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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms

Index Description

The EURO STOXX Sustainability Index ex AGTAF offers a consistent, flexible and investable representation of the largest sustainability leaders in the Eurozone, excluding companies which generate revenues from alcohol, gambling, tobacco, armaments and firearms. With a variable number of components, the EURO STOXX Sustainability Index ex AGTAF covers stocks from 11 Eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The ratings are based on the proprietary research approach of Bank Sarasin. Their analysis is based on industry-specific and other criteria that cover the three most important dimensions of sustainability: environmental, social and governance.

Key facts

  • Very suitable for asset managers, as they provide them with comprehensive and accurate benchmarks for European sustainability portfolios

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 5,509.2 4,143.2 19.5 6.8 324.5 0.3 7.8 0.0 6.6
EURO STOXX 7,542.3 5,512.5 18.6 6.8 324.5 1.6 5.9 0.0 3.7

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
EURO STOXX Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 1.5 11.4 17.8 14.9 56.8 N/A N/A 18.1 4.8 9.5
EURO STOXX 1.5 10.2 15.1 17.2 53.9 N/A N/A 15.4 5.5 9.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms N/A N/A 11.7 16.6 18.8 N/A N/A 1.1 0.2 0.4
EURO STOXX N/A N/A 11.7 16.9 19.6 N/A N/A 0.9 0.2 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 1.0 1.0 1.0 1.0 1.0 1.1 1.7 1.6 1.9 2.4
Index to benchmark Beta Annualized information ratio
EURO STOXX Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 1.0 1.0 1.0 1.0 1.0 -0.7 0.9 1.4 -0.4 0.1

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of August 30, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms

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
EURO STOXX Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 19.3 15.1 17.2 17.2 2.1 2.8 1.4 18.0
EURO STOXX 17.0 13.5 14.9 14.9 1.7 2.8 1.2 16.4

Performance and annual returns