversial weapons

• Tobacco production

• At least 25 per cent of their revenue comes from thermal coal extraction or exploration

• At least 25 per cent of power output generation utilises thermal coal

Fast-exit rule: a company is excluded from the index in two days if Sustainalytics increases the ESG Controversy Rating to “Category 5” and the company becomes non-compliant based on the Sustainalytics Global Standards Screening assessment.

Visit Qontigo’s website for a complete overview of all STOXX ESG-X indices. 

STOXX ESG

The EURO STOXX 50^® ESG index is the sustainability version of the key eurozone benchmark that combines exclusionary screens (as described above) and ESG integration criteria.

The EURO STOXX 50 ESG index excludes 10 per cent of the companies from the benchmark with the lowest ESG score. Each excluded company is replaced by the largest non-controversial company with a higher ESG score from the same ICB supersector.

The result is a more comprehensive ESG-integrated strategy with a risk-return profile close to that of the benchmark index.

Fast-exit rule: a company is excluded from the index in two days if Sustainalytics increases the ESG Controversy Rating to “Category 5” and the company becomes non-compliant based on the Sustainalytics Global Standards Screening assessment.

DAX ESG

The DAX^® 50 ESG is the new standard in German ESG investing. The index excludes from the HDAX^® universe those stocks that fail to pass, according to Sustainalytics, at least one of the following filters:

• Global Standard Screenings (if non-compliant)
• Involvement in controversial weapons (if yes)
• Military contracting (5 per cent revenue threshold)
• Nuclear power (5 per cent revenue threshold)
• Thermal coal (5 per cent revenue threshold)
• Tobacco production (0 per cent revenue threshold)

The index then selects the 50 securities that rank highest in the quantitative criteria of free float market capitalisation, order book volume and ESG score. 

Selected components are weighted by free-float market capitalisation, subject to a 7 per cent component cap.

The HDAX universe comprises the joint set of companies included in DAX^®, MDAX^® and TecDAX^®.

Both concepts (ESG-X and ESG) are suitable as underlying for mandates, passive funds, exchange-traded funds (ETFs), structured products and listed derivatives, with the ambition to increase liquidity and lower the cost of trading.
 
 

The STOXX^® Global ESG Leaders Indices are based on research conducted on the criteria of social and environmental compatibility and corporate governance. Each category – environmental, social and governance (ESG) – has its own index in order to afford maximum transparency. Blue-chip indices are also offered for North America, Asia/Pacific, Europe and the euro zone.

• STOXX^® Global ESG Leaders
• STOXX^® Global ESG Environmental Leaders
• STOXX^® Global ESG Social Leaders
• STOXX^® Global ESG Governance Leaders
• STOXX^® North America ESG Leaders 50
• STOXX^® Asia/Pacific ESG Leaders 50
• STOXX^® Europe ESG Leaders 50
• EURO STOXX^® ESG Leaders 50

The STOXX^® ESG Impact indices offers a broad market exposure that is tilted towards companies that score better with respect to a small set of environmental, social and governance KPIs. Companies are selected and weighted by the following KPIs: CDP emission/energy reduction target, percentage of women on the board, percentage of independent directors, policy against child labour, and golden parachute agreement. In addition coal miners, violators of United Nations Global Compact principles, and companies involved with controversial weapons are excluded. KPI standardisation by industry and country capping reduce unwanted systematic active exposures.

The STOXX^® Climate Benchmark indices are designed to facilitate the shift towards a low-carbon economy and align investments with the Paris Climate Agreement.

The indices are constructed to follow and exceed the EU Climate Benchmarks requirements and encourage climate stewardship as well as corporate engagement to meet carbon reduction goals.

• STOXX Paris-Aligned Benchmark indices (PABs): These indices incorporate stringent carbon emission limitations in stock selection, in line with the global warming target of the Paris Climate Agreement. They aim for 60 per cent greenhouse gas (GHG) intensity reduction.
• STOXX Climate Transition Benchmark indices (CTBs): These indices allow for more sectorial diversification and help investors adopt a portfolio decarbonisation trajectory. They aim for 40 per cent greenhouse gas (GHG) intensity reduction.

