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ISTOXX INDICES

iSTOXX North America ESG Select 30

Index Description

The iSTOXX North America ESG Select 30 Index gathers all North American stocks from the STOXX Global ESG Leaders Index with low volatility and high dividend yields. The STOXX Global ESG Leaders Index offers a representation of the leading global companies in terms of environmental, social and governance criteria, based on ESG indicators provided by Sustainalytics. All North American stocks from the STOXX Global ESG Leaders index are screened for their dividend yield and volatility. Those with the best set of data are selected for inclusion.

Key facts

  • Hybrid strategy in the ESG space
  • Independent provider of sustainability data (Sustainalytics)
  • Suitable for structured products

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
iSTOXX North America ESG Select 30 N/A 1.0 0.0 0.0 0.0 0.0 4.3 2.4 109.3
STOXX Global ESG Leaders N/A 1.0 0.0 0.0 0.0 0.0 0.5 0.1 59.4

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
iSTOXX North America ESG Select 30 2.1 1.7 4.9 41.5 47.1 N/A N/A 4.9 12.4 8.1
STOXX Global ESG Leaders 0.4 0.0 3.9 24.1 46.1 N/A N/A 3.9 7.5 8.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX North America ESG Select 30 N/A N/A 13.0 14.0 18.7 N/A N/A 0.0 0.7 0.4
STOXX Global ESG Leaders N/A N/A 11.4 13.5 17.0 N/A N/A 0.0 0.4 0.4
Index to benchmark Correlation Tracking error (%)
iSTOXX North America ESG Select 30 0.8 0.5 0.5 0.5 0.7 6.9 9.5 11.9 14.1 14.5
Index to benchmark Beta Annualized information ratio
iSTOXX North America ESG Select 30 1.1 0.7 0.6 0.5 0.7 3.0 1.1 0.0 0.2 0.0

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of February 29, 2024

ISTOXX INDICES

iSTOXX North America ESG Select 30

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
iSTOXX North America ESG Select 30 18.0 13.6 16.8 16.8 1.9 4.2 1.7 20.6
STOXX Global ESG Leaders 21.0 12.7 13.6 13.6 1.4 3.8 1.1 28.1

Performance and annual returns

Methodology

At each review date, all North American stocks are screened for their one-year historical dividend yield and one-year historical volatility. For each company, a score is calculated as following: rank its dividend yield in descending order, rank its volatility in ascending order, calculate the average of both ranks. Thirty companies with the highest score (i.e. the highest average of both ranks) are included in the index.

Each component has a volatility weighting, with a 10% capping at the component level.

The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/rulebook

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return USD CH0321941038 SXAESLEH .SXAESLEH
Price EUR CH0321940980 SXAESLEP SXAESLEP INDEX .SXAESLEP
Net Return EUR CH0321940998 SXAESLEN .SXAESLEN
Gross Return EUR CH0321941004 SXAESLEG .SXAESLEG
Price USD CH0321941012 SXAESLEL SXAESLEL INDEX .SXAESLEL
Net Return USD CH0321941020 SXAESLEV .SXAESLEV

Quick Facts

Weighting Volatility weighted
Cap Factor 10%
No. of components 30
Review frequency Annually
Calculation/distribution Price, Net Return and Gross Return in EUR and USD
Calculation hours Real-time for Price; end-of-day for Net and Gross Return
Base value/base date 100 as of Jun. 21, 2004
History Available from Jun. 21, 2004
Inception date Apr. 29, 2016

ISTOXX INDICES

iSTOXX North America ESG Select 30

Top 10 Components4

Company Supersector Country Weight
Coca-Cola Europacific Partners Food, Beverage and Tobacco USA 4.312%
Sun Life Financial Inc. Insurance Canada 4.246%
Manulife Financial Corp. Insurance Canada 4.152%
Amdocs Ltd. Technology USA 4.130%
Otis Worldwide Industrial Goods and Services USA 3.963%
PEMBINA PIPELINE CORP Energy Canada 3.600%
Bank of Montreal Banks Canada 3.592%
Bank of Nova Scotia Banks Canada 3.569%
Becton Dickinson & Co. Health Care USA 3.529%
Williams Cos. Energy USA 3.496%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of February 29, 2024