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STRATEGY INDICES

iSTOXX Global ESG Select 100

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Index Description

The iSTOXX Global ESG Select 100 Index is based on the STOXX Global ESG Leaders Index and provides access to global sustainability leaders through a quantitative selection process in the following areas: environmental, social and governance. The underlying ESG index consists of three subindices which roll into the STOXX Global ESG Leaders Index. The three subindices are: STOXX Global ESG Environment Leaders; STOXX Global ESG Social Leaders; STOXX Global ESG Governance Leaders. Using this ESG index as an underlying, stocks with the lowest volatility and the highest dividends are selected.

Key facts

  • This index combines the key advantages from three strategies; low volatility, high dividend all selected from economically sustainable companies
  • It is the first index of its kind and follows a clear and transparent methodology
  • The underlying index, the STOXX Global ESG Leaders Index, is based on independent company ratings provided by Sustainalytic's proven rating methodology based on DVFA/EFFAS ""KPIs for ESG 3.0""
  • A detailed company analysis on KPI (Key Performance Indicators) level is made public to index licensees; high level company analysis is freely available

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
iSTOXX Global ESG Select 100 3,962.6 3,538.8 35.4 17.4 350.9 2.1 9.9 0.1 35.3
STOXX Global ESG Leaders N/A 1.1 0.0 0.0 0.0 0.0 0.6 0.1 43.8

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
iSTOXX Global ESG Select 100 -3.3 14.4 29.8 27.2 30.5 N/A N/A 30.2 8.4 5.5
STOXX Global ESG Leaders -5.8 8.7 29.1 7.8 44.1 N/A N/A 29.5 2.5 7.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Global ESG Select 100 N/A N/A 10.5 12.8 16.4 N/A N/A 2.4 0.5 0.3
STOXX Global ESG Leaders N/A N/A 13.3 17.8 19.7 N/A N/A 2.1 0.1 0.4
Index to benchmark Correlation Tracking error (%)
iSTOXX Global ESG Select 100 0.9 0.9 0.9 0.9 0.9 3.9 5.5 6.1 8.4 8.0
Index to benchmark Beta Annualized information ratio
iSTOXX Global ESG Select 100 0.8 0.8 0.7 0.6 0.8 7.3 1.1 0.0 0.5 -0.4

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

2Based on EURIBOR1M

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

STRATEGY INDICES

iSTOXX Global ESG Select 100

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
iSTOXX Global ESG Select 100 14.0 12.1 13.6 13.6 1.8 6.4 1.4 18.8
STOXX Global ESG Leaders 18.8 13.2 14.0 14.0 1.4 4.6 1.0 21.4

Performance and annual returns

Methodology

The index universe is the STOXX Global ESG Leaders Index.

1. All stocks are ranked from highest to lowest in terms of gross dividend yield.

2. For all stocks, the realized volatility over the immediate past 252 trading days is calculated and stocks are ranked from lowest to highest volatility.

3. An average rank is constructed based on the dividend and volatility rankings. For example: if a stock ranks three in terms of dividend yield and five in terms of realized volatility, the average rank is four.

4. The top 100 stocks in terms of average rank will be the constituents. The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0224668506 SXESLVEG SXESLVEG INDEX .SXESLVEG
Price EUR CH0224668399 SXESLVEP SXESLVEP INDEX .SXESLVEP
Net Return EUR CH0224668449 SXESLVEN SXESLVEN INDEX .SXESLVEN
Price GBP CH0224668746 SXESLVGP .SXESLVGP
Gross Return GBP CH0224668795 SXESLVGG .SXESLVGG
Net Return GBP CH0224668779 SXESLVGN .SXESLVGN
Gross Return USD CH0224668639 SXESLVUG .SXESLVUG
Net Return USD CH0224668571 SXESLVUN .SXESLVUN
Price USD CH0224668530 SXESLVUP SXESLVUP INDEX .SXESLVUP

Quick Facts

Weighting Free-float market cap
Cap Factor 10% at component level
No. of components 100
Review frequency Annually, in Sep.
Calculation/distribution Price, net and gross return in EUR, GBP and USD
Calculation hours 09:00 - 18:00 CET for the EUR (price), End-of-day for the others
Base value/base date 100 as of Dec. 31, 2004
History Since Sep. 20, 2004
Inception date Dec. 5, 2013
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
Johnson & Johnson Health Care USA 9.914%
NOVARTIS Health Care Switzerland 6.164%
ROCHE HLDG P Health Care Switzerland 6.150%
Commonwealth Bank of Australia Banks Australia 4.421%
TOTALENERGIES Energy France 4.222%
ALLIANZ Insurance Germany 3.477%
DEUTSCHE TELEKOM Telecommunications Germany 3.056%
ZURICH INSURANCE GROUP Insurance Switzerland 2.443%
IBERDROLA Utilities Spain 2.432%
National Australia Bank Ltd. Banks Australia 2.214%

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

4Based on the composition as of October 31, 2024

STRATEGY INDICES

iSTOXX Global ESG Select 100

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.