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THEME INDICES

EURO STOXX Low Carbon

Index Description

These STOXX Low Carbon indices cover benchmark indices and the blue-chip index EURO STOXX 50. By utilizing both estimated and reported carbon intensity scores, this index family represents broad indices with a variable number of components, covering the regions Global, Europe, Eurozone, USA and Japan. These indices closely track the risk-return profile of the underlying benchmark indices while offering a reduction in carbon emissions in the overall portfolio of constituents by overweighting lower carbon emitters, while underweighting higher carbon emitters. STOXX uses CDP and ISS ESG as reliable and professional data sources for the estimated and reported data. Data considered comprise Scope 1 (All direct GHG emissions) and Scope 2 (Indirect GHG emissions from consumption of purchased electricity, heat or steam) emissions.

Key facts

  • Derived from STOXX broad, yet liquid broad indices to ensure tradability.
  • As indices derived from those well-known broad indices, investor can easily use it for benchmark purposes.
  • Comprehensive offering by covering global regions, Europe, Eurozone and USA.
  • Usage of a reliable data sources: CDP for reported data.
  • Only companies with reported data are available for selection.

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
EURO STOXX Low Carbon N/A 103.4 0.4 0.1 6.2 0.0 6.0 0.0 4.1
EURO STOXX 7,261.7 5,217.2 17.7 6.7 321.8 1.6 6.2 0.0 4.0

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 Low Carbon 2.3 2.3 11.3 33.5 59.3 N/A N/A 11.5 10.2 9.9
EURO STOXX 2.0 2.0 11.4 34.6 60.0 N/A N/A 11.6 10.5 10.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Low Carbon N/A N/A 13.1 17.1 19.8 N/A N/A 0.6 0.5 0.5
EURO STOXX N/A N/A 13.0 16.9 19.7 N/A N/A 0.6 0.5 0.5
Index to benchmark Correlation Tracking error (%)
EURO STOXX Low Carbon 1.0 1.0 1.0 1.0 1.0 0.8 0.8 0.8 0.9 0.9
Index to benchmark Beta Annualized information ratio
EURO STOXX Low Carbon 1.0 1.0 1.0 1.0 1.0 5.6 5.6 -0.1 -0.3 -0.1

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of January 31, 2024

THEME INDICES

EURO STOXX Low Carbon

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 Low Carbon 16.8 13.4 14.2 14.2 1.8 3.5 1.2 16.5
EURO STOXX 16.0 12.6 13.5 13.5 1.7 3.6 1.1 16.8

Performance and annual returns

Methodology

Base universe is the STOXX Global 1800 Index, excluding stocks from ICB subsector Coal (ICB Code 60101040). Only those stocks with reported or estimated low carbon emission data are eligible for inclusion. STOXX uses estimated and reported Carbon Intensity data ((Scope 1 + Scope 2 emission data) / Revenue in $ million) provided by our research partner CDP and ISS ESG. The remaining stocks are sorted by ICB Supersector and a Z-score per supersector is calculated. For the EURO STOXX 50 Low Carbon index, a Z-Score is calculated for the population. Indices are price weighted with a weight factor based on the free-float market capitalization multiplied by the corresponding Z-score carbon intensity factor of each constituent. The resulting tilt overweights stocks with lower carbon intensities and underweights those with higher emissions. Individual components are subject to a 5% cap.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0304745505 SXEZCEG .SXEZCEG
Price EUR CH0304745463 SXEZCEP SXEZCEP INDEX .SXEZCEP
Price USD CH0304745471 SXEZCUP .SXEZCUP
Net Return EUR CH0304745489 SXEZCEN .SXEZCEN
Net Return USD CH0304745497 SXEZCUN .SXEZCUN
Gross Return USD CH0304745513 SXEZCUG .SXEZCUG

Quick Facts

Weighting Price weighted; weight factor based on FF M-cap multiplied by Z-score carbon intensity factor of each constituent.
Cap Factor 5% on component level
No. of components Variable
Review frequency Components: Annually. Shares, Free Float and Weight Factor: Quarterly
Calculation/distribution See https://www.stoxx.com/data-vendor-codes
Calculation hours End-of-day
Base value/base date 100 on Dec. 19, 2011
History Yes
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 Low Carbon

Top 10 Components4

Company Supersector Country Weight
ASML HLDG Technology Netherlands 5.965%
LVMH MOET HENNESSY Consumer Products and Services France 4.142%
SAP Technology Germany 3.567%
L'OREAL Consumer Products and Services France 3.141%
SIEMENS Industrial Goods and Services Germany 2.718%
SANOFI Health Care France 2.446%
SCHNEIDER ELECTRIC Industrial Goods and Services France 2.275%
DEUTSCHE TELEKOM Telecommunications Germany 2.045%
TOTALENERGIES Energy France 1.915%
AIRBUS Industrial Goods and Services France 1.841%

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

4Based on the composition as of January 31, 2024