Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

Export PDF

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 3.8 10.0 16.6 16.9 48.3 N/A N/A 17.1 5.4 8.3
EURO STOXX 50 4.0 9.9 17.1 19.2 45.9 N/A N/A 17.5 6.1 7.9
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 0.8 0.2 0.3
EURO STOXX 50 N/A N/A 15.2 22.1 23.7 N/A N/A 0.8 0.2 0.3
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 ESG Filtered 1.0 1.0 1.0 1.0 1.0 1.7 2.0 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 -1.3 0.1 -0.2 -0.2 0.1

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

2Based on EURIBOR1M

(USD, Price), 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 2.7 2.0 53.2
EURO STOXX 50 15.8 13.9 15.4 15.4 2.1 3.0 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.

Versions and symbols

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.

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.

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

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.