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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 900 ESG Target TE

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Index Description

STOXX ESG Target TE Indices aim to provide a low 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. Companies that are non-compliant based on the ISS ESG’ Norms-based research assessment or are involved in controversial weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in tobacco production and distribution, thermal coal extraction and power generation, small arms manufacturing, military contracting, unconventional oil and gas exploration and production, high ESG risk, and ESG controversies. This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines. Index Guides, Benchmark statement, and other reports are available under the Data tab.

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 900 ESG Target TE N/A 112.2 0.2 0.1 7.4 0.0 6.6 0.0 8.2
STOXX USA 900 49,908.8 47,901.8 53.1 15.8 3,126.9 3.9 6.5 0.0 2.8

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 900 ESG Target TE 3.3 10.7 30.2 34.4 102.9 N/A N/A 30.7 10.4 15.3
STOXX USA 900 3.2 10.5 30.1 33.8 98.3 N/A N/A 30.9 10.3 14.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 900 ESG Target TE N/A N/A 11.9 17.9 21.7 N/A N/A 2.0 0.5 0.6
STOXX USA 900 N/A N/A 11.9 17.9 21.7 N/A N/A 2.1 0.5 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 900 ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.5 0.5 0.7 1.0 1.2
Index to benchmark Beta Annualized information ratio
STOXX USA 900 ESG Target TE 1.0 1.0 1.0 1.0 1.0 3.3 0.9 -0.9 -0.4 0.2

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of March 29, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 900 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 900 ESG Target TE 28.4 21.6 26.2 21.4 4.7 2.1 2.5 33.3
STOXX USA 900 28.3 22.2 26.0 21.9 4.7 2.0 2.7 1.7

Performance and annual returns

Methodology

STOXX ESG Target TE Indices aim to provide a low 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. Companies that are non-compliant based on the ISS ESG’ Norms-based research assessment or are involved in controversial weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in tobacco production and distribution, thermal coal extraction and power generation, small arms manufacturing, military contracting, unconventional oil and gas exploration and production, high ESG risk, and ESG controversies.

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.
Index Guides, Benchmark statement, and other reports are available under the Data tab.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0583522427 SU9WETA .SU9WETA
Net Return EUR CH0583522666 SU9RETA SU9RETA INDEX .SU9RETA
Price EUR CH0583522617 SU9PETA SU9PETA INDEX .SU9PETA
Net Return USD CH0583522450 SU9VETA SU9VETA INDEX .SU9VETA
Gross Return USD CH0583522583 SU9ZETA .SU9ZETA
Price USD CH0583522591 SU9LETA SU9LETA INDEX .SU9LETA

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, 2029
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
Microsoft Corp. Technology USA 6.609%
Apple Inc. Technology USA 5.202%
NVIDIA Corp. Technology USA 4.775%
Amazon.com Inc. Retail USA 3.485%
META PLATFORMS CLASS A Technology USA 2.328%
ALPHABET CLASS C Technology USA 1.885%
Eli Lilly & Co. Health Care USA 1.433%
JPMorgan Chase & Co. Banks USA 1.321%
BROADCOM Technology USA 1.295%
VISA Inc. Cl A Industrial Goods and Services USA 1.065%

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

4Based on the composition as of March 29, 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.