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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 ESG Target

Index Description

STOXX ESG Target indices aim to provide a strong ESG tilt to the benchmark index while maintaining low tracking error to the benchmark index. The weight of each constituent security is determined through an optimization process that is designed to ensures diversification and uses Axioma's Risk Models and Optimizer.

Key facts

  • STOXX ESG Target Indices maximize the ESG tilt while keeping tracking error to the benchmark index below 1% .
  • The aggregate ESG scores of the STOXX ESG Target Indices are substantially improved over the benchmark index.
  • Turnover is held to levels comparable to the benchmark index.

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 Europe 600 ESG Target N/A 101.7 0.4 0.3 4.1 0.0 4.0 0.0 8.1
STOXX Europe 600 13,766.2 10,883.6 18.1 6.2 383.4 1.1 3.5 0.0 3.3

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 Europe 600 ESG Target 3.9 6.6 11.4 17.6 33.2 N/A N/A 11.7 5.6 6.0
STOXX Europe 600 3.7 7.0 12.0 19.3 35.2 N/A N/A 12.3 6.1 6.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 ESG Target N/A N/A 10.0 14.7 17.8 N/A N/A 0.8 0.3 0.3
STOXX Europe 600 N/A N/A 9.9 14.6 17.7 N/A N/A 0.9 0.3 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 ESG Target 1.0 1.0 1.0 1.0 1.0 1.1 1.2 1.0 1.1 1.3
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 ESG Target 1.0 1.0 1.0 1.0 1.0 2.5 -1.4 -0.5 -0.4 -0.2

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

2Based on EURIBOR1M

(EUR, Price), all data as of March 29, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 ESG Target

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 Europe 600 ESG Target 17.1 14.0 14.6 14.6 2.0 4.0 1.4 27.6
STOXX Europe 600 17.3 14.1 15.1 15.1 2.0 3.7 1.4 19.8

Performance and annual returns

Methodology

The weighting of each constituent security in STOXX ESG Target Indices is determined by optimization to maximize the ESG tilt to the benchmark index. In addition, the methodology constrains the tracking error to a maximum value, quarterly turnover to a maximum value, and limits the active country and industry exposures.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1105446814 SXXPEHA SXXPEHA INDEX .SXXPEHA
Net Return EUR CH1105447101 SXXREHA SXXREHA INDEX .SXXREHA
Gross Return EUR CH1105446996 SXXWEHA .SXXWEHA
Gross Return USD CH1105446871 SXXZEHA .SXXZEHA
Net Return USD CH1105446731 SXXVEHA SXXVEHA INDEX .SXXVEHA
Price USD CH1105446970 SXXLEHA SXXLEHA INDEX .SXXLEHA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2021
Inception date Apr. 22, 2021
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 Europe 600 ESG Target

Top 10 Components4

Company Supersector Country Weight
ASML HLDG Technology Netherlands 4.036%
NOVO NORDISK B Health Care Denmark 3.960%
SAP Technology Germany 2.299%
LVMH MOET HENNESSY Consumer Products and Services France 2.152%
NESTLE Food, Beverage and Tobacco Switzerland 2.141%
RELX PLC Media UK 2.013%
ASTRAZENECA Health Care UK 1.991%
ALLIANZ Insurance Germany 1.847%
ROCHE HLDG P Health Care Switzerland 1.812%
INTESA SANPAOLO Banks Italy 1.689%

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

4Based on the composition as of March 29, 2024