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DIVIDEND INDICES

STOXX North America ESG-X Select Dividend 40

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Index Description

The STOXX ESG-X Select Dividend indices are derived from the STOXX ESG-X indices and select stocks which represent the highest-yielding stocks relative to their home markets in the respective benchmark index. The STOXX ESG-X Index Family applies standardized ESG exclusion screens for Global Standard Screening, Controversial Weapons, Thermal Coal and Tobacco Producers, with the aim of taking responsible investment criteria into account.

Key facts

  • Components are weighted by their indicated annual net dividend yield, i.e. the largest dividend-yielding companies have the highest weight in the index.
  • The ESG-X Select Dividend indices are derived from the respective ESG-X Benchmark indices on which ESG screens are applied, based on responsible policies, aiming to reduce reputational and idiosyncratic risks.
  • Fixed component number and cap factors guarantee index diversification.
  • Liquidity screening ensures the index is suitable as an underlying for financial products.

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 North America ESG-X Select Dividend 40 N/A 1.2 0.0 0.0 0.0 0.0 4.0 1.2 17.6
STOXX North America Select Dividend 40 N/A 1.2 0.0 0.0 0.0 0.0 4.0 1.2 20.9

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
STOXX North America ESG-X Select Dividend 40 -1.6 15.7 38.9 22.8 66.5 N/A N/A 39.4 7.1 10.9
STOXX North America Select Dividend 40 -0.6 15.7 33.2 25.0 65.8 N/A N/A 33.6 7.8 10.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX North America ESG-X Select Dividend 40 N/A N/A 13.3 15.9 24.3 N/A N/A 2.4 0.3 0.4
STOXX North America Select Dividend 40 N/A N/A 12.5 15.5 23.3 N/A N/A 2.2 0.3 0.4
Index to benchmark Correlation Tracking error (%)
STOXX North America ESG-X Select Dividend 40 0.9 1.0 1.0 1.0 1.0 3.9 2.7 2.9 2.6 2.8
Index to benchmark Beta Annualized information ratio
STOXX North America ESG-X Select Dividend 40 1.1 1.0 1.0 1.0 1.0 -3.0 0.0 1.5 -0.2 0.1

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

2Based on EURIBOR1M

(USD, Net Return), all data as of October 31, 2024

DIVIDEND INDICES

STOXX North America ESG-X Select Dividend 40

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 North America ESG-X Select Dividend 40 17.0 12.8 16.5 16.5 1.7 4.4 1.1 16.9
STOXX North America Select Dividend 40 16.1 12.8 15.6 15.6 1.8 4.3 1.2 16.1

Performance and annual returns

Methodology

The index universe is the relevant STOXX ESG-X benchmark index. Only dividend-paying companies are eligible and must have a non-negative historical five-year dividend-per-share (DPS) growth rate and a defined DPS to EPS ratio. For the selection, eligible companies are sorted by an out-performance factor to their home market and ranked accordingly. A minimum liquidity level and a buffer rule are applied. Detailed index methodology, including information on the outperformance factor and the DPS to EPS ratio can be found in our rulebook: https://www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0598747472 SD4AGRX .SD4AGRX
Price EUR CH0598747209 SD4APX .SD4APX
Net Return EUR CH0598747399 SD4ARX .SD4ARX
Price USD CH0598747282 SD4ALX .SD4ALX
Net Return USD CH0598747092 SD4AVX .SD4AVX
Gross Return USD CH0598747233 SD4AGVX .SD4AGVX

Quick Facts

Weighting By indicated net dividend yield
Cap Factor 0.15
No. of components 40
Review frequency Annually (March)
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Mar. 16, 2012
History Available from Mar. 16, 2012
Inception date Feb. 24, 2021
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
International Paper Co. Basic Resources USA 4.028%
Canadian Imperial Bank of Comm Banks Canada 3.780%
Bank of Nova Scotia Banks Canada 3.526%
Verizon Communications Inc. Telecommunications USA 3.523%
Pfizer Inc. Health Care USA 3.323%
CITIZENS FINANCIAL GROUP Banks USA 3.308%
KeyCorp Banks USA 3.293%
Manulife Financial Corp. Insurance Canada 3.227%
Regions Financial Corp. Banks USA 3.129%
Power Corp. of Canada Insurance Canada 3.017%

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

4Based on the composition as of October 31, 2024

DIVIDEND INDICES

STOXX North America ESG-X Select Dividend 40

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.