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ISTOXX INDICES

EURO iSTOXX ESG Performance 50

Index Description

The EURO iSTOXX ESG Performance 50 Index tracks the performance of 50 securities with the best ESG Risk Rating scores from the EURO STOXX Index that are not involved in fossil fuels. Industry neutrality filters are applied in the selection process to ensure diversification. The companies that are not compliant based on the Sustainalytics' Global Standards Screening assessment, have Severe Controversy Rating (Category 5) or are involved in Controversial Weapons are excluded. Moreover, companies involved in Conventional Oil & Gas, Unconventional Oil & Gas (Arctic Oil and Gas Exploration, Oil Sands and Shale Energy) or Thermal Coal are also not eligible for selection.

Key facts

  • The index selects 50 liquid securities with the best ESG Risk Rating scores from the EURO STOXX Index
  • Companies that are non-compliant with the Global Standards Screening (GSS) or display a Severe Controversy Rating are excluded
  • Companies involved in Controversial Weapons activities are also not eligible
  • Product involvement filters are applied for Fossil Fuels
  • Screening and ESG Risk Rating scores provided by Sustainalytics, the award winning ESG data provider
  • Securities are free float market capitalization weighted, with a maximum cap of 10%
  • Industry neutrality filters are applied in the selection process to ensure diversification

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO iSTOXX ESG Performance 50 1,453.0 1,062.8 21.3 10.5 108.8 2.4 10.2 0.2 70.5
EURO STOXX 7,777.0 5,615.7 19.0 7.1 356.5 1.1 6.3 0.0 3.8

Supersector weighting (top 10)

Country weighting

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
EURO iSTOXX ESG Performance 50 3.0 10.8 12.3 16.6 54.1 N/A N/A 12.6 5.3 9.1
EURO STOXX 4.4 9.7 13.8 20.4 41.8 N/A N/A 14.1 6.5 7.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX ESG Performance 50 N/A N/A 12.6 17.2 20.0 N/A N/A 0.7 0.2 0.4
EURO STOXX N/A N/A 11.0 16.8 19.6 N/A N/A 0.9 0.3 0.3
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX ESG Performance 50 0.9 0.9 0.9 1.0 1.0 5.4 5.2 4.8 5.1 5.2
Index to benchmark Beta Annualized information ratio
EURO iSTOXX ESG Performance 50 1.5 1.2 1.1 1.0 1.0 -3.1 0.8 -0.3 -0.2 0.3

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

2Based on EURIBOR1M

(EUR, Price), all data as of March 29, 2024

ISTOXX INDICES

EURO iSTOXX ESG Performance 50

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
EURO iSTOXX ESG Performance 50 24.7 16.9 18.1 18.1 2.3 2.9 2.0 26.3
EURO STOXX 17.3 13.6 15.1 15.1 1.8 3.8 1.2 26.7

Performance and annual returns

Methodology

The EURO iSTOXX ESG Performance 50 Index selects 50 liquid securities from the EURO STOXX Index that are not involved in Fossil Fuels.

The companies that are not compliant based on the Sustainalytics� Global Standards Screening assessment, have Severe Controversy Rating (Category 5) or are involved in Controversial Weapons are excluded. Companies that generate revenues from Conventional Oil & Gas, Unconventional Oil & Gas or Thermal Coal are not eligible for selection.

Constituents of the EURO STOXX Index that meet the aforementioned criteria and with 3M ADTV equal to or exceeding 10 million EUR are ranked in ascending order of their ESG Risk Rating scores (low score implies good ESG Risk Rating performance). The index selects the top ranking 50 securities from this list, subject to ICB Industry constraints. The securities are free float market capitalization weighted, with a maximum cap of 10%.

The detailed methodology can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH1109511977 IXESGP5G IXESGP5G INDEX .IXESGP5G
Net Return EUR CH1109511944 IXESGP5R .IXESGP5R
Price EUR CH1109511951 IXESGP5 IXESGP5 INDEX .IXESGP5
Gross Return USD CH1109511993 IXESGP5U .IXESGP5U
Price USD CH1109511985 IXESGP5L .IXESGP5L
Net Return USD CH1109511969 IXESGP5V .IXESGP5V

Quick Facts

Weighting free-float market capitalization
Cap Factor 0.1
No. of components 50
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of Mar. 24, 2014
History Available since Mar. 24, 2014
Inception date Apr. 14, 2021
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://qontigo.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

ISTOXX INDICES

EURO iSTOXX ESG Performance 50

Top 10 Components4

Company Supersector Country Weight
ALLIANZ Insurance Germany 10.239%
SAP Technology Germany 10.038%
ASML HLDG Technology Netherlands 9.295%
HERMES INTERNATIONAL Consumer Products and Services France 7.826%
INTESA SANPAOLO Banks Italy 5.105%
Prosus Technology Netherlands 4.106%
INFINEON TECHNOLOGIES Technology Germany 3.872%
DEUTSCHE POST Industrial Goods and Services Germany 3.620%
DEUTSCHE BOERSE Financial Services Germany 3.390%
AMADEUS IT GROUP Technology Spain 2.519%

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

4Based on the composition as of March 29, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.