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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global ESG Leaders

Index Description

The STOXX Global ESG Leaders indices consist of one broad and three specialized indices for the areas of environmental, social and governance. The three specialized indices form the broad STOXX Global ESG Leaders Index. The indices provide access to global sustainability leaders through quantitative selection. The sustainability data in environmental, social and governance areas are provided by Sustainalytics. The indices follow a bottom-up approach and are based on companies' ESG scores.

Key facts

  • Scoring methodology looks at each company individually and makes clear differentiations between different types of companies.
  • Specialized indices - STOXX Global ESG Environmental Leaders, Social Leaders and Governance Leaders - are also available separately and may be combined in all variations.
  • Methodology allows a detailed attribution of sustainability performance for index components and non-components.

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
STOXX Global ESG Leaders N/A 1.0 0.0 0.0 0.0 0.0 0.5 0.1 50.0
STOXX Global 1800 66,571.2 60,763.2 33.7 11.1 2,895.3 1.1 4.8 0.0 2.9

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 Global ESG Leaders 5.2 5.2 13.0 21.4 51.4 N/A N/A 13.3 6.8 8.7
STOXX Global 1800 3.4 11.4 26.1 39.5 86.3 N/A N/A 26.8 11.9 13.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global ESG Leaders N/A N/A 10.3 13.5 17.0 N/A N/A 0.9 0.4 0.5
STOXX Global 1800 N/A N/A 9.8 13.7 17.3 N/A N/A 2.2 0.7 0.7
Index to benchmark Correlation Tracking error (%)
STOXX Global ESG Leaders 0.7 0.5 0.6 0.7 0.8 6.6 8.7 8.9 11.1 11.3
Index to benchmark Beta Annualized information ratio
STOXX Global ESG Leaders 0.5 0.4 0.6 0.7 0.8 3.4 -2.8 -1.3 -0.5 -0.4

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

2Based on EURIBOR1M

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global ESG Leaders

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 Global ESG Leaders 22.6 13.2 14.2 14.2 1.4 4.1 1.0 46.2
STOXX Global 1800 23.7 19.4 21.8 21.8 3.2 2.6 2.2 2.3

Performance and annual returns

Methodology

The universe consists of all stocks in the STOXX Global 1800 Index. Companies that do not comply based on Sustainalytics Global Standards Screening assessment, ESG Controversies, ESG Risk Ratings, or are involved in Controversial Weapons, Tobacco, Thermal Coal, Unconventional Oil & Gas, Military Contracting, or Small Arms are excluded. Companies passing the initial selection criteria are ranked by STOXX according to a transparent evaluation system provided by Sustainalytics. The system ranges from 0 to 100 points and is applied for each category: environmental, social and governance. To be included in one of the specialized indices, e.g. the STOXX Global ESG Social Leaders Index, companies must score in the top quartile (25th percentile) in that category and get an above average score (50th percentile) in the other two (governance, environmental). Index components are weighted according to their ESG scores.
The detailed methodology including exclusion criteria and the calculation formula can be found in the ESG rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0126704151 SXWESGT SXWESGT INDEX .SXWESGT
Price EUR CH0126704110 SXWESGP SXWESGP INDEX .SXWESGP
Gross Return GBP CH0126704235 SXWESGZ SXWESGZ INDEX .SXWESGZ
Price GBP CH0126704193 SXWESGX SXWESGX INDEX .SXWESGX
Price USD CH0126704284 SXWESGK SXWESGK INDEX .SXWESGK
Gross Return USD CH0126704086 SXWESGU SXWESGU INDEX .SXWESGU

Quick Facts

Weighting Normalized ESG scores
Cap Factor N/A
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 22:15:00
Base value/base date 100 as of March. 25, 2011
History Available from Sep. 21, 2001
Inception date April. 04, 2011
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 Global ESG Leaders

Top 10 Components4

Company Supersector Country Weight
SIGNIFY Construction and Materials Netherlands 0.470%
UNICREDIT Banks Italy 0.458%
UNICREDIT Banks Germany 0.458%
SIEMENS ENERGY Energy Germany 0.458%
WORLDLINE Industrial Goods and Services France 0.457%
INTESA SANPAOLO Banks Italy 0.456%
DS SMITH Industrial Goods and Services UK 0.452%
COVIVIO Real Estate France 0.452%
BCO SABADELL Banks Spain 0.451%
DEXUS Real Estate Australia 0.442%

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

4Based on the composition as of March 29, 2024