Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

STRATEGY INDICES

STOXX Global ESG Environmental Leaders Diversification Select 30 EUR

Export PDF

Index Description

The STOXX Global ESG Environmental Leaders Diversification Select 30 EUR Index captures the performance of stocks with low correlation, low volatility and high dividends from the STOXX Global ESG Environmental Leaders Index. The component selection process first excludes all stocks with the highest 12-month average correlation with all other stocks in the benchmark, then excludes stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly. Index Guides, Benchmark statement, and other reports are available under the Data tab.

Key facts

  • The STOXX Global ESG Environmental Leaders Diversification Select 30 EUR Index captures the performance of stocks with low correlation, low volatility and high dividends from the STOXX Global ESG Environmental Leaders Index. The component selection process first excludes all stocks with the highest 12-month average correlation with all other stocks in the benchmark, then excludes stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly. Index Guides, Benchmark statement, and other reports are available under the Data tab.

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
STOXX Global ESG Environmental Leaders Diversification Select 30 EUR N/A 1.0 0.0 0.0 0.0 0.0 4.3 2.5 159.9
STOXX Global 1800 60,246.9 54,768.3 30.4 10.5 2,550.6 0.9 4.7 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
STOXX Global ESG Environmental Leaders Diversification Select 30 EUR 3.4 9.8 9.8 25.4 27.3 N/A N/A 10.0 7.9 5.0
STOXX Global 1800 3.6 19.7 19.7 36.5 91.5 N/A N/A 20.0 11.1 14.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global ESG Environmental Leaders Diversification Select 30 EUR N/A N/A 9.3 9.5 13.2 N/A N/A 0.6 0.7 0.3
STOXX Global 1800 N/A N/A 10.8 14.0 17.4 N/A N/A 1.3 0.7 0.7
Index to benchmark Correlation Tracking error (%)
STOXX Global ESG Environmental Leaders Diversification Select 30 EUR 0.1 0.4 0.4 0.4 0.7 9.9 10.8 10.8 13.3 13.3
Index to benchmark Beta Annualized information ratio
STOXX Global ESG Environmental Leaders Diversification Select 30 EUR 0.1 0.4 0.4 0.3 0.5 -0.3 -0.9 -0.9 -0.3 -0.7

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of December 29, 2023

STRATEGY INDICES

STOXX Global ESG Environmental Leaders Diversification Select 30 EUR

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 Global ESG Environmental Leaders Diversification Select 30 EUR 19.1 13.7 15.0 13.7 1.7 4.7 1.6 26.6
STOXX Global 1800 21.5 18.6 19.2 18.1 0.1 2.5 2.0 10.7

Performance and annual returns

Methodology

The STOXX Global ESG Environmental Leaders Diversification Select 30 EUR Index captures the performance of stocks with low correlation, low volatility and high dividends from the STOXX Global ESG Environmental Leaders Index.

The component selection process first excludes all stocks with the highest 12-month average correlation with all other stocks in the benchmark, then excludes stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same.

Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

Index Guides, Benchmark statement, and other reports are available under the Data tab.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0321940675 SGENVDSG .SGENVDSG
Price EUR CH0321940642 SGENVDSP SGENVDSP INDEX .SGENVDSP
Net Return EUR CH0321940667 SGENVDSR .SGENVDSR

Quick Facts

Weighting Volatility weighted
Cap Factor 10%
No. of components Fixed
Review frequency Quarterly
Calculation/distribution Price: real-time (every 15 seconds); Net and Gross Return: end-of-day
Calculation hours Please see data vendor codes sheet on www.stoxx.com/datavendorcodes
Base value/base date 100 as of Jun. 21, 2004
History Available from Jun. 21, 2004
Inception date Apr. 29, 2016

Top 10 Components4

Company Supersector Country Weight
United Overseas Bank Ltd. Banks Singapore 4.346%
BRITVIC Food, Beverage and Tobacco UK 4.295%
SWISSCOM Telecommunications Switzerland 4.177%
RECKITT BENCKISER GRP Personal Care, Drug and Grocery Stores UK 4.009%
DEUTSCHE TELEKOM Telecommunications Germany 4.002%
Redeia Corporacion Utilities Spain 3.992%
TERNA Utilities Italy 3.940%
NOVARTIS Health Care Switzerland 3.754%
IBERDROLA Utilities Spain 3.728%
GSK Health Care UK 3.558%

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

4Based on the composition as of December 29, 2023

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.