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BLUE CHIP INDICES

DAX 50 ESG

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Index Description

The selection universe for the DAX® 50 ESG index is the HDAX® index, which comprises all equities that belong to either the DAX®, MDAX® or TecDAX® indices. From this universe, the DAX® 50 ESG tracks the performance of the 50 largest, most liquid German market stocks that have passed standardized ESG screens related to ISS ESG's Norms-based screening, as well as the involvement in controversial weapons, tobacco production, fossil fuels, thermal coal, nuclear power and military contracting, and feature comparably good performance based on their Environmental, Social and Governance criteria. Selected components are weighted by free-floatmarket capitalization, subject to a 7% component cap. This index applies screens in alignment with the ESMA guidelines on funds’ names and the BSW sustainable finance codex using ESG or sustainability-related terms. Index Guides, Benchmark statement, and other reports are available under the Data tab.

Key facts

  • The index consists of 50 large ESG screened German stocks listed on FWB Frankfurt Stock Exchange
  • The sustainability screens applied are based on responsible policies and aim to reduce reputational and idiosyncratic risks
  • Screening is provided by award winning ESG data provider ISS
  • The index benefits from a transparent free float market cap weighting scheme, similar to the parent index
  • The index is suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives (e.g. DAX 50 ESG index futures and options are traded on Eurex)

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
DAX 50 ESG 1,231.2 946.7 18.9 12.3 67.3 1.4 7.1 0.1 9.0
HDAX 1,929.2 1,487.4 14.6 4.2 149.9 0.2 10.1 0.0 5.6

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
DAX 50 ESG 1.1 11.9 11.9 N/A N/A N/A N/A 12.2 N/A N/A
HDAX 0.9 12.1 12.1 N/A N/A N/A N/A 12.4 N/A N/A
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
DAX 50 ESG N/A N/A 12.1 17.4 20.8 N/A N/A 0.7 0.0 0.2
HDAX N/A N/A 12.1 17.3 20.6 N/A N/A 0.7 0.0 0.1
Index to benchmark Correlation Tracking error (%)
DAX 50 ESG 1.0 1.0 1.0 1.0 1.0 2.0 2.3 2.3 2.2 2.3
Index to benchmark Beta Annualized information ratio
DAX 50 ESG 1.0 1.0 1.0 1.0 1.0 1.9 -0.1 -0.1 -0.1 0.3

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

2Based on EURIBOR1M

(EUR, Price), all data as of December 30, 2024

BLUE CHIP INDICES

DAX 50 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
DAX 50 ESG 16.5 13.3 14.5 13.3 1.3 2.9 0.7 15.7
HDAX 19.2 14.3 16.1 14.1 1.6 N/A 0.9 -1.8

Performance and annual returns

Methodology

The DAX 50 ESG index uses ISS ESG data to exclude companies involved in controversial business activities based on maximum revenue share estimates. Exclusions apply to companies with: any revenue from tobacco production; ≥5% from tobacco services or distribution; any revenue from coal exploration, mining, coke processing, coal-to-liquids, or gasification; ≥1% from coal marketing; ≥5% from coal-based power generation; ≥5% from oil and gas extraction, refining, or gas-to-liquids; ≥10% from oil extraction, refining, and distribution; ≥50% from natural gas extraction, processing, and distribution; ≥50% from electricity generation with GHG intensity >100g CO₂e/kWh; any revenue from arctic drilling, oil sands, or hydraulic fracturing; ≥5% from nuclear power generation, uranium activities, or nuclear services; any revenue from civilian firearm production or services; ≥5% from firearm distribution; and ≥5% from military equipment and services. Selection lists are generated monthly based on eligibility criteria and include only companies with complete ESG and product involvement data. Free-float market capitalization is calculated using the 20-trading-day volume-weighted average price (VWAP) on Xetra. ESG scores of zero are assigned to companies with missing data. Companies with identical ESG scores receive the same rank. From the eligible universe, the top 60 companies by free-float market cap are shortlisted, and the 30 with the highest ISS ESG Performance Scores are selected. If two companies share the same ESG score, the one with the higher market cap is chosen.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR DE000A0S3E04 DAXESGK DAXESGK INDEX .DAXESGK
Total Return EUR DE000A0Z3NB0 DAXESG DAXESG INDEX .DAXESG
Net Return EUR DE000A0S3E20 DAXESGN DAXESGN INDEX .DAXESGN
Price USD DE000A0S3E61 DXESGPUS .DAXESGKU
Net Return USD DE000A0S3E87 DXESGNUS .DAXESGNU
Total Return USD DE000A0S3E46 DAXESGUS .DAXESGU

Quick Facts

Weighting Free-float market cap
Cap Factor 0.07
No. of components 50
Review frequency Quarterly
Calculation/distribution realtime, 1 sec
Calculation hours 9:00 - 18:00 CET
Base value/base date 1,000 as of Sep. 24, 2012
History Available since Mar. 4, 2020
Inception date Mar. 4, 2020
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
ALLIANZ Insurance Germany 7.106%
SAP Technology Germany 7.036%
SIEMENS Industrial Goods and Services Germany 6.989%
DEUTSCHE TELEKOM Telecommunications Germany 6.938%
MUENCHENER RUECK Insurance Germany 6.883%
ADIDAS Consumer Products and Services Germany 4.503%
DEUTSCHE BOERSE Financial Services Germany 4.424%
INFINEON TECHNOLOGIES Technology Germany 4.332%
BASF Chemicals Germany 4.003%
MERCEDES-BENZ GROUP Automobiles and Parts Germany 3.937%

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

4Based on the composition as of December 30, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.