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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA ESG Select KPIs

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Index Description

The STOXX USA ESG Select KPIs Indices offer a broad market exposure that tracks the performance of companies with superior environmental, social, and governance (ESG) KPIs. Companies are selected and weighted by five essential KPIs. The index includes ESG exclusion screens for Global Standards Screening, Controversial Weapons, Thermal Coal, Tobacco, Military Contracting, Small Arms, Oil Sands and ESG Controversies. KPI standardization by ICB industry and country-capping reduce unwanted systematic active exposures.

Key facts

  • Component selection and weighting based on the following KPIs: CDP emission/energy reduction target, percentage of women on the board, percentage of independent directors, strict policies against child labor, and against golden parachute agreement.
  • Companies that are involved in Coal Mining, Controversial Weapons, Product Involvement in Unconventional Oil & Gas, Thermal Coal, Small Arms, Military Contracting, Tobacco, Private Prisons, have a Controversy Rating, and those who are identified as non-compliant based on Sustainalytics Global Standards Screening assessment are excluded.
  • Tilt and capping methodology fixes the levels of active industry, country, and component exposures which in turn ensures low-tracking error compared to the respective benchmarks.
  • US and Global versions are available.

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
STOXX USA ESG Select KPIs 18,672.9 17,848.9 68.4 24.3 955.6 3.0 5.4 0.0 28.6
STOXX USA 900 49,907.6 48,036.3 53.3 15.1 3,163.8 2.3 6.6 0.0 2.5

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 ESG Select KPIs 0.8 18.2 28.2 32.1 105.9 N/A N/A 29.2 10.0 15.8
STOXX USA 900 2.0 22.8 35.0 34.1 105.8 N/A N/A 35.5 10.4 15.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA ESG Select KPIs N/A N/A 12.8 18.1 21.9 N/A N/A 1.9 0.4 0.6
STOXX USA 900 N/A N/A 13.4 18.1 21.9 N/A N/A 2.1 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA ESG Select KPIs 1.0 1.0 1.0 1.0 1.0 2.5 3.1 3.0 2.7 2.6
Index to benchmark Beta Annualized information ratio
STOXX USA ESG Select KPIs 1.0 0.9 0.9 1.0 1.0 -5.5 -1.7 -2.2 -0.5 -0.4

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA ESG Select KPIs

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 ESG Select KPIs 24.6 22.2 23.5 23.5 4.5 1.9 2.7 27.7
STOXX USA 900 28.3 24.0 25.8 25.8 5.1 1.9 2.9 25.5

Performance and annual returns

Methodology

In a first step, all companies that do not comply based on Sustainalytics Global Standards Screening assessment, are involved in Controversial Weapons, Unconventional Oil & Gas, Thermal Coal, Tobacco, Weapons, Private Prisons and Controversy Ratings, or are coal miners (ICB Subsector 60101040) are excluded from the universe (US companies in the STOXX Global 1800 Index).

Secondly, for all remaining companies, 5 KPIs are determined and standardized by industry (CDP emission/energy reduction target, percentage of women on the board, percentage of independent directors, policy against child labor, golden parachute agreement). The standardized KPIs are aggregated using a linear combination with coefficients.

Thirdly, the companies are then ranked by their aggregated ESG score and the top half will build the composition list. The companies on the composition list are grouped into quintiles by their respective aggregated ESG score and are assigned cap factors ranging from 1.5 (higher score) to 0.5 (lower score) in 0.25 increments.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0325362900 SXEIMUGR .SXEIMUGR
Net Return EUR CH0325362892 SXEIMUR .SXEIMUR
Price EUR CH0325362884 SXEIMUP .SXEIMUP
Net Return USD CH0325362926 SXEIMUV SXEIMUV INDEX .SXEIMUV
Gross Return USD CH0325362934 SXEIMUGV SXEIMUGV INDEX .SXEIMUGV
Price USD CH0325362918 SXEIMUL SXEIMUL INDEX .SXEIMUL

Quick Facts

Weighting Free-float market cap
Cap Factor 5%
No. of components Variable
Review frequency Quarterly
Calculation/distribution Dayend
Calculation hours 22:00:00 22:00:00
Base value/base date 1000 as of May 18, 2016
History Available from Sep. 17, 2010
Inception date June. 02, 2016
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
META PLATFORMS CLASS A Technology USA 5.354%
Apple Inc. Technology USA 5.028%
Amazon.com Inc. Retail USA 4.942%
Microsoft Corp. Technology USA 4.718%
JPMorgan Chase & Co. Banks USA 3.258%
Berkshire Hathaway Inc. Cl B Financial Services USA 3.052%
Exxon Mobil Corp. Energy USA 2.678%
Eli Lilly & Co. Health Care USA 2.436%
TESLA Automobiles and Parts USA 2.388%
VISA Inc. Cl A Industrial Goods and Services USA 2.082%

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

4Based on the composition as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA ESG Select KPIs

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.