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BLUE CHIP INDICES

DAX ESG Screened

Index Description

The objective of the DAX ESG Screened index is to reflect the performance of the DAX index, Germany’s national benchmark, while using ESG exclusion filters to remove companies that fail to meet norms-based screening, controversial weapons screening, minimum ESG ratings and a series of business activity screenings. Removed companies are not replaced, therefore the DAX ESG Screened index will typically have fewer holdings than the parent DAX index.

Key facts

  • The index consists of securities from the DAX index screened for ESG criteria.
  • Screening is provided by award winning ESG data provider ISS ESG.
  • The index applies a transparent free-float market capitalization weighting scheme, similar to the parent index.
  • Diversification is achieved by incorporating a capping factor of 10% at component level, which ensures that no component can dominate the 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
DAX ESG Screened 1,368.9 1,093.6 30.4 20.8 105.1 5.8 9.6 0.5 12.9
DAX 1,665.5 1,340.5 33.5 22.0 169.8 5.8 12.7 0.4 4.5

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 ESG Screened 3.0 9.3 N/A N/A N/A N/A N/A N/A N/A N/A
DAX 2.7 9.7 17.2 17.1 52.2 N/A N/A 17.5 5.4 8.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
DAX ESG Screened N/A N/A 48.1 48.1 48.1 N/A N/A 1.7 1.7 1.7
DAX N/A N/A 11.1 17.4 21.0 N/A N/A 1.0 0.2 0.3
Index to benchmark Correlation Tracking error (%)
DAX ESG Screened 1.0 1.0 0.1 0.1 0.1 2.2 1.8 48.1 48.1 48.1
Index to benchmark Beta Annualized information ratio
DAX ESG Screened 1.0 1.0 0.4 0.2 0.1 1.9 -0.5 1.2 1.2 1.2

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of May 31, 2024

BLUE CHIP INDICES

DAX ESG Screened

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 ESG Screened 17.1 11.8 14.1 14.1 1.4 N/A 0.8 16.1
DAX 18.8 12.9 15.7 15.7 1.5 2.7 0.9 19.0

Performance and annual returns

Methodology

The DAX ESG Screened index composition is derived from its parent index, the DAX index.
STOXX will exclude companies that ISS ESG considers to be non-compliant based on UN Global Compact principles, are involved in controversial weapons, are tobacco producers or distributors and that either derive revenues from thermal coal mining, oil sands, civilian firearms, military equipment, or, have power generation capacity that utilizes nuclear power or thermal coal.
The index weighting is based on the free-float market capitalization, whereby the maximum weighting per share is capped at 10 percent. Removed companies are not replaced.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR DE000A3DDX06 DAXESGSK DAXESGSK INDEX .DAXESGSK
Net Return EUR DE000A3DDX14 DAXESGSN DAXESGSN INDEX .DAXESGSN
Total Return EUR DE000A3DDX22 DAXESGS DAXESGS INDEX .DAXESGS

Quick Facts

Weighting Free-float market cap
Cap Factor 0.1
No. of components Variable
Review frequency Quarterly
Calculation/distribution realtime, 1 sec
Calculation hours 9:00 - 18:00 CET
Base value/base date 1,000 as of Dec. 16, 2016
History tbc
Inception date Feb. 28, 2022
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

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

BLUE CHIP INDICES

DAX ESG Screened

Top 10 Components4

Company Supersector Country Weight
ALLIANZ Insurance Germany 9.610%
SIEMENS Industrial Goods and Services Germany 9.589%
SAP Technology Germany 9.220%
DEUTSCHE TELEKOM Telecommunications Germany 7.068%
MUENCHENER RUECK Insurance Germany 5.714%
MERCEDES-BENZ GROUP Automobiles and Parts Germany 4.856%
INFINEON TECHNOLOGIES Technology Germany 4.397%
BASF Chemicals Germany 3.951%
ADIDAS Consumer Products and Services Germany 3.520%
DEUTSCHE POST Industrial Goods and Services Germany 3.402%

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

4Based on the composition as of May 31, 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.