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ISTOXX INDICES

iSTOXX Nordic ESG DW

Index Description

The iSTOXX Nordic ESG DW Index aims at investing at all the listed companies from the Nordic countries that qualify as global sustainability leaders (components of the STOXX Global ESG Leaders), excluding those which generate revenues from alcohol, gambling, tobacco, armaments, firearms and adult entertainment. The selected stocks are weighted according to their 12-month historical dividend yield to provide further optimization.

Key facts

  • Rating methodology looks at each company individually and makes clear differentiations between different types of companies
  • Key performance indicators (KPI) for every company are made known to index licensees and the weighting and computation metrics are fully disclosed in guides
  • DVFA/EFFAS, as independent and neutral professional associations of investors and financial analysts, created the KPI for standard ESG 3.0, to which the index model has been mapped
  • Methodology allows a detailed attribution of sustainability performance for index components and non-components
  • Dividend weighting scheme for further optimization

Descriptive Statistics

Index Market Cap (SEK bn) Components (SEK bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Nordic ESG DW N/A 11.5 0.3 0.3 0.8 0.0 6.9 0.4 74.0
STOXX Nordic Total Market 25,442.0 19,473.7 34.5 5.1 4,427.3 0.1 22.7 0.0 2.1

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX Nordic ESG DW 5.4 3.4 12.7 22.6 62.6 N/A N/A 13.0 7.1 10.3
STOXX Nordic Total Market 6.6 11.3 20.7 39.8 100.9 N/A N/A 21.3 11.9 15.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Nordic ESG DW N/A N/A 12.3 15.8 18.3 N/A N/A 0.8 0.3 0.5
STOXX Nordic Total Market N/A N/A 10.9 14.9 16.4 N/A N/A 1.5 0.7 0.8
Index to benchmark Correlation Tracking error (%)
iSTOXX Nordic ESG DW 0.7 0.7 0.7 0.9 0.9 8.2 7.1 8.8 8.0 7.9
Index to benchmark Beta Annualized information ratio
iSTOXX Nordic ESG DW 0.6 0.7 0.8 0.9 1.0 -1.8 -4.3 -0.8 -0.6 -0.5

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(SEK, Gross Return), all data as of March 29, 2024

ISTOXX INDICES

iSTOXX Nordic ESG DW

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
iSTOXX Nordic ESG DW 19.4 13.2 14.4 14.4 1.6 5.9 1.0 52.5
STOXX Nordic Total Market 24.4 18.0 17.9 17.9 2.5 3.5 1.7 42.7

Performance and annual returns

Methodology

All stocks from Nordic countries (Denmark, Finland, Norway and Sweden) that are components of the STOXX Global ESG Leaders Index compose the base universe of the iSTOXX Nordic ESG DW Index.

If there are less than 10 Nordic companies in the STOXX Global ESG Leaders, the base universe is completed with the best Nordic overall ESG score companies until it reaches 10 and the next two exclusion steps are omitted. (For more information regarding the ESG scores, please refer to our STOXX ESG Index Methodology Guide: https://www.stoxx.com/document/Indices/Common/Indexguide/stoxx_esg_guide.pdf).

Exclusion step 1: companies engaged in controversial business activities in agreement to Bank J. Safra Sarasin’s classification (AGTAFA) are excluded.

Exclusion step 2: companies that have not paid dividends in the last 12 months.

All remaining stocks are selected for inclusion and weighted according to their 12-month historical dividend yield. The index is reviewed on a quarterly basis.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0357385621 BDXESGGR .BDXESGGR
Net Return EUR CH0357385423 BDXESGR .BDXESGR
Price EUR CH0357384392 BDXESGE .BDXESGE
Price SEK CH0356897105 BDXESGX BDXESGX INDEX .BDXESGX
Gross Return SEK CH0356897097 BDXESGSZ .BDXESGSZ
Net Return SEK CH0356897113 BDXESGY .BDXESGY
Price USD CH0357385696 BDXESGL .BDXESGL
Net Return USD CH0357385779 BDXESGV .BDXESGV
Gross Return USD CH0357385894 BDXESGGV .BDXESGGV

Quick Facts

Weighting Dividend Yield
Cap Factor 15%
No. of components Variable
Review frequency Quarterly
Calculation/distribution Price: real-time (every 15’’), Net and Gross Return: end-of-day. Currency: EUR, USD and SEK
Calculation hours Real-time: 09:00 CET – 18:00 CET
Base value/base date 100 as of Mar. 22, 2004
History Available daily back to Mar. 22, 2004
Inception date Feb. 28, 2017
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

iSTOXX Nordic ESG DW

Top 10 Components4

Company Supersector Country Weight
SSAB B Basic Resources Sweden 6.855%
NORSK HYDRO Basic Resources Norway 6.609%
TELIA COMPANY Telecommunications Sweden 5.452%
NORDEA BANK Banks Finland 4.018%
KESKO Personal Care, Drug and Grocery Stores Finland 3.820%
BOLIDEN Basic Resources Sweden 3.733%
DNB BANK Banks Norway 3.587%
STORA ENSO R Basic Resources Finland 3.515%
TRYG Insurance Denmark 3.035%
UPM KYMMENE Basic Resources Finland 3.007%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of March 29, 2024