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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA ESG Select KPIs

Index Description

The STOXX USA ESG Select KPIs Indices offer a broad market exposure that tracks the performance of companies with superior environmental, social, and governance (ESG) KPIs. Companies are selected and weighted by five essential KPIs. The index includes ESG exclusion screens for Global Standards Screening, Controversial Weapons, Thermal Coal, Tobacco, Military Contracting, Small Arms, Oil Sands and ESG Controversies. KPI standardization by ICB industry and country-capping reduce unwanted systematic active exposures.

Key facts

  • Component selection and weighting based on the following KPIs: CDP emission/energy reduction target, percentage of women on the board, percentage of independent directors, strict policies against child labor, and against golden parachute agreement.
  • Companies that are involved in Coal Mining, Controversial Weapons, Product Involvement in Unconventional Oil & Gas, Thermal Coal, Small Arms, Military Contracting, Tobacco, Private Prisons, have a Controversy Rating, and those who are identified as non-compliant based on Sustainalytics Global Standards Screening assessment are excluded.
  • Tilt and capping methodology fixes the levels of active industry, country, and component exposures which in turn ensures low-tracking error compared to the respective benchmarks.
  • US and Global versions are available.

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 ESG Select KPIs 19,321.7 18,439.0 70.1 22.8 1,087.9 3.0 5.9 0.0 29.6
STOXX USA 900 48,413.2 46,475.0 51.6 15.3 3,074.3 2.2 6.6 0.0 2.7

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 ESG Select KPIs 5.5 7.0 31.4 39.8 105.4 N/A N/A 32.5 12.1 15.7
STOXX USA 900 5.6 7.2 30.0 34.3 95.5 N/A N/A 30.4 10.4 14.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA ESG Select KPIs N/A N/A 12.6 18.0 21.7 N/A N/A 1.9 0.5 0.6
STOXX USA 900 N/A N/A 12.7 18.0 21.7 N/A N/A 1.8 0.5 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA ESG Select KPIs 1.0 1.0 1.0 1.0 1.0 3.4 2.8 2.1 2.3 2.3
Index to benchmark Beta Annualized information ratio
STOXX USA ESG Select KPIs 1.0 0.9 1.0 1.0 1.0 -0.2 -0.3 0.2 0.3 0.1

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

2Based on EURIBOR1M

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA ESG Select KPIs

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 ESG Select KPIs 26.0 21.0 24.7 24.7 4.1 2.1 2.4 40.4
STOXX USA 900 27.5 21.6 25.2 25.2 4.5 2.1 2.6 31.5

Performance and annual returns

Methodology

In a first step, all companies that do not comply based on Sustainalytics Global Standards Screening assessment, are involved in Controversial Weapons, Unconventional Oil & Gas, Thermal Coal, Tobacco, Weapons, Private Prisons and Controversy Ratings, or are coal miners (ICB Subsector 60101040) are excluded from the universe (US companies in the STOXX Global 1800 Index).

Secondly, for all remaining companies, 5 KPIs are determined and standardized by industry (CDP emission/energy reduction target, percentage of women on the board, percentage of independent directors, policy against child labor, golden parachute agreement). The standardized KPIs are aggregated using a linear combination with coefficients.

Thirdly, the companies are then ranked by their aggregated ESG score and the top half will build the composition list. The companies on the composition list are grouped into quintiles by their respective aggregated ESG score and are assigned cap factors ranging from 1.5 (higher score) to 0.5 (lower score) in 0.25 increments.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return USD CH0325362934 SXEIMUGV SXEIMUGV INDEX .SXEIMUGV
Price EUR CH0325362884 SXEIMUP .SXEIMUP
Net Return EUR CH0325362892 SXEIMUR .SXEIMUR
Gross Return EUR CH0325362900 SXEIMUGR .SXEIMUGR
Price USD CH0325362918 SXEIMUL SXEIMUL INDEX .SXEIMUL
Net Return USD CH0325362926 SXEIMUV SXEIMUV INDEX .SXEIMUV

Quick Facts

Weighting Free-float market cap
Cap Factor 5%
No. of components Variable
Review frequency Quarterly
Calculation/distribution Dayend
Calculation hours 22:00:00 22:00:00
Base value/base date 1000 as of May 18, 2016
History Available from Sep. 17, 2010
Inception date June. 02, 2016
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA ESG Select KPIs

Top 10 Components4

Company Supersector Country Weight
META PLATFORMS CLASS A Technology USA 5.901%
Amazon.com Inc. Retail USA 5.410%
Microsoft Corp. Technology USA 5.013%
Apple Inc. Technology USA 4.183%
TESLA Automobiles and Parts USA 3.031%
JPMorgan Chase & Co. Banks USA 2.933%
Berkshire Hathaway Inc. Cl B Financial Services USA 2.905%
Exxon Mobil Corp. Energy USA 2.247%
VISA Inc. Cl A Industrial Goods and Services USA 2.036%
Johnson & Johnson Health Care USA 1.940%

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

4Based on the composition as of February 29, 2024