Whitepapers

In this paper we analyzed four tech-oriented thematic indices’ performance and risk through a factor lens leveraging Axioma’s Worldwide Fundamental Factor Model, and also compared their characteristics to the broad market indices.

The STOXX® USA 500 ESG Broad Market, ESG Target, and ESG Target TE indices aim to provide alternatives for index investors and product issuers who are looking to switch to more sustainable versions of traditional benchmarks.

This Special Report discusses the increasing importance of sustainability for investors. It also outlines how investors are able to the measure the carbon footprint of their portfolios, and ensure they meet their climate goals.

In this paper we attempt to answer the following questions: in which region can you make the most impact, and how much active risk is required to achieve your climate goals?

In this paper we review some of the most prominent forward-looking climate metrics (FLCMs) that are currently available to investors, including proprietary methodologies developed by dedicated providers.

While sustainable investing is not a new concept, its growing popularity means a sharper focus is needed on how to achieve sustainability goals without sacrificing returns or taking on too much unintended risk.

There is no denying the impact of climate change — and associated regulatory realities — on the business of investment management. For portfolio managers, it is essential to understand how to successfully adapt and prepare for what some call the “mother of all correlated risks”. Here we expose — in three parts — what portfolio managers need to know when switching to a fully Paris Aligned Benchmark (PAB) portfolio from a current market-cap weighted (CWB) portfolio.

In this paper, we have narrowed our focus and analyzed the performance of the DAX® 50 ESG Index over the period from March 20, 2020 (the end date of our analysis last time and which was around the beginning of the recovery from the market distress caused by the COVID-19 pandemic) until November 13, 2020. Our findings show that the DAX® 50 ESG Index has outperformed during this period, with the sustainability criteria applied as part of the index methodology contributing favorably to returns.

This Special Report explores some of the threats our planet is currently facing and discusses ways in which sustainability can help to save it. It also outlines how economies and companies can shift to more sustainable models.

In this paper, we evaluate the EURO STOXX 50® ESG Index’s liquidity and tradability characteristics compared to its benchmark, and make an estimation of execution cost of switching from the benchmark to the index. We believe this analysis would be of interest to market participants given the recent launch of derivatives on the EURO STOXX 50® ESG Index, and to those with exposure to the EURO STOXX 50® that may be seeking a more sustainable flagship alternative.

This study explores the impact of the reclassification, from a risk-oriented perspective, on the STOXX® Global 1800 and STOXX® Europe 600 indices. We focus our analysis on the highest two tiers of the classification: Industry and Supersectors.

In this note, we take a look at the methodology behind the index, explore how its composition has changed over time and assess the impact of the 2020 annual index review.