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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 ESG Target TE

Index Description

STOXX ESG Target TE Indices aim to minimize tracking error to the benchmark index while ensuring an improved ESG score. The weighting of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma�s Risk Model and Optimizer to construct the indices.

Key facts

  • STOXX ESG Target TE Indices minimize the tracking error to the benchmark index.
  • The aggregate ESG scores of the STOXX ESG Target TE Indices are substantially improved over the benchmark index.
  • Turnover is held to levels comparable to the benchmark index.

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 Target TE N/A 119.4 0.4 0.2 8.3 0.0 6.9 0.0 7.6
STOXX USA 500 53,698.7 51,733.1 103.5 41.2 3,608.4 8.0 7.0 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 Target TE 6.3 28.1 34.0 33.8 104.2 N/A N/A 34.3 10.2 15.4
STOXX USA 500 6.4 28.6 34.4 34.9 104.1 N/A N/A 34.8 10.5 15.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 ESG Target TE N/A N/A 12.7 18.1 21.7 N/A N/A 2.1 0.4 0.6
STOXX USA 500 N/A N/A 12.5 18.0 21.5 N/A N/A 2.1 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.6 0.6 0.6 0.7 0.8
Index to benchmark Beta Annualized information ratio
STOXX USA 500 ESG Target TE 1.0 1.0 1.0 1.0 1.0 -1.2 -0.6 -0.6 -0.4 0.0

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

2Based on EURIBOR1M

(USD, Net Return), all data as of November 29, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 ESG Target TE

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 Target TE 32.1 24.8 30.2 30.2 5.7 1.3 3.1 28.6
STOXX USA 500 31.7 25.7 29.4 29.4 5.8 1.3 3.3 20.8

Performance and annual returns

Methodology

The weighting of each constituent security in STOXX ESG Target TE Indices is determined by optimization to minimize the tracking error to the benchmark index. In addition, the methodology constrains the ESG to a minimum value, quarterly turnover to a maximum value, and limits the active country and industry exposures.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0583522609 SU5RETA SU5RETA INDEX .SU5RETA
Gross Return EUR CH0583522559 SU5WETA .SU5WETA
Price EUR CH0583522773 SU5PETA SU5PETA INDEX .SU5PETA
Price USD CH0583522674 SU5LETA SU5LETA INDEX .SU5LETA
Net Return USD CH0583522823 SU5VETA SU5VETA INDEX .SU5VETA
Gross Return USD CH0583522815 SU5ZETA .SU5ZETA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution realtime 15 sec
Calculation hours 15:30:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2053
Inception date Apr. 22, 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 6.912%
NVIDIA Corp. Technology USA 6.713%
Microsoft Corp. Technology USA 6.273%
Amazon.com Inc. Retail USA 3.769%
META PLATFORMS CLASS A Technology USA 2.518%
ALPHABET CLASS C Technology USA 1.913%
TESLA Automobiles and Parts USA 1.884%
JPMorgan Chase & Co. Banks USA 1.532%
BROADCOM Technology USA 1.483%
Eli Lilly & Co. Health Care USA 1.349%

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

4Based on the composition as of November 29, 2024