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THEME INDICES
STOXX Europe 50 ESG+
Index Description
The STOXX Europe 50 ESG+ Index reflects the STOXX Europe 50 Index after a set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the ISS-ESG Norms Based Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms, and Military Contracting. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial STOXX Europe 50 components are excluded. Each exclusion is replaced by a STOXX Europe 600 company with a higher ESG score from the same ICB Supersector as the excluded company. The index is free-float market capitalization weighted with cap factors imposed on the index components such that the index achieves an overall ESG score that exceeds that of the STOXX Europe 50 Index excluding its worst 22% ESG scorers.
Key facts
- ESG screened versions of STOXX Benchmark Indices
- Indices achieve an overall ESG score that exceeds the underlying
- Screening provided by award-winning ESG data provider ISS
- Transparent free-float market-cap weighting scheme
- Suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives
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 50 ESG+ | 5,479.4 | 4,651.9 | 93.0 | 69.8 | 383.4 | 9.0 | 8.2 | 0.2 | 23.5 |
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 50 ESG+ | 3.4 | 9.2 | 17.1 | 46.8 | 77.1 | N/A | N/A | 17.5 | 13.8 | 12.3 |
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 50 ESG+ | N/A | N/A | 10.2 | 13.8 | 16.4 | N/A | N/A | 1.3 | 0.8 | 0.7 |
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 50 ESG+ | 0.9 | 0.9 | 0.9 | 1.0 | 1.0 | 3.8 | 3.5 | 3.9 | 4.1 | 4.6 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
STOXX Europe 50 ESG+ | 1.2 | 1.0 | 0.9 | 0.9 | 0.9 | -2.4 | 1.5 | 0.3 | 0.9 | 0.5 |
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
THEME INDICES
STOXX Europe 50 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 Europe 50 ESG+ | 17.2 | 16.2 | 17.2 | 17.2 | 2.8 | 3.3 | 2.4 | 18.5 |
STOXX Europe 600 | 17.3 | 14.1 | 15.1 | 15.1 | 2.0 | 3.7 | 1.4 | 19.8 |
Performance and annual returns
Methodology
The STOXX Europe 50 ESG+ Index reflects the STOXX Europe 50 Index after a set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the ISS-ESG Norms Based Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms, and Military Contracting. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial STOXX Europe 50 components are excluded. Each exclusion is replaced by a STOXX Europe 600 company with a higher ESG score from the same ICB Supersector as the excluded company. The index is free-float market capitalization weighted with cap factors imposed on the index components such that the index achieves an overall ESG score that exceeds that of the STOXX Europe 50 Index excluding its worst 22% ESG scorers.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Gross Return EUR | CH1169655870 | SX5GESGP | .SX5GESGP | |
Net Return EUR | CH1169655862 | SX5NESGP | SX5NESGP INDEX | .SX5NESGP |
Price EUR | CH1169655888 | SX5PESGP | .SX5PESGP | |
Net Return USD | CH1169655896 | SX5ZESGP | .SX5ZESGP | |
Gross Return USD | CH1169655904 | SX5LESGP | .SX5LESGP | |
Price USD | CH1169655912 | SX5VESGP | .SX5VESGP |
Quick Facts
Weighting | Free-float market capitalization |
No. of components | 50 |
Review frequency | Quarterly |
Calculation/distribution | Realtime 15sec |
Calculation hours | 09:00:00 18:00:00 |
Base value/base date | 100 as of March. 20, 2017 |
History | Available from March. 20, 2017 |
Inception date | July. 21, 2022 |
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet. |
THEME INDICES
STOXX Europe 50 ESG+
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
NOVO NORDISK B | Health Care | Denmark | 8.241% |
ASML HLDG | Technology | Netherlands | 7.664% |
NESTLE | Food, Beverage and Tobacco | Switzerland | 5.536% |
LVMH MOET HENNESSY | Consumer Products and Services | France | 4.521% |
SAP | Technology | Germany | 4.209% |
ASTRAZENECA | Health Care | UK | 4.162% |
NOVARTIS | Health Care | Switzerland | 3.957% |
ROCHE HLDG P | Health Care | Switzerland | 3.566% |
HSBC | Banks | UK | 2.909% |
SIEMENS | Industrial Goods and Services | Germany | 2.849% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of March 29, 2024