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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 SRI

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Index Description

The STOXX SRI (Socially Responsible Investing) Indices, track the performance of a selection of STOXX Indices after a set of emission intensity, compliance, involvement and ESG performance screens are applied. Companies that rank in the highest 10% in terms of their emission intensities are not eligible for selection. Companies that are non-compliant based on ISS ESG's Norms-based screening, ESG scores and ESG Controversies, or are involved in Controversial Weapons are not eligible for selection. Exclusion filters are applied, screening companies for compliance based on Tobacco, Alcohol, Adult Entertainment, Gambling, Weapons, Nuclear Power, Coal, Oil ; Gas and Energy production. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX SRI Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches a third of the number of securities in the underlying index. Index Guides, Benchmark statement, and other reports are available under the Data tab.

Key facts

  • STOXX SRI Indices target the best ESG performers within each of the ICB Industry groups
  • 10% of the highest emitters, based on ISS ESG emission intensity data, are not eligible for selection
  • Companies that are non-compliant based on the ISS ESG' Norms Based Screening or are involved in controversial weapons are not eligible for selection
  • Additional product involvement screens are applied to exclude companies that have negative environmental or social impact
  • Screening provided by ISS ESG
  • 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 SRI 19,081.9 18,507.3 111.5 47.7 1,930.0 12.4 10.4 0.1 80.3
STOXX USA 500 52,213.6 50,314.7 100.6 37.9 3,785.5 12.2 7.5 0.0 2.6

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 SRI -2.4 27.4 27.4 24.8 110.1 N/A N/A 27.5 7.7 16.1
STOXX USA 500 -2.8 25.0 25.0 26.3 92.8 N/A N/A 25.1 8.1 14.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 SRI N/A N/A 14.8 18.6 22.4 N/A N/A 1.4 0.3 0.6
STOXX USA 500 N/A N/A 12.9 17.9 21.6 N/A N/A 1.5 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 SRI 0.9 1.0 1.0 1.0 1.0 5.2 4.4 4.4 3.6 3.4
Index to benchmark Beta Annualized information ratio
STOXX USA 500 SRI 1.0 1.1 1.1 1.0 1.0 0.9 0.5 0.5 -0.1 0.5

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

2Based on EURIBOR1M

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 SRI

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 SRI 30.5 21.9 28.0 21.8 4.7 1.4 3.2 26.3
STOXX USA 500 30.8 25.0 28.5 24.5 4.9 1.2 3.2 24.4

Performance and annual returns

Methodology

The STOXX SRI (Socially Responsible Investing) Indices, track the performance of a selection of STOXX Indices after a set of emission intensity, compliance, involvement and ESG performance screens are applied.

Companies that rank in the highest 10% in terms of their emission intensities are not eligible for selection. Companies that are non-compliant based on ISS ESG's Norms-based screening, ESG scores and ESG Controversies, or are involved in Controversial Weapons are not eligible for selection. Exclusion filters are applied, screening companies for compliance based on Tobacco, Alcohol, Adult Entertainment, Gambling, Weapons, Nuclear Power, Coal, Oil ; Gas and Energy production. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX SRI Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches a third of the number of securities in the underlying index.

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

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1110575953 SU5RSRI SU5RSRI INDEX .SU5RSRI
Price EUR CH1110575854 SU5PSRI SU5PSRI INDEX .SU5PSRI
Gross Return EUR CH1110576183 SU5WSRI .SU5WSRI
Price USD CH1110576175 SU5LSRI SU5LSRI INDEX .SU5LSRI
Net Return USD CH1110575912 SU5VSRI SU5VSRI INDEX .SU5VSRI
Gross Return USD CH1110575821 SU5ZSRI .SU5ZSRI

Quick Facts

Weighting Fre-float market cap
Cap Factor 0.1
No. of components A third of the underlying universe
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. 24, 2014
History Available from Mar. 24, 2014
Inception date Apr. 21, 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 10.428%
Microsoft Corp. Technology USA 9.681%
JPMorgan Chase & Co. Banks USA 3.646%
Eli Lilly & Co. Health Care USA 3.560%
VISA Inc. Cl A Industrial Goods and Services USA 2.951%
UnitedHealth Group Inc. Health Care USA 2.515%
MasterCard Inc. Cl A Industrial Goods and Services USA 2.331%
Procter & Gamble Co. Personal Care, Drug and Grocery Stores USA 2.133%
Johnson & Johnson Health Care USA 1.881%
SALESFORCE INC. Technology USA 1.727%

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

4Based on the composition as of December 31, 2024

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.