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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 ESG Broad Market

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Index Description

The STOXX ESG Broad Market Indices track the performance of a selection of STOXX Indices after set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the Sustainalytics Global Standards Screening assessment, ESG Risk Ratings 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, Small Arms and Military Weapons. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.

Key facts

  • ESG screened versions of STOXX Benchmark Indices.
  • Indices select 80% of the securities from underlying indices.
  • Screening provided by award-winning ESG data provider Sustainalytics.
  • 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
STOXX USA 500 ESG Broad Market 43,959.0 42,419.6 106.0 39.3 3,434.8 11.0 8.1 0.0 6.3
STOXX USA 500 50,403.5 48,643.2 97.3 37.7 3,434.8 11.0 7.1 0.0 2.5

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 USA 500 ESG Broad Market -1.0 21.0 39.1 26.4 106.5 N/A N/A 39.2 8.1 15.7
STOXX USA 500 -0.8 20.8 38.3 25.5 98.8 N/A N/A 38.4 7.9 14.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 ESG Broad Market N/A N/A 13.2 18.5 21.8 N/A N/A 2.4 0.3 0.6
STOXX USA 500 N/A N/A 12.5 18.0 21.5 N/A N/A 2.5 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 ESG Broad Market 1.0 1.0 1.0 1.0 1.0 1.3 1.2 1.1 1.1 1.1
Index to benchmark Beta Annualized information ratio
STOXX USA 500 ESG Broad Market 1.1 1.1 1.1 1.0 1.0 -1.6 0.2 0.6 0.3 0.8

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 ESG Broad Market

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 USA 500 ESG Broad Market 28.8 24.3 27.3 27.3 6.0 1.3 3.2 29.3
STOXX USA 500 28.2 24.4 26.3 26.3 5.5 1.4 3.1 26.6

Performance and annual returns

Methodology

Companies that are non-compliant based on the Sustainalytics Global Standards Screening assessment,ESG Risk Ratings 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, Small Arms and Military Weapons. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index. The selection is applied across all industry groups, selecting the highest scorers and preserving the 80% selection ratio within each of the industry groups. The indices are reviewed quarterly, and components are weighted by free-float market capitalization, with a maximum capped weight of 10%. Deleted companies are not replaced.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1107032661 SU5RESGB SU5RESGB INDEX .SU5RESGB
Price EUR CH1107032653 SU5PESGB SU5PESGB INDEX .SU5PESGB
Gross Return EUR CH1107032679 SU5WESGB .SU5WESGB
Net Return USD CH1107032695 SU5VESGB SU5VESGB INDEX .SU5VESGB
Price USD CH1107032687 SU5LESGB SU5LESGB INDEX .SU5LESGB
Gross Return USD CH1107032703 SU5ZESGB .SU5ZESGB

Quick Facts

Weighting Free-float market cap
Cap Factor 0.1
No. of components 80% of the underlying universe
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 15:30:00 22:15:00
Base value/base date 100 as of March. 19, 2012
History Available from Mar. 19, 2012
Inception date April. 09, 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
Apple Inc. Technology USA 8.097%
NVIDIA Corp. Technology USA 7.699%
Microsoft Corp. Technology USA 7.120%
Amazon.com Inc. Retail USA 4.204%
META PLATFORMS CLASS A Technology USA 2.923%
ALPHABET CLASS C Technology USA 2.274%
BROADCOM Technology USA 1.863%
TESLA Automobiles and Parts USA 1.636%
JPMorgan Chase & Co. Banks USA 1.488%
UnitedHealth Group Inc. Health Care USA 1.229%

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 USA 500 ESG Broad Market

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.