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THEME INDICES
EURO STOXX 50 ESG Filtered
Index Description
The EURO STOXX 50 ESG Filtered Index tracks the performance of the EURO STOXX 50 after a set of compliance, involvement and ESG screens are applied. Each exclusion is replaced by a EURO STOXX company with the highest free-float market capitalization from the same ICB Supersector as the excluded company.
Key facts
- ESG-screened version of one of Europe's flagship benchmarks, the EURO STOXX 50 Index.
- EURO STOXX 50 companies are excluded based on compliance, involvement and ESG screens that aim to reduce reputational and idiosyncratic risks.
- The excluded companies are replaced by eligible EURO STOXX companies from within the same ICB Supersector as the excluded companies.
- Suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives.
- Screening provided by award-winning ESG data provider ISS.
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 | |
EURO STOXX 50 ESG Filtered | 3,872.6 | 2,814.2 | 56.3 | 41.5 | 258.8 | 2.6 | 9.2 | 0.1 | 21.5 |
EURO STOXX 50 | 4,988.0 | 3,858.6 | 77.2 | 61.2 | 354.7 | 18.8 | 9.2 | 0.5 | 5.2 |
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 | |
EURO STOXX 50 ESG Filtered | 4.0 | 10.3 | 20.1 | 26.8 | 69.9 | N/A | N/A | 20.6 | 8.3 | 11.3 |
EURO STOXX 50 | 4.2 | 10.4 | 21.0 | 30.6 | 69.8 | N/A | N/A | 21.5 | 9.4 | 11.3 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
EURO STOXX 50 ESG Filtered | N/A | N/A | 15.6 | 22.6 | 23.3 | N/A | N/A | 1.0 | 0.3 | 0.4 |
EURO STOXX 50 | N/A | N/A | 15.2 | 22.1 | 23.7 | N/A | N/A | 1.1 | 0.3 | 0.4 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
EURO STOXX 50 ESG Filtered | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 1.8 | 2.1 | 2.1 | 2.7 | 3.0 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
EURO STOXX 50 ESG Filtered | 1.1 | 1.0 | 1.0 | 1.0 | 1.0 | -1.2 | -0.2 | -0.3 | -0.3 | 0.0 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(USD, Gross Return), all data as of March 29, 2024
THEME INDICES
EURO STOXX 50 ESG Filtered
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 | ||
EURO STOXX 50 ESG Filtered | 17.4 | 15.4 | 17.2 | 17.2 | 2.3 | 3.5 | 2.0 | 53.2 |
EURO STOXX 50 | 15.8 | 13.9 | 15.4 | 15.4 | 2.1 | 3.9 | 1.4 | 29.8 |
Performance and annual returns
Methodology
The EURO STOXX 50 ESG Filtered Index reflects the EURO STOXX 50 Index with ESG exclusion screens applied for Norms Based Screening, Human Rights controversy, Environmental Protection controversy, Controversial Weapons, Tobacco, Coal, Unconventional Oil and Gas, Fossil Fuels, Nuclear Power, Civilian Firearms, Military Contracting, emissions intensity and energy consumption intensity. Each exclusion is replaced by a EURO STOXX company with the highest market capitalization from the same ICB Supersector as the excluded company.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Gross Return EUR | CH0462362036 | SX5WESGF | .SX5WESGF | |
Price EUR | CH0462362044 | SX5PESGF | SX5PESGF INDEX | .SX5PESGF |
Net Return EUR | CH0462362028 | SX5RESGF | SX5RESGF INDEX | .SX5RESGF |
Price USD | CH0462362077 | SX5ZESGF | .SX5ZESGF | |
Net Return USD | CH0462362051 | SX5NESGF | .SX5NESGF | |
Gross Return USD | CH0462362069 | SX5TESGF | .SX5TESGF |
Quick Facts
Weighting | free-float market capitalization |
Cap Factor | All components are capped at a maximum weight of 10%. |
No. of components | 50 |
Review frequency | Quarterly |
Calculation/distribution | realtime 15 sec |
Calculation hours | 09:00:00 18:00:00 |
Base value/base date | 100 as of Mar. 20, 2017 |
History | Available from Mar. 20, 2017 |
Inception date | June. 27, 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
EURO STOXX 50 ESG Filtered
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
ASML HLDG | Technology | Netherlands | 9.196% |
LVMH MOET HENNESSY | Consumer Products and Services | France | 8.236% |
SAP | Technology | Germany | 7.514% |
SCHNEIDER ELECTRIC | Industrial Goods and Services | France | 4.609% |
ALLIANZ | Insurance | Germany | 4.176% |
L'OREAL | Consumer Products and Services | France | 4.063% |
SANOFI | Health Care | France | 4.002% |
HERMES INTERNATIONAL | Consumer Products and Services | France | 3.192% |
DEUTSCHE TELEKOM | Telecommunications | Germany | 2.994% |
BCO SANTANDER | Banks | Spain | 2.746% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of March 29, 2024