September 2020 MONTHLY INDEX NEWS Copyright © 2020 Qontigo GmbH. MONTHLY INDEX NEWS / September Newsletter updates In order to enhance the readability of the newsletter, we constantly consider layout changes to the various sections and frequently update it to include newly launched indices. Changes and additions this month are detailed below. No changes this month. 1/27 Copyright © 2020 Qontigo GmbH. MONTHLY INDEX NEWS / September Table of Contents Benchmark Indices ............................................................................................................................................................ 3 DAX Indices ....................................................................................................................................................................... 4 ESG-X Indices .................................................................................................................................................................... 5 ESG and Sustainability Indices .......................................................................................................................................... 6 Climate Indices – Paris-Aligned Benchmark Indices ........................................................................................................ 7 Climate Indices – Climate Transition Benchmark Indices ................................................................................................. 8 Climate Indices – Impact, Change Leaders and Awareness Indices .................................................................................. 9 Low Carbon Indices ......................................................................................................................................................... 10 Thematic Indices – Revenue-Based ................................................................................................................................ 11 Thematic Indices – AI-Driven .......................................................................................................................................... 13 Factor Indices (Global) .................................................................................................................................................... 14 Factor Indices (Regional: Europe) ................................................................................................................................... 15 Factor Indices (Regional: US) .......................................................................................................................................... 16 Factor Indices (Regional: Asia/Pacific) ........................................................................................................................... 17 ESG-X Factor (Global) ..................................................................................................................................................... 18 ESG-X Factor (Regional: Europe) ..................................................................................................................................... 19 ESG-X Factor (Regional: US) ........................................................................................................................................... 20 ESG-X Factor (Regional: Asia/Pacific) ............................................................................................................................ 21 Europe Factor Market Neutral Indices ............................................................................................................................. 22 Premia Indices ................................................................................................................................................................ 23 Minimum Variance Indices .............................................................................................................................................. 24 Dividend Indices .............................................................................................................................................................. 