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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Japan 600 ESG Target TE

Index Description

STOXX ESG Target TE Indices aim to minimize tracking error to the benchmark index while ensuring an improved ESG score. The weighting of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma�s Risk Model and Optimizer to construct the indices.

Key facts

  • STOXX ESG Target TE Indices minimize the tracking error to the benchmark index.
  • The aggregate ESG scores of the STOXX ESG Target TE Indices are substantially improved over the benchmark index.
  • Turnover is held to levels comparable to the benchmark index.

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Japan 600 ESG Target TE N/A 107.6 0.3 0.1 5.4 0.0 5.1 0.0 7.7
STOXX Japan 600 5,388.4 4,552.7 7.6 2.6 233.2 0.5 5.1 0.0 2.2

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 Japan 600 ESG Target TE 8.2 13.7 14.4 -0.5 21.0 N/A N/A 14.5 -0.2 3.9
STOXX Japan 600 8.0 13.9 14.6 0.3 20.4 N/A N/A 14.7 0.1 3.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Japan 600 ESG Target TE N/A N/A 16.0 17.6 17.8 N/A N/A 0.6 -0.1 0.2
STOXX Japan 600 N/A N/A 16.0 17.6 17.8 N/A N/A 0.6 -0.1 0.2
Index to benchmark Correlation Tracking error (%)
STOXX Japan 600 ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.6 0.5 0.5 0.5 0.6
Index to benchmark Beta Annualized information ratio
STOXX Japan 600 ESG Target TE 1.0 1.0 1.0 1.0 1.0 3.4 -0.2 -0.4 -0.6 0.2

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

2Based on EURIBOR1M

(USD, Net Return), all data as of November 30, 2023

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Japan 600 ESG Target TE

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 Japan 600 ESG Target TE 14.5 14.1 13.8 13.8 1.3 2.0 0.9 13.9
STOXX Japan 600 14.3 14.1 13.7 13.7 1.3 2.0 0.9 14.3

Performance and annual returns

Methodology

The weighting of each constituent security in STOXX ESG Target TE Indices is determined by optimization to minimize the tracking error to the benchmark index. In addition, the methodology constrains the ESG to a minimum value, quarterly turnover to a maximum value, and limits the active country and industry exposures.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0583522542 SJ6PETA SJ6PETA INDEX .SJ6PETA
Net Return EUR CH0583522500 SJ6RETA SJ6RETA INDEX .SJ6RETA
Gross Return EUR CH0583522484 SJ6WETA .SJ6WETA
Price JPY CH0583522534 SJ6ETA .SJ6ETA
Net Return JPY CH0583522401 SJ6NETA .SJ6NETA
Gross Return JPY CH0583522476 SJ6GETA .SJ6GETA
Price USD CH0583522575 SJ6LETA SJ6LETA INDEX .SJ6LETA
Net Return USD CH0583522765 SJ6VETA SJ6VETA INDEX .SJ6VETA
Gross Return USD CH0583522393 SJ6ZETA .SJ6ZETA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2047
Inception date Apr. 22, 2021
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Japan 600 ESG Target TE

Top 10 Components4

Company Supersector Country Weight
Toyota Motor Corp. Automobiles and Parts Japan 5.055%
Mitsubishi UFJ Financial Group Banks Japan 2.591%
SONY GROUP CORP. Consumer Products and Services Japan 2.464%
Keyence Corp. Industrial Goods and Services Japan 1.870%
Mitsubishi Corp. Industrial Goods and Services Japan 1.853%
Shin-Etsu Chemical Co. Ltd. Chemicals Japan 1.620%
Sumitomo Mitsui Financial Grou Banks Japan 1.611%
Nippon Telegraph & Telephone C Telecommunications Japan 1.586%
Hitachi Ltd. Industrial Goods and Services Japan 1.561%
Fast Retailing Co. Ltd. Retail Japan 1.471%

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

4Based on the composition as of November 30, 2023