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BENCHMARK INDICES

EURO STOXX Paris-Aligned Benchmark

Index Description

The STOXX Paris-Aligned Benchmark Indices are based on liquid securities from a selection of STOXX Benchmark Indices. They follow the EU Paris-Aligned Benchmark (EU PAB) requirements outlined by the European Commission on climate benchmarks. Companies identified as non-compliant based on their Global Standards Screening (GSS) assessment or are involved in Controversial Weapons or Tobacco Production are not eligible for selection. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities, or from fossil fuel-based power generation are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15. The weighing process follows an optimization process with the aim to reduce their greenhouse gas intensity by at least 50% when compared to their underlying benchmarks and to meet the year on year 7% decarbonization target.

Key facts

  • The indices are designed to help investors shift towards a low-carbon economy and align investments to the Paris Climate Agreement
  • Scope 1, Scope 2 and Scope 3 are used across all sectors from the first date of the index construction
  • The indices aim to reduce their greenhouse gases emission intensity by at least 50% when compared to their underlying benchmarks
  • Sectors key to the low-carbon transition, high climate impact sectors, are not underweighted relative to the underlying benchmarks
  • The STOXX Paris-Aligned Benchmark Indices are designed to meet the year on year 7% decarbonization target
  • Indices overweight securities with concrete targets and emission reduction targets verified by the Science Based Target initiative (SBTi)

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 Paris-Aligned Benchmark N/A 101.2 0.4 0.1 4.7 0.0 4.7 0.0 12.8
EURO STOXX 7,137.6 5,119.1 17.5 6.5 274.8 1.9 5.4 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 Paris-Aligned Benchmark 3.1 18.6 18.6 24.8 63.3 N/A N/A 18.9 7.7 10.4
EURO STOXX 3.2 18.6 18.6 27.5 61.2 N/A N/A 18.9 8.5 10.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Paris-Aligned Benchmark N/A N/A 13.4 16.8 19.2 N/A N/A 0.9 0.4 0.5
EURO STOXX N/A N/A 13.3 17.0 19.7 N/A N/A 0.9 0.4 0.5
Index to benchmark Correlation Tracking error (%)
EURO STOXX Paris-Aligned Benchmark 1.0 1.0 1.0 1.0 1.0 1.6 2.7 2.7 2.6 2.6
Index to benchmark Beta Annualized information ratio
EURO STOXX Paris-Aligned Benchmark 94.3 98.4 98.4 98.0 96.4 -1.2 0.0 0.0 -0.3 0.0

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of December 29, 2023

BENCHMARK INDICES

EURO STOXX Paris-Aligned Benchmark

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 Paris-Aligned Benchmark 18.4 15.7 16.9 16.9 2.1 2.5 1.5 15.0
EURO STOXX 15.6 12.4 13.1 13.1 1.7 2.9 1.1 10.2

Performance and annual returns

Methodology

The STOXX Paris-Aligned Benchmark Indices are based on liquid securities from a selection of STOXX Benchmark Indices. They follow the EU Paris-Aligned Benchmark (EU PAB) requirements outlined by the European Commission on climate benchmarks.

Companies identified as non-compliant based on their Global Standards Screening (GSS) assessment or are involved in Controversial Weapons or Tobacco Production are not eligible for selection. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities, or from fossil fuel-based power generation are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDGs 12,13,14 and 15.

The weighing process follows an optimization process with the aim to reduce their greenhouse gas intensity by at least 50% when compared to their underlying benchmarks and to meet the year on year 7% decarbonization target.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0545171685 SXXEPAB SXXEPAB INDEX .SXXEPAB
Net Return USD CH0545171362 SXXUPAB .SXXUPAB
Net Return EUR CH0545171420 SXXTPAB SXXTPAB INDEX .SXXTPAB
Gross Return EUR CH0545171578 SXXGTPAB .SXXGTPAB
Price USD CH0545171644 SXXKPAB .SXXKPAB
Gross Return USD CH0545171610 SXXGUPAB .SXXGUPAB

Quick Facts

Weighting Optimization
Cap Factor 0.045
No. of components Variable
Review frequency Reviewed annually in March and rebalanced quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of March 19, 2018
History Available from Mar. 19, 2018
Inception date May. 27, 2020
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

BENCHMARK INDICES

EURO STOXX Paris-Aligned Benchmark

Top 10 Components4

Company Supersector Country Weight
SANOFI Health Care France 0.0469192
ASML HLDG Technology Netherlands 0.0468981
L'OREAL Consumer Products and Services France 0.0456898
LVMH MOET HENNESSY Consumer Products and Services France 0.0456023
HERMES INTERNATIONAL Consumer Products and Services France 0.0436954
SAP Technology Germany 0.0421790
IBERDROLA Utilities Spain 0.0356289
DEUTSCHE TELEKOM Telecommunications Germany 0.0300598
AIR LIQUIDE Chemicals France 0.0295743
DEUTSCHE POST Industrial Goods and Services Germany 0.0258464

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

4Based on the composition as of December 29, 2023