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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX PSBC China A ESG

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Index Description

The STOXX PSBC China A ESG Index selects its components from the largest 300 securities by free float market capitalization in the STOXX China A 900 Index. The index targets a portfolio with superior ESG profile compared to the broad market, while maintaining similar risk characteristics. The index uses data from the International Institute of Green Finance (IIGF) to apply exclusionary screens. Companies that are assessed by IIGF to be non-compliant with the UN Global Compact Principles, or involved in controversial weapons, tobacco or thermal coal are not eligible for selection. The final selection and weights are then determined using Axioma's portfolio optimization software to maximize the overall IIGF ESG score of the index, subject to predicted risk, tradability, and diversification constraints.

Key facts

  • Large cap securities from the STOXX China A 900 Index
  • Selection and weights are derived through an optimization process with the goal of maximizing the portfolio ESG z-score
  • Predicted risk, tradability and diversification constraints apply
  • Axioma's portfolio optimization software used
  • ESG data from the International Institute of Green Finance (IIGF)

Descriptive Statistics

Index Market Cap (CNY bn) Components (CNY bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX PSBC China A ESG N/A 947.0 7.9 2.8 59.9 1.0 6.3 0.1 48.6
STOXX China A 900 50,870.5 23,776.7 26.4 12.4 881.5 4.8 3.7 0.0 6.3

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
STOXX PSBC China A ESG -3.0 12.3 9.2 -13.8 23.3 N/A N/A 9.2 -4.8 4.3
STOXX China A 900 -1.4 13.1 9.5 -13.6 15.6 N/A N/A 9.6 -4.8 3.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX PSBC China A ESG N/A N/A 17.9 17.0 18.1 N/A N/A 0.4 -0.4 0.2
STOXX China A 900 N/A N/A 19.9 17.8 18.5 N/A N/A 0.4 -0.4 0.1
Index to benchmark Correlation Tracking error (%)
STOXX PSBC China A ESG 1.0 1.0 1.0 1.0 1.0 3.8 5.3 5.0 4.3 4.5
Index to benchmark Beta Annualized information ratio
STOXX PSBC China A ESG 1.0 0.9 0.9 0.9 0.9 -4.9 -0.8 -0.6 -0.2 0.2

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

2Based on EURIBOR1M

(CNY, Gross Return), all data as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX PSBC China A 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
STOXX PSBC China A ESG 14.9 12.8 13.8 13.8 1.3 3.6 1.1 -5.8
STOXX China A 900 16.8 13.8 15.1 15.1 1.4 3.0 1.0 44.8

Performance and annual returns

Methodology

The STOXX PSBC China A ESG index selects its components from the largest 300 securities by free float market capitalization in the STOXX China A 900 Index. Companies that are assessed by IIGF to be non-compliant with the UN Global Compact Principles, or involved in controversial weapons, tobacco or thermal coal are not eligible for selection.

The remaining securities are screened for their ESG scores, as sourced from IIGF. The portfolio construction is then performed using Axioma's portfolio optimization software using the Axioma China Medium Horizon Equity Factor Risk Model. The objective is to maximize the overall index ESG z-score of the index, subject to predicted risk, tradability and diversification constraints.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price CNY CH1159269047 SPCESGN .SPCESGN
Gross Return CNY CH1159269088 SPCESGGN SPCESGGN INDEX .SPCESGGN
Net Return CNY CH1159268999 SPCESGNN .SPCESGNN
Price EUR CH1159269062 SPCESGR .SPCESGR
Net Return EUR CH1159269013 SPCESGNR .SPCESGNR
Gross Return EUR CH1159268981 SPCESGGR .SPCESGGR
Gross Return JPY CH1159269096 SPCESGGJ .SPCESGGJ
Net Return JPY CH1159269005 SPCESGNJ .SPCESGNJ
Price JPY CH1159269054 SPCESGJ .SPCESGJ
Gross Return USD CH1159268973 SPCESGGV .SPCESGGV
Price USD CH1159269039 SPCESGV .SPCESGV
Net Return USD CH1159269070 SPCESGNV .SPCESGNV

Quick Facts

Weighting Optimization
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution realtime 15 sec
Calculation hours 00:00:00 18:00:00
Base value/base date 100 as of Dec. 19, 2016
History Available since Dec. 19, 2016
Inception date Jan. 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
TCL TECHNOLOGY GROUP 'A' Technology China 6.325%
INDSTRL & COML.BK.OF CHINA 'A' Banks China 5.719%
Moutai 'A' Food, Beverage and Tobacco China 5.458%
CHINA YANGTZE PWR. 'A' Utilities China 5.402%
NARI TECH.DEV. 'A' Industrial Goods and Services China 4.691%
COSCO SHIPPING HDG.'A' Industrial Goods and Services China 4.065%
Ind Bank 'A' Banks China 3.236%
PING AN INSUR GP CO. OF CN 'A' Insurance China 3.163%
WUXI APPTEC 'A' Health Care China 2.737%
CHINA MERCHANTS BANK 'A' Banks China 2.637%

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

4Based on the composition as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX PSBC China A ESG

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.