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THEME INDICES

EURO STOXX 50 ESG+

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Index Description

The EURO STOXX 50 ESG+ Index reflects the EURO STOXX 50 Index 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. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial EURO STOXX 50 components are excluded. Each exclusion is replaced by a EURO STOXX company with a higher ESG score from the same ICB Supersector as the excluded company. The index is free-float market capitalization weighted with cap factors imposed on the index components such that the index achieves an overall ESG score that exceeds that of the EURO STOXX 50 Index excluding its worst 22% ESG scorers.

Key facts

  • ESG screened versions of STOXX Benchmark Indices
  • Indices achieve an overall ESG score that exceeds the underlying
  • Screening provided by award-winning ESG data provider ISS
  • 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
EURO STOXX 50 ESG+ 3,781.2 2,988.2 59.8 40.4 270.4 12.5 9.0 0.4 19.2
EURO STOXX 7,765.9 5,654.8 19.0 7.0 277.9 1.2 4.9 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
EURO STOXX 50 ESG+ -2.6 3.1 8.2 12.8 31.6 N/A N/A 8.3 4.1 5.7
EURO STOXX -2.8 0.6 5.1 2.5 19.7 N/A N/A 5.1 0.8 3.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 ESG+ N/A N/A 15.8 22.2 23.6 N/A N/A 0.2 0.1 0.2
EURO STOXX N/A N/A 14.5 21.3 22.7 N/A N/A 0.1 -0.1 0.1
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 ESG+ 1.0 1.0 1.0 1.0 1.0 2.8 2.8 2.7 2.9 3.0
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 ESG+ 1.1 1.1 1.1 1.0 1.0 0.9 1.0 1.1 1.2 0.7

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

2Based on EURIBOR1M

(USD, Price), all data as of November 29, 2024

THEME INDICES

EURO STOXX 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
EURO STOXX 50 ESG+ 15.7 14.2 15.2 15.2 2.0 2.8 1.4 18.3
EURO STOXX 16.1 13.4 14.6 14.6 1.7 2.7 1.2 -9.7

Performance and annual returns

Methodology

The EURO STOXX 50 ESG+ Index reflects the EURO STOXX 50 Index 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. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial EURO STOXX 50 components are excluded. Each exclusion is replaced by a EURO STOXX company with a higher ESG score from the same ICB Supersector as the excluded company. The index is free-float market capitalization weighted with cap factors imposed on the index components such that the index achieves an overall ESG score that exceeds that of the EURO STOXX 50 Index excluding its worst 22% ESG scorers.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1169655953 S5EPESGP S5EPESGP INDEX .S5EPESGP
Gross Return EUR CH1169655946 S5EGESGP .S5EGESGP
Net Return EUR CH1169655938 S5ENESGP S5ENESGP INDEX .S5ENESGP
Net Return USD CH1169655961 S5EZESGP .S5EZESGP
Gross Return USD CH1169655979 S5ELESGP .S5ELESGP
Price USD CH1169655987 S5EVESGP .S5EVESGP

Quick Facts

Weighting Free-float market capitalization
No. of components 50
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of March. 20, 2017
History Available from March. 20, 2017
Inception date July. 21, 2022
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
ASML HLDG Technology Netherlands 9.048%
SAP Technology Germany 8.112%
SCHNEIDER ELECTRIC Industrial Goods and Services France 4.954%
SIEMENS Industrial Goods and Services Germany 4.868%
LVMH MOET HENNESSY Consumer Products and Services France 4.788%
ALLIANZ Insurance Germany 4.046%
DEUTSCHE TELEKOM Telecommunications Germany 3.833%
SANOFI Health Care France 3.744%
AIR LIQUIDE Chemicals France 2.875%
HERMES INTERNATIONAL Consumer Products and Services France 2.564%

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

4Based on the composition as of November 29, 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.