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STRATEGY INDICES

STOXX Europe ESG Environmental Leaders Select 30 EUR

Index Description

The STOXX Select family of indices captures the performance of stocks with low volatility and high dividends, derived from established STOXX benchmark indices. The component selection process first excludes all stocks whose previous 3- and 12-month historical volatilities are the highest. Among the remaining stocks, the stocks with the highest 12-month historical dividend yield 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.

Key facts

  • Balanced approach between the different screenings
  • Lower volatility stocks get the highest weight
  • Liquid benchmark

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
STOXX Europe ESG Environmental Leaders Select 30 EUR N/A 1.0 0.0 0.0 0.0 0.0 4.6 2.4 136.4
STOXX Europe 600 13,764.4 10,882.5 18.1 6.2 383.4 1.1 3.5 0.0 3.3

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
STOXX Europe ESG Environmental Leaders Select 30 EUR 5.3 7.4 17.8 27.7 23.6 N/A N/A 18.3 8.6 4.4
STOXX Europe 600 4.2 7.8 15.7 30.8 57.4 N/A N/A 16.1 9.5 9.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe ESG Environmental Leaders Select 30 EUR N/A N/A 9.9 13.0 17.3 N/A N/A 1.4 0.5 0.2
STOXX Europe 600 N/A N/A 10.0 14.6 17.7 N/A N/A 1.2 0.5 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Europe ESG Environmental Leaders Select 30 EUR 0.2 0.6 0.8 0.8 0.9 7.9 7.3 6.6 7.8 7.9
Index to benchmark Beta Annualized information ratio
STOXX Europe ESG Environmental Leaders Select 30 EUR 0.2 0.7 0.8 0.8 0.9 1.7 -0.2 0.2 -0.2 -0.7

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

2Based on EURIBOR1M

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

STRATEGY INDICES

STOXX Europe ESG Environmental Leaders Select 30 EUR

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
STOXX Europe ESG Environmental Leaders Select 30 EUR 12.4 10.4 10.6 10.6 1.4 6.7 1.2 -53.5
STOXX Europe 600 17.3 14.1 15.1 15.1 2.0 3.7 1.4 19.8

Performance and annual returns

Methodology

All stocks in the relevant base universe are screened for 12-month historical daily pricing data and 12-month historical dividend yield. If one or both values are not available for a stock, the company is removed from the base universe.

All remaining stocks are then ranked in ascending order in terms of volatility (maximum between the 3-month and 12-month historical volatility calculated in the currency of the Select index) and all stocks which do not belong to the top x% are excluded (x being calculated as the square root of the number of stocks in the base universe divided by the target number of stocks in the Select index).

All remaining stocks are then ranked in descending order in terms of 12-month historical dividend yield and the top x% are selected to be included in the Select index. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The composition is reviewed quarterly.

The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/rulebooks.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0321940634 SEENVSEG .SEENVSEG
Price EUR CH0321940618 SEENVSEP SEENVSEP INDEX .SEENVSEP
Net Return EUR CH0321940626 SEENVSER .SEENVSER

Quick Facts

Weighting Volatility weighted
Cap Factor 10%
No. of components Fixed
Review frequency Quarterly
Calculation/distribution Price: real-time (every 15 seconds); Net and Gross Return: end-of-day
Calculation hours Please see data vendor codes sheet on www.stoxx.com/datavendorcodes
Base value/base date 100 as of Jun. 21, 2004
History Available from Jun. 21, 2004
Inception date Apr. 29, 2016

STRATEGY INDICES

STOXX Europe ESG Environmental Leaders Select 30 EUR

Top 10 Components4

Company Supersector Country Weight
SWISSCOM Telecommunications Switzerland 4.804%
IBERDROLA Utilities Spain 4.125%
Redeia Corporacion Utilities Spain 4.058%
ALLIANZ Insurance Germany 4.034%
ASSICURAZIONI GENERALI Insurance Italy 4.008%
ZURICH INSURANCE GROUP Insurance Switzerland 3.945%
TERNA Utilities Italy 3.898%
Naturgy Energy Group Utilities Spain 3.643%
SNAM RETE GAS Energy Italy 3.636%
AGEAS Insurance Belgium 3.406%

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

4Based on the composition as of March 29, 2024