25 2/27 Copyright © 2020 Qontigo GmbH. MONTHLY INDEX NEWS / September Benchmark Indices Key points The STOXX® Global 1800 Index fell in September for the first month since March, paring its third-quarter gain. Declines were led by sectors and stocks that have gained the most this year. The global index retreated 3.2% in dollar terms and 1.3% in euros as the greenback rose 1.9% against the common currency during the month. The index added 8.2% in the third quarter in dollars and is now up 2.6% for 2020, having climbed 50% from a low in March. The STOXX® North America 600 Index fell 3.6% in dollars during September, after reaching a record earlier in the month. The pan-European STOXX® Europe 600 Index lost 1.4% as measured in euros, while the Eurozone’s EURO STOXX 50® Index dropped 2.3%. The STOXX® Asia/Pacific 600 Index lost 1.1% in dollars. Risk and return characteristics Return (%) Annualized volatility (%) EUR USD EUR USD 1M YTD 1Y 1M YTD 1Y 1M YTD 1Y 1M YTD 1Y P/B 1. EURO STOXX 50 -2.3 -12.6 -8.0 -4.2 -8.7 -1.1 21.9 35.1 31.0 24.4 36.6 32.3 1.8 2. STOXX Europe 600 -1.4 -11.1 -5.7 -3.3 -7.2 1.5 19.8 30.9 27.4 22.2 32.3 28.6 1.7 3. STOXX Global 1800 -1.3 -1.8 3.7 -3.2 2.6 11.6 19.4 32.0 28.0 19.2 32.0 28.0 0.1 4. STOXX Global 1800 ex USA -0.7 -9.9 -5.5 -2.6 -5.9 1.7 13.6 25.4 22.4 15.7 26.6 23.4 1.3 5. STOXX USA 500 -1.7 3.7 9.9 -3.6 8.3 18.2 26.1 39.3 34.4 25.2 38.8 33.9 0.1 6. STOXX USA 900 -1.6 2.7 8.6 -3.5 7.3 16.8 25.9 39.5 34.5 25.0 39.0 34.1 0.1 7. STOXX North America 600 -1.7 2.7 8.6 -3.6 7.3 16.8 25.6 39.1 34.2 24.8 38.6 33.7 0.1 8. STOXX Asia/Pacific 600 0.9 -7.1 -3.4 -1.1 -3.0 3.9 13.3 22.4 19.9 13.8 23.1 20.3 1.0 Risk and return performance figures for STOXX Benchmark Indices, Gross Return. Data as of Sep. 30, 2020. Source: Qontigo. Index and volatility performance 130 100% 90% 120 80% 110 70% 60% 100 50% 90 40% 30% 80 20% 70 10% 0% 60 1 2 3 4 5 6 7 8 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 1 2 3 4 September 2020 5 6 7 8 Figure 1: Annual price performance, EUR Gross Return. Figure 2: Monthly annualized volatility analysis, EUR Gross Oct. 2019 – Sep. 2020. Shaded area: Sep. 2020. Return. Jan. 2004 – Sep. 2020. Source: Qontigo. Source: Qontigo. 3/27 Copyright © 2020 Qontigo GmbH. MONTHLY INDEX NEWS / September DAX Indices Key points The DAX family is led by Germany’s blue-chip DAX®. The MDAX® and SDAX®, respectively, gauge the performance of the country’s mid- and small-caps. The TecDAX® tracks German technology companies. Finally, the HDAX® Index groups all equities that belong to either the DAX, MDAX or TecDAX. The SDAX was the group’s best-performing index for a third month in a row. The DAX® 50 ESG Index, which excludes companies involved in controversial activities and integrates environmental, social and governance (ESG) scoring into stock selection, beat both the flagship DAX and the HDAX. The latter forms its starting universe. Risk and return characteristics (EUR) Return (%) (EUR) Annualized volatility (%) 1M YTD 1Y 1M YTD 1Y 1. DAX -1.4 -3.7 2.7 24.5 36.5 32.4 2. DAX 50 ESG -1.0 -2.4 4.3 23.3 36.1 32.1 3. MDAX -1.6 -4.6 4.3 21.7 31.2 27.8 4. SDAX -0.9 -0.2 13.2 21.9 32.7 29.1 5. TecDAX -1.3 1.8 9.1 27.5 32.3 29.2 6. HDAX -1.6 -5.2 1.8 23.8 35.3 31.4 Risk and return performance figures for DAX Indices, Gross Return. Data as of Sep. 30, 2020. Source: Qontigo. Index and volatility performance 130 80% 120 70% 60% 110 50% 100 40% 90 30% 80 20% 70 10% 60 0% Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 1 2 3 4 5 6 1 2 3 4 5 6 September 2020 Figure 3: Annual price performance, EUR Gross Return. Figure 4: Monthly annualized volatility analysis, EUR Gross Return. Oct. 2019 – Sep. 2020. Shaded area: Sep. 2020. Oct. 2019 – Sep. 2020. Source: Qontigo. Source: Qontigo. 4/27 Copyright © 2020 Qontigo GmbH. MONTHLY INDEX NEWS / September ESG-X Indices Key points The STOXX® Global 1800 ESG-X Index came up broadly in line with its benchmark during September, allowing investors to generate market-type returns while complying with sustainable policies. The EURO STOXX 50® ESG-X Index outperformed its benchmark. The ESG-X indices are versions of traditional, market-capitalization-weighted benchmarks that observe standard responsible exclusions of leading asset owners. They incorporate basic norm- and product-based exclusion criteria to comply with ESG principles. Companies are excluded based on data provider Sustainalytics’ determination of non-compliance with the Global Standards Screening assessment, involvement in controversial weapons, tobacco production, thermal coal extraction or exploration, or use of thermal coal to generate at least a quarter of power output. Risk and return characteristics Return (%) Annualized volatility (%) EUR USD EUR USD 1M YTD 1Y 1M YTD 1Y 1M YTD 1Y 1M YTD 1Y P/B 1. EURO STOXX 50 ESG-X -2.0 -10.8 -6.1 -3.9 -6.8 1.0 21.6 34.2 30.3 24.1 35.7 31.5 1.8 2. STOXX Europe 600 ESG-X -1.3 -10.8 -5.3 -3.3 -6.9 1.8 19.7 30.7 27.2 22.1 32.1 28.4 1.7 3. STOXX USA 500 ESG-X -1.8 5.7 12.5 -3.7 10.5 21.0 26.8 39.5 34.6 25.9 39.0 34.1 3.8 4. STOXX North America 600 ESG-X -1.8 4.5 10.9 -3.7 9.2 19.3 26.3 39.3 34.4 25.4 38.8 33.9 3.6 5. STOXX Asia/Pacific 600 ESG-X 0.9 -6.7 -3.0 -1.0 -2.6 4.3 13.4 22.5 19.9 13.9 23.2 20.4 1.0 6. STOXX Global 1800 ESG-X -1.3 -0.6 5.2 -3.3 3.8 13.1 19.5 31.8 27.9 19.4 31.8 27.8 2.1 Risk and return performance figures for STOXX ESG-X Indices, Gross Return. Data as of