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THEME INDICES
STOXX Europe 600 ESG+
Index Description
The STOXX Europe 600 Plus Index tracks the performance of the STOXX Europe 600 after a set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the ISS-ESG Norms Based Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms, and Military Contracting. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX Europe 600 Plus Index select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.
Key facts
- ESG screened versions of STOXX Benchmark Indices
- Indices select 80% of the securities from underlying indices
- Screening provided by ISS ESG
- Transparent free-float market-cap weighting scheme
- Suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives
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 Europe 600 ESG+ | 12,744.0 | 10,073.3 | 21.0 | 7.5 | 414.1 | 1.2 | 4.1 | 0.0 | 6.6 |
STOXX Europe 600 | 14,865.5 | 11,753.1 | 19.6 | 6.7 | 414.1 | 1.2 | 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+ | 3.6 | 5.4 | 14.7 | 19.8 | 55.8 | N/A | N/A | 15.0 | 6.3 | 9.4 |
STOXX Europe 600 | 4.0 | 5.4 | 15.0 | 20.2 | 51.4 | N/A | N/A | 15.4 | 6.4 | 8.8 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
STOXX Europe 600 ESG+ | N/A | N/A | 13.4 | 18.8 | 20.2 | N/A | N/A | 0.8 | 0.3 | 0.4 |
STOXX Europe 600 | N/A | N/A | 13.3 | 18.8 | 20.4 | N/A | N/A | 0.8 | 0.3 | 0.4 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
STOXX Europe 600 ESG+ | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 0.8 | 0.8 | 0.9 | 1.3 | 1.4 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
STOXX Europe 600 ESG+ | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | -5.5 | 0.0 | -0.4 | -0.1 | 0.4 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(USD, Gross Return), all data as of March 29, 2024
THEME INDICES
STOXX Europe 600 ESG+
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+ | 16.7 | 14.4 | 15.1 | 15.1 | 2.0 | 3.7 | 1.5 | 21.8 |
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 STOXX Europe 600 Plus Index tracks the performance of the STOXX Europe 600 after a set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the ISS-ESG Norms Based Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms, and Military Contracting. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX Europe 600 Plus Index select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Gross Return EUR | CH0462361798 | SXXWESGP | .SXXWESGP | |
Price EUR | CH0462361806 | SXXPESGP | .SXXPESGP | |
Net Return EUR | CH0462361772 | SXXRESGP | SXXRESGP INDEX | .SXXRESGP |
Gross Return USD | CH0462361780 | SXXZESGP | .SXXZESGP | |
Price USD | CH0462361814 | SXXLESGP | .SXXLESGP | |
Net Return USD | CH0462361764 | SXXVESGP | .SXXVESGP |
Quick Facts
Weighting | Free-float market capitalization |
Cap Factor | All components are capped at a maximum weight of 10% |
No. of components | 480 |
Review frequency | Quarterly |
Calculation/distribution | realtime 15 sec |
Calculation hours | 09:00:00 18:00:00 |
Base value/base date | 100 as of Mar. 20, 2017 |
History | Available from Mar. 20, 2017 |
Inception date | May. 31, 2022 |
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet. |
THEME INDICES
STOXX Europe 600 ESG+
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
NOVO NORDISK B | Health Care | Denmark | 4.110% |
ASML HLDG | Technology | Netherlands | 3.822% |
NESTLE | Food, Beverage and Tobacco | Switzerland | 2.817% |
LVMH MOET HENNESSY | Consumer Products and Services | France | 2.301% |
SAP | Technology | Germany | 2.099% |
ASTRAZENECA | Health Care | UK | 2.076% |
NOVARTIS | Health Care | Switzerland | 1.973% |
ROCHE HLDG P | Health Care | Switzerland | 1.778% |
HSBC | Banks | UK | 1.480% |
SIEMENS | Industrial Goods and Services | Germany | 1.421% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of March 29, 2024