STOXX CTB and PAB climate and underlying indices

The STOXX^® Global Climate Impact Ex Global Compact and Controversial Weapons and STOXX^® Global Climate Impact Ex Global Compact Controversial Weapons & Tobacco indices select those companies that are seen as leading in terms of climate change. These companies qualify based on particular actions that mark them as leaders or provide evidence that they understand their climate impact and take measures to manage it.

The STOXX Climate Awareness Ex Global Compact Controversial Weapons and STOXX Climate Awareness Ex Global Compact Controversial Weapons & Tobacco indices additionally include companies that have looked at implications of climate change for and on their business and display a high contextual knowledge of environmental issues.

• STOXX^® Europe Climate Impact Ex Global Compact Controversial Weapons & Tobacco
• STOXX^® Europe Climate Impact Ex Global Compact and Controversial Weapons  

The STOXX^® Low Carbon indices are designed to enable investors to decarbonise their portfolios, i.e. limit the exposure of their portfolios to climate-related risks, such as stricter regulations and physical damage, while participating in the low-carbon economic growth. To cater to different approaches, STOXX developed fully tailored solutions based on broad index universes, with six sub-families offering varying degrees of carbon exposure.

The comprehensive STOXX Low Carbon index family is derived from STOXX’s broad and liquid STOXX^® Global 1800 Index and its regional subsets (STOXX^® Europe 600, STOXX^® Asia/Pacific 600, STOXX® North America 600). These fully transparent and rules-based solutions include:

• STOXX^® Low Carbon indices
• STOXX^® Reported Low Carbon indices
• STOXX^® Industry Leader Low Carbon indices
• STOXX^® Low Carbon Footprint indices
• STOXX^® Global Climate Change Leaders index

The STOXX^® Sustainability index families provide access to companies that are leaders in terms of ESG criteria. Indices are available for Europe (STOXX^® Europe Sustainability) and the eurozone (EURO STOXX^® Sustainability). Components are selected from the STOXX^® Europe 600 indices according to their respective sustainability rating.

• STOXX^® Europe Sustainability
• STOXX^® Europe Sustainability ex AGTAF
• STOXX^® Europe Sustainability ex AGTAFA
• STOXX^® Europe Sustainability 40
• EURO STOXX^® Sustainability
• EURO STOXX^® Sustainability ex AGTAF
• EURO STOXX^® Sustainability ex AGTAFA
• EURO STOXX^® Sustainability 40

ÖkoDAX^® aims to reflect the performance of the ten most liquid companies from the Renewable Energy subsector. Hence, ÖkoDAX is a selection index of Deutsche Börse. The companies are selected from the renewable energy sector based on their free-float market capitalisation and included in the index portfolio with equal weighting factors.

In February 2019, Eurex opened a new chapter in sustainable investment with the launch of an environmental, social and government (ESG) segment based on the EURO STOXX 50^® Low Carbon index, the STOXX^® Europe Climate Impact Ex Global Compact, Controversial Weapons & Tobacco index and the STOXX^® Europe 600 ESG-X index.

Eurex ESG derivatives on three STOXX® indices:

• STOXX Europe 600 ESG-X index futures (FSEG): ESG screened version of Europe’s key benchmark index futures: STOXX Europe 600. The new index with exclusion criteria launched in November 2018 is based on the Social Responsible Investment (SRI) policy of leading asset owners.
• EURO STOXX 50 Low Carbon index futures (FSLC): low-carbon version of EURO STOXX 50 provides a new tool for asset owners to reduce climate risks.
• STOXX Europe Climate Impact index futures (FSCI): Climate Impact index futures addressing climate risks with additional ESG screens such as UN Global Compact, controversial weapons, tobacco and coal.

European Energy Exchange (EEX) offers a broad range of energy and environmental products, thereby contributing to an efficient transition to a low-carbon and sustainable energy supply. EEX runs a regulated, transparent marketplace for emissions trading certificates, enabling market participants to meet their obligations regarding the reduction of greenhouse gas emissions. With increasing flexibility and new products, EEX markets are opening up a growing market share for renewable energy in electricity trading. Among them are the new derivatives allowing market participants to hedge against increasing price peaks and weather risks.