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BENCHMARK INDICES

STOXX USA 500 Climate Transition Benchmark

Index Description

The STOXX Climate Transition Benchmark Indices are based on liquid securities from a selection of STOXX Benchmark Indices. They follow EU Climate Transition Benchmark (EU CTB) requirements outlined by the European Commission on climate benchmarks. Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment or are involved in Controversial Weapons are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15. The weighing process follows an optimization process with the aim to reduce their greenhouse gas intensity by at least 30% when compared to their underlying benchmarks. They are also designed to meet the year on year 7% decarbonization target.

Key facts

  • The indices are designed to help investors shift towards a low-carbon economy and align investments to the Paris Climate Agreement
  • Scope 1, Scope 2 and Scope 3 are used across all sectors from the first date of the index construction
  • The indices aim to reduce their greenhouse gases emission intensity by at least 30% when compared to their underlying benchmarks
  • Sectors key to the low-carbon transition, high climate impact sectors, are not underweighted relative to the underlying benchmarks
  • The STOXX Climate Transition Benchmark Indices are designed to meet the year on year 7% decarbonization target
  • Indices overweight securities with concrete targets and emission reduction targets verified by the Science Based Target initiative (SBTi)

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 USA 500 Climate Transition Benchmark N/A 109.9 0.2 0.0 5.1 0.0 4.6 0.0 20.9
STOXX USA 500 46,254.4 44,535.9 88.9 37.8 3,126.9 12.0 7.0 0.0 2.9

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 USA 500 Climate Transition Benchmark 1.5 8.7 28.1 34.1 100.1 N/A N/A 28.6 10.3 15.0
STOXX USA 500 3.0 10.5 30.0 33.7 96.5 N/A N/A 30.5 10.2 14.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 Climate Transition Benchmark N/A N/A 12.3 18.1 21.7 N/A N/A 1.9 0.5 0.6
STOXX USA 500 N/A N/A 11.8 17.7 21.5 N/A N/A 2.0 0.5 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 Climate Transition Benchmark 1.0 1.0 1.0 1.0 1.0 2.5 2.0 2.4 2.3 2.2
Index to benchmark Beta Annualized information ratio
STOXX USA 500 Climate Transition Benchmark 1.0 1.0 1.0 1.0 1.0 -7.8 -3.3 -0.6 0.1 0.2

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

2Based on EURIBOR1M

(USD, Net Return), all data as of March 29, 2024

BENCHMARK INDICES

STOXX USA 500 Climate Transition Benchmark

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 USA 500 Climate Transition Benchmark 32.2 22.6 30.9 30.9 6.1 1.3 2.8 30.0
STOXX USA 500 28.4 22.6 26.7 26.7 4.9 1.4 2.9 1.6

Performance and annual returns

Methodology

The STOXX Climate Transition Benchmark Indices are based on liquid securities from a selection of STOXX Benchmark Indices. They follow EU Climate Transition Benchmark (EU CTB) requirements outlined by the European Commission on climate benchmarks.

Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment or are involved in Controversial Weapons are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15.

The weighing process follows an optimization process with the aim to reduce their greenhouse gas intensity by at least 30% when compared to their underlying benchmarks. They are also designed to meet the year on year 7% decarbonization target.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0545171073 SX50WCTB .SX50WCTB
Price EUR CH0545171446 SX50PCTB SX50PCTB INDEX .SX50PCTB
Net Return EUR CH0545171354 SX50RCTB SX50RCTB INDEX .SX50RCTB
Gross Return USD CH0545171313 SX50ZCTB .SX50ZCTB
Net Return USD CH0545171255 SX50VCTB SX50VCTB INDEX .SX50VCTB
Price USD CH0545171206 SX50LCTB SX50LCTB INDEX .SX50LCTB

Quick Facts

Weighting Optimization
Cap Factor 0.045
No. of components Variable
Review frequency Reviewed annually in March and rebalanced quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 15:30:00 22:15:00
Base value/base date 100 as of March 19, 2018
History Available from Mar. 19, 2018
Inception date May. 27, 2020
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.

BENCHMARK INDICES

STOXX USA 500 Climate Transition Benchmark

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 4.603%
Apple Inc. Technology USA 4.542%
NVIDIA Corp. Technology USA 3.943%
VISA Inc. Cl A Industrial Goods and Services USA 3.590%
ALPHABET CLASS C Technology USA 3.309%
META PLATFORMS CLASS A Technology USA 3.075%
MasterCard Inc. Cl A Industrial Goods and Services USA 2.815%
Merck & Co. Inc. Health Care USA 2.474%
Johnson & Johnson Health Care USA 2.360%
TESLA Automobiles and Parts USA 2.289%

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.