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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX North America ESG Leaders 50

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Index Description

Derived from the STOXX Global ESG Leaders index, the STOXX North America ESG Leaders 50 index covers the 50 largest stocks from Canada and the United States of America. The index is designed to serve as a highly liquid underlying for financial products. The STOXX Global ESG Leaders index provides access to the leading global companies in terms of environmental, social and governance criteria, using a bottom-up selection approach based on ESG Risk Ratings provided by Sustainalytics. The index is made of the following three ESG sub-indices: the STOXX Global ESG Environmental Leaders, the STOXX Global ESG Social Leaders and the STOXX Global ESG Governance Leaders indices. Companies that are non-compliant based on the Sustainalytics’ Global Standards Screening 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, and ESG Controversies. Index Guides, Benchmark statement, and other reports are available under the Data tab.

Key facts

  • Independent company ratings provided by Sustainalytics
  • Exclusion of companies involved in controversial weapons and companies which are non-compliant with Sustainalytics Global Standards Screening assessments.
  • ESG Controversy Rating radar: companies which are at risk of violating Sustainalytics Global Standards Screening assessment are monitored and are extraordinarily excluded in case of a violation.
  • In case an index constituent increases in its ESG Controversy Rating level to Category 5, with the Fast Exit rule applied, the respective constituent will be deleted from the index two trading days after the announcement.

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 North America ESG Leaders 50 N/A 1.2 0.0 0.0 0.0 0.0 2.7 1.5 83.6
STOXX North America 600 47,389.9 45,560.8 75.9 30.5 3,074.3 6.7 6.7 0.0 2.7

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
STOXX North America ESG Leaders 50 3.8 0.9 16.2 33.7 91.2 N/A N/A 16.5 10.2 14.0
STOXX North America 600 5.4 7.1 30.1 35.8 96.2 N/A N/A 30.5 10.8 14.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX North America ESG Leaders 50 N/A N/A 14.1 17.7 21.7 N/A N/A 0.8 0.5 0.6
STOXX North America 600 N/A N/A 12.5 17.6 21.3 N/A N/A 1.8 0.5 0.6
Index to benchmark Correlation Tracking error (%)
STOXX North America ESG Leaders 50 0.8 0.8 0.9 0.9 1.0 8.5 6.8 6.3 5.9 5.8
Index to benchmark Beta Annualized information ratio
STOXX North America ESG Leaders 50 0.7 0.8 1.0 0.9 1.0 -2.2 -5.2 -1.8 -0.1 -0.1

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

2Based on EURIBOR1M

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX North America ESG Leaders 50

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 North America ESG Leaders 50 20.9 15.6 20.0 15.6 2.3 3.0 2.0 24.4
STOXX North America 600 26.8 21.4 25.1 21.2 4.4 2.2 2.7 31.6

Performance and annual returns

Methodology

Derived from the STOXX Global ESG Leaders index, the STOXX North America ESG Leaders 50 index covers the 50 largest stocks from Canada and the United States of America. The index is designed to serve as a highly liquid underlying for financial products.

The STOXX Global ESG Leaders index provides access to the leading global companies in terms of environmental, social and governance criteria, using a bottom-up selection approach based on ESG Risk Ratings provided by Sustainalytics. The index is made of the following three ESG sub-indices: the STOXX Global ESG Environmental Leaders, the STOXX Global ESG Social Leaders and the STOXX Global ESG Governance Leaders indices.

Companies that are non-compliant based on the Sustainalytics’ Global Standards Screening 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, and ESG Controversies.



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

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return USD CH0183680799 SXA1ESGW SXA1ESGW INDEX .SXA1ESGW
Price EUR CH0183680369 SXA1ESGE SXA1ESGE INDEX .SXA1EESG
Gross Return EUR CH0183680484 SXA1ESGR SXA1ESGR INDEX .SXA1ESGR
Gross Return GBP CH0183680641 SXA1ESGX SXA1ESGX INDEX .SXA1ESGX
Price GBP CH0183680567 SXA1ESGZ SXA1ESGZ INDEX .SXA1XESG
Price USD CH0183680690 SXA1ESGK SXA1ESGK INDEX .SXA1ESG

Quick Facts

Weighting Normalized ESG scores
Cap Factor 10%
No. of components Fixed, number of components indicated in index name
Review frequency Annually (Sep.)
Calculation/distribution Price (EUR): realtime (every 15 seconds) Price (USD/GBP) and gross and net return (EUR/USD/GBP): end-of-day
Calculation hours Realtime: 9:00 am - 10:15 pm CET End-of-day: 10:15 pm CET
Base value/base date 100 as of Sep. 21, 2001
History Available daily back to Sep. 21, 2001
Inception date 24-May-12
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
INGERSOLL-RAND Industrial Goods and Services USA 2.737%
ADVANCED MICRO DEVICES Technology USA 2.620%
XYLEM Industrial Goods and Services USA 2.470%
Applied Materials Inc. Technology USA 2.465%
Qualcomm Inc. Technology USA 2.400%
Mettler-Toledo International I Industrial Goods and Services USA 2.346%
Sun Life Financial Inc. Insurance Canada 2.258%
Bank of Montreal Banks Canada 2.243%
ON SEMICON. Technology USA 2.225%
Elevance Health Health Care USA 2.218%

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

4Based on the composition as of February 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.