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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES
STOXX PSBC China A ESG
Index Description
The STOXX PSBC China A ESG Index selects its components from the largest 300 securities by free float market capitalization in the STOXX China A 900 Index. The index targets a portfolio with superior ESG profile compared to the broad market, while maintaining similar risk characteristics. The index uses data from the International Institute of Green Finance (IIGF) to apply exclusionary screens. Companies that are assessed by IIGF to be non-compliant with the UN Global Compact Principles, or involved in controversial weapons, tobacco or thermal coal are not eligible for selection. The final selection and weights are then determined using Axioma's portfolio optimization software to maximize the overall IIGF ESG score of the index, subject to predicted risk, tradability, and diversification constraints.
Key facts
- Large cap securities from the STOXX China A 900 Index
- Selection and weights are derived through an optimization process with the goal of maximizing the portfolio ESG z-score
- Predicted risk, tradability and diversification constraints apply
- Axioma's portfolio optimization software used
- ESG data from the International Institute of Green Finance (IIGF)
Descriptive Statistics
Index | Market Cap (CNY bn) | Components (CNY bn) | Component weight (%) | Turnover (%) | |||||
---|---|---|---|---|---|---|---|---|---|
Full | Free-float | Mean | Median | Largest | Smallest | Largest | Smallest | Last 12 monts | |
STOXX PSBC China A ESG | N/A | 781.8 | 5.7 | 2.6 | 52.2 | 0.4 | 6.7 | 0.0 | 53.7 |
STOXX China A 900 | 47,423.9 | 22,473.8 | 25.0 | 12.6 | 1,037.9 | 5.7 | 4.6 | 0.0 | 7.5 |
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 PSBC China A ESG | -1.4 | -4.8 | -3.7 | -8.8 | 19.5 | N/A | N/A | -3.7 | -3.0 | 3.6 |
STOXX China A 900 | -0.9 | -4.1 | -2.6 | -14.8 | 10.3 | N/A | N/A | -2.6 | -5.2 | 2.0 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
STOXX PSBC China A ESG | N/A | N/A | 15.1 | 17.0 | 18.9 | N/A | N/A | -0.4 | -0.2 | 0.2 |
STOXX China A 900 | N/A | N/A | 14.3 | 16.7 | 19.2 | N/A | N/A | -0.4 | -0.3 | 0.1 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
STOXX PSBC China A ESG | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 2.0 | 3.0 | 3.6 | 4.4 | 4.5 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
STOXX PSBC China A ESG | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | -3.3 | -0.4 | -0.5 | 0.5 | 0.4 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(CNY, Price), all data as of September 29, 2023
ENVIRONMENTAL SOCIAL GOVERNANCE INDICES
STOXX PSBC China A ESG
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 PSBC China A ESG | 12.1 | 10.7 | 10.6 | 10.6 | 1.2 | 2.5 | 1.0 | 184.0 |
STOXX China A 900 | 15.4 | 12.4 | 13.1 | 13.1 | 1.4 | 2.1 | 1.0 | 42.8 |
Performance and annual returns
Methodology
The STOXX PSBC China A ESG index selects its components from the largest 300 securities by free float market capitalization in the STOXX China A 900 Index. Companies that are assessed by IIGF to be non-compliant with the UN Global Compact Principles, or involved in controversial weapons, tobacco or thermal coal are not eligible for selection.
The remaining securities are screened for their ESG scores, as sourced from IIGF. The portfolio construction is then performed using Axioma's portfolio optimization software using the Axioma China Medium Horizon Equity Factor Risk Model. The objective is to maximize the overall index ESG z-score of the index, subject to predicted risk, tradability and diversification constraints.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Price CNY | CH1159269047 | SPCESGN | .SPCESGN | |
Net Return CNY | CH1159268999 | SPCESGNN | .SPCESGNN | |
Gross Return CNY | CH1159269088 | SPCESGGN | SPCESGGN INDEX | .SPCESGGN |
Price EUR | CH1159269062 | SPCESGR | .SPCESGR | |
Net Return EUR | CH1159269013 | SPCESGNR | .SPCESGNR | |
Gross Return EUR | CH1159268981 | SPCESGGR | .SPCESGGR | |
Price JPY | CH1159269054 | SPCESGJ | .SPCESGJ | |
Net Return JPY | CH1159269005 | SPCESGNJ | .SPCESGNJ | |
Gross Return JPY | CH1159269096 | SPCESGGJ | .SPCESGGJ | |
Price USD | CH1159269039 | SPCESGV | .SPCESGV | |
Net Return USD | CH1159269070 | SPCESGNV | .SPCESGNV | |
Gross Return USD | CH1159268973 | SPCESGGV | .SPCESGGV |
Quick Facts
Weighting | Optimization |
No. of components | Variable |
Review frequency | Quarterly (Mar., Jun., Sep., Dec) |
Calculation/distribution | realtime 15 sec |
Calculation hours | 00:00:00 18:00:00 |
Base value/base date | 100 as of Dec. 19, 2016 |
History | Available since Dec. 19, 2016 |
Inception date | Jan. 21, 2022 |
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 PSBC China A ESG
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
Moutai 'A' | Food, Beverage and Tobacco | China | 6.674% |
Moutai 'A' | Food, Beverage and Tobacco | China | 6.674% |
NARI TECH.DEV. 'A' | Industrial Goods and Services | China | 5.325% |
NARI TECH.DEV. 'A' | Industrial Goods and Services | China | 5.325% |
CHINA YANGTZE PWR. 'A' | Utilities | China | 4.862% |
CHINA YANGTZE PWR. 'A' | Utilities | China | 4.862% |
INDSTRL & COML.BK.OF CHINA 'A' | Banks | China | 4.636% |
INDSTRL & COML.BK.OF CHINA 'A' | Banks | China | 4.636% |
LUZHOU LAO JIAO 'A' | Food, Beverage and Tobacco | China | 3.347% |
LUZHOU LAO JIAO 'A' | Food, Beverage and Tobacco | China | 3.347% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of September 29, 2023