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ISTOXX INDICES

iSTOXX MUTB Global ex Japan ESG Quality 200

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Index Description

The iSTOXX MUTB ESG Quality 200 Indices aim to capture the performance of high-quality ESG-compliant companies in their respective region. Companies non-compliant based on Sustanalitics Global Standards Screening Assessment or involved in Controversial Weapons are excluded. Selection is based on a combined screening and ranking of ESG scores and four fundamental indicators (profitability, leverage, cash flow generation ability and business stability). Stocks need to fulfill minimum liquidity criteria before being added to the index.

Key facts

  • Investing in high-quality ESG-compliant companies with sustainable profitability
  • ESG screening excludes companies non-compliant based on Sustanalitics Global Standards Screening Assessment or involved in Controversial Weapons
  • Diversification through broad selection and capping of component weights at 2%
  • Tradability ensured through liquidity requirements

Descriptive Statistics

Index Market Cap (JPY bn) Components (JPY bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX MUTB Global ex Japan ESG Quality 200 1,667,620.3 1,511,055.1 7,593.2 4,017.3 36,475.5 238.8 2.4 0.0 45.8
STOXX Global 1800 ex Japan 10,007,930.9 9,180,868.4 6,609.7 2,303.1 455,351.9 184.6 5.0 0.0 2.9

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
iSTOXX MUTB Global ex Japan ESG Quality 200 0.0 17.7 37.4 74.8 156.5 N/A N/A 37.2 20.4 20.7
STOXX Global 1800 ex Japan 0.1 17.0 37.0 71.4 139.9 N/A N/A 37.5 19.9 19.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Global ex Japan ESG Quality 200 N/A N/A 13.4 17.9 21.4 N/A N/A 2.3 0.9 0.8
STOXX Global 1800 ex Japan N/A N/A 13.3 18.2 21.6 N/A N/A 2.3 0.9 0.8
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Global ex Japan ESG Quality 200 0.9 1.0 1.0 1.0 1.0 4.1 3.6 3.5 4.4 4.2
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Global ex Japan ESG Quality 200 0.9 0.9 1.0 1.0 1.0 0.4 0.7 0.0 0.0 0.2

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

2Based on EURIBOR1M

(JPY, Gross Return), all data as of April 30, 2024

ISTOXX INDICES

iSTOXX MUTB Global ex Japan ESG Quality 200

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
iSTOXX MUTB Global ex Japan ESG Quality 200 21.9 18.5 21.9 18.5 4.7 3.0 2.7 20.4
STOXX Global 1800 ex Japan 23.7 18.8 21.7 18.7 3.4 2.8 2.2 6.1

Performance and annual returns

Methodology

The iSTOXX MUTB ESG Quality 200 Indices aim to capture the performance of high-quality ESG-compliant companies from their respective parent universe. First, companies non-compliant based on Sustanalitics Global Standards Screening Assessment or involved in Controversial Weapons are excluded. Companies are then selected based on a combined screening and ranking of ESG scores and four fundamental indicators (profitability, leverage, cash flow generation ability and business stability). Stocks need to fulfill minimum liquidity criteria before being added to the index.

The constituents are weighted according to free-float market capitalization with a cap at 2%. The indices are reviewed semi-annually in June and December and rebalanced quarterly.

The detailed methodology including the calculation formula can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0445340877 ISMXESGP .ISMXESGP
Net Return EUR CH0445340919 ISMXESGN .ISMXESGN
Gross Return EUR CH0445341008 ISMXESGG .ISMXESGG
Net Return JPY CH0445341024 ISMXESGT .ISMXESGT
Gross Return JPY CH0445340976 ISMXESGK ISMXESGK INDEX .ISMXESGK
Price JPY CH0445340802 ISMXESGY .ISMXESGY
Gross Return USD CH0445341032 ISMXESGU ISMXESGU INDEX .ISMXESGU
Price USD CH0445340778 ISMXESGL .ISMXESGL
Net Return USD CH0445340927 ISMXESGV .ISMXESGV

Quick Facts

Weighting based on free-float market capitalization
Cap Factor 0.02
No. of components 200
Review frequency semiannually
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Dec. 18, 2009
Inception date Nov. 28, 2018
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
ASTRAZENECA Health Care UK 2.414%
Merck & Co. Inc. Health Care USA 2.180%
NOVARTIS Health Care Switzerland 2.034%
VISA Inc. Cl A Industrial Goods and Services USA 2.019%
MasterCard Inc. Cl A Industrial Goods and Services USA 2.019%
NOVO NORDISK B Health Care Denmark 2.007%
Thermo Fisher Scientific Inc. Health Care USA 1.990%
Cisco Systems Inc. Telecommunications USA 1.988%
NVIDIA Corp. Technology USA 1.950%
Qualcomm Inc. Technology USA 1.928%

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

4Based on the composition as of April 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.