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Index Description

The EURO STOXX 50 ESG Filtered Index tracks the performance of the EURO STOXX 50 after a set of compliance, involvement and ESG screens are applied. Each exclusion is replaced by a EURO STOXX company with a higher ESG Score from the same ICB Supersector as the excluded company. 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

  • ESG-screened version of one of Europe's flagship benchmarks, the EURO STOXX 50 Index.
  • EURO STOXX 50 companies are excluded based on compliance, involvement and ESG screens that aim to reduce reputational and idiosyncratic risks.
  • The excluded companies are replaced by eligible EURO STOXX companies from within the same ICB Supersector as the excluded companies.
  • Suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives.
  • Screening provided by award-winning ESG data provider ISS.

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 50 ESG Filtered 3,909.9 2,940.7 58.8 45.4 288.8 2.2 9.8 0.1 31.6
EURO STOXX 50 4,759.1 3,696.3 73.9 56.5 288.8 18.0 7.8 0.5 6.8

Supersector weighting (top 10)

Created with Highcharts 9.3.3Chart title23.5% Technology14.7% Banks14.5% Consumer Products and Services9.4% Industrial Goods and Services8.9% Insurance8.2% Health Care4.6% Telecommunications3.9% Food, Beverage and Tobacco3% Automobiles and Parts2.5% Construction and MaterialsHighcharts.com

Country weighting

Created with Highcharts 9.3.3Chart title35.7% France27.6% Germany16.8% Netherlands8.1% Spain6.5% Italy3% Belgium2.1% Finland0.4% IrelandHighcharts.com

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
EURO STOXX 50 ESG Filtered 8.0 8.0 19.6 39.5 74.2 N/A N/A 19.8 11.9 11.9
EURO STOXX 50 8.1 8.1 17.5 39.7 68.6 N/A N/A 17.7 11.9 11.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 ESG Filtered N/A N/A 13.5 18.0 20.5 N/A N/A 1.1 0.5 0.5
EURO STOXX 50 N/A N/A 13.5 17.5 21.0 N/A N/A 0.9 0.5 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 ESG Filtered 1.0 1.0 1.0 1.0 1.0 1.6 1.6 1.9 2.6 3.0
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 ESG Filtered 1.1 1.1 1.0 1.0 1.0 -1.2 -1.2 0.9 0.0 0.2

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of January 31, 2025

THEME INDICES

EURO STOXX 50 ESG Filtered

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 50 ESG Filtered 19.4 16.8 19.1 19.1 2.5 3.6 2.5 23.4
EURO STOXX 50 17.0 15.2 16.7 16.7 2.1 3.7 1.5 20.7

Performance and annual returns

Created with Highcharts 9.3.3Chart titleEURO STOXX 50 ESG FilteredJul '17Jan '18Jul '18Jan '19Jul '19Jan '20Jul '20Jan '21Jul '21Jan '22Jul '22Jan '23Jul '23Jan '24Jul '24Jan '255075100125150175200225Highcharts.com
Created with Highcharts 9.3.3Chart titleEURO STOXX 50 ESG FilteredEURO STOXX 5020182019202020212022202320242025-50050100150200Highcharts.com

Methodology

The EURO STOXX 50 ESG Filtered Index tracks the performance of the EURO STOXX 50 after a set of compliance, involvement and ESG screens are applied. Each exclusion is replaced by a EURO STOXX company with a higher ESG Score from the same ICB Supersector as the excluded company.
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
Net Return EUR CH0462362028 SX5RESGF SX5RESGF INDEX .SX5RESGF
Price EUR CH0462362044 SX5PESGF SX5PESGF INDEX .SX5PESGF
Gross Return EUR CH0462362036 SX5WESGF .SX5WESGF
Price USD CH0462362077 SX5ZESGF .SX5ZESGF
Gross Return USD CH0462362069 SX5TESGF .SX5TESGF
Net Return USD CH0462362051 SX5NESGF .SX5NESGF

Quick Facts

Weighting free-float market capitalization
Cap Factor All components are capped at a maximum weight of 10%.
No. of components 50
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of Mar. 20, 2017
History Available from Mar. 20, 2017
Inception date June. 27, 2022
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
ASML HLDG Technology Netherlands 9.820%
SAP Technology Germany 9.324%
LVMH MOET HENNESSY Consumer Products and Services France 6.114%
SCHNEIDER ELECTRIC Industrial Goods and Services France 4.803%
ALLIANZ Insurance Germany 4.188%
SANOFI Health Care France 4.085%
DEUTSCHE TELEKOM Telecommunications Germany 3.940%
HERMES INTERNATIONAL Consumer Products and Services France 3.254%
L'OREAL Consumer Products and Services France 2.938%
ESSILORLUXOTTICA Health Care France 2.799%

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

4Based on the composition as of January 31, 2025