Summary
The STOXX Europe ESG Leaders Select 30 EUR Index captures the performance of stocks with low volatility and high dividends from the STOXX Global ESG Leaders Index.
The component selection process first excludes all stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same.
Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.
In October 2019, the STOXX® Europe ESG Leaders Select 30 EUR Index became the underlying for one of Europe’s first ESG futures contracts, listed on Eurex.
Index Guides, Benchmark statement, and other reports are available under the Data tab.
Details
Top 10 Components
| ZURICH INSURANCE GROUP | Insurance | CH |
| ORANGE | Telecommunications | FR |
| NATIONAL GRID | Utilities | GB |
| SNAM RETE GAS | Energy | IT |
| ENAGAS | Energy | ES |
| TELEFONICA | Telecommunications | ES |
| RED ELECTRICA CORPORATION | Utilities | ES |
| ENDESA | Utilities | ES |
| SWISS LIFE HLDG | Insurance | CH |
| ITALGAS | Utilities | IT |