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FACTOR & STRATEGY INDICES

EURO STOXX ESG-X & Ex Nuclear Power Value

Index Description

The EURO STOXX ESG-X & Ex Nuclear Power Single Factor Indices are constructed on the EURO STOXX Index with standardized ESG exclusion screens applied for Global Compact Principles, Controversial Weapons, Thermal Coal, Nuclear Power and Tobacco Producers. The objective is to extract the following factor risk premia: Value (Earnings Yield and Value), Quality (Leverage and Profitability) and Medium-term Momentum, while controlling for risk and focusing on tradability. The weighting is determined by a single-factor optimization process

Key facts

  • Constructed on the EURO STOXX Index with standardized ESG exclusion screens applied for Global Compact Principles, Controversial Weapons, Thermal Coal, Nuclear Power and Tobacco Producers.
  • The screens are based on responsible policies and aim to reduce reputational and idiosyncratic risks.
  • Screening provided by award-winning ESG data provider Sustainalytics.
  • The objective is to extract the following factor risk premia: Value (Earnings Yield and Value), quality (Leverage and Profitability) and Medium-term Momentum, while controlling for risk and focusing on tradability.
  • Optimization provided by award-winning partner Axioma.
  • The weighting is determined by a single-factor optimization process.
  • Suitable as underlying for passive funds, ETFs, structured products and listed derivatives.

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 ESG-X & Ex Nuclear Power Value N/A 104.0 1.4 0.8 7.9 0.0 7.6 0.0 30.2
EURO STOXX 7,666.6 5,575.5 18.8 7.2 348.0 1.0 6.2 0.0 3.8

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
EURO STOXX ESG-X & Ex Nuclear Power Value 4.0 10.9 20.0 20.0 62.3 N/A N/A 20.2 6.3 10.3
EURO STOXX 3.1 11.6 19.8 26.8 66.7 N/A N/A 20.1 8.3 10.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX ESG-X & Ex Nuclear Power Value N/A N/A 10.6 15.7 18.8 N/A N/A 1.3 0.3 0.5
EURO STOXX N/A N/A 11.1 16.6 19.6 N/A N/A 1.2 0.4 0.5
Index to benchmark Correlation Tracking error (%)
EURO STOXX ESG-X & Ex Nuclear Power Value 1.0 0.9 1.0 1.0 1.0 2.3 3.4 3.1 3.7 3.8
Index to benchmark Beta Annualized information ratio
EURO STOXX ESG-X & Ex Nuclear Power Value 0.9 0.9 0.9 0.9 0.9 4.3 -0.5 0.0 -0.6 -0.2

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

2Based on EURIBOR1M

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

FACTOR & STRATEGY INDICES

EURO STOXX ESG-X & Ex Nuclear Power Value

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 ESG-X & Ex Nuclear Power Value 12.1 11.0 12.0 12.0 1.4 4.3 0.9 14.0
EURO STOXX 16.9 13.4 14.9 14.9 1.7 3.9 1.2 15.2

Performance and annual returns

Methodology

The EURO STOXX ESG-X & Ex Nuclear Power Single Factor Indices are constructed on the EURO STOXX Index with standardized ESG exclusion screens applied for Global Compact Principles, Controversial Weapons, Thermal Coal, Nuclear Power and Tobacco Producers. The objective is to extract the following factor risk premia: Value (Earnings Yield and Value), Quality (Leverage and Profitability) and Medium-term Momentum, while controlling for risk and focusing on tradability. The weighting is determined by a single-factor optimization process. The index is reviewed quarterly.

The EURO STOXX ESG-X & Ex Nuclear Power Single Factor optimization is performed using Axioma's Portfolio Optimization software. This portfolio construction tool includes a Second-Order Cone optimization engine as well as a Branch-and-Bound algorithm for combinatorial problems that has been specialized for financial problems. Risk predictions are made using Axioma's European, Medium-Horizon, Equity Fundamental Factor Risk Model.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0459297807 SXEXVLEP SXEXVLEP INDEX .SXEXVLEP
Gross Return EUR CH0459297773 SXEXVLEG SXEXVLEG INDEX .SXEXVLEG
Net Return EUR CH0459297765 SXEXVLEN SXEXVLEN INDEX .SXEXVLEN
Price USD CH0459297641 SXEXVLUP .SXEXVLUP
Gross Return USD CH0459297799 SXEXVLUG .SXEXVLUG
Net Return USD CH0459297716 SXEXVLUN .SXEXVLUN

Quick Facts

Weighting Optimized
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History 100 as of Mar. 19, 2012
Inception date Jan. 30, 2019
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

FACTOR & STRATEGY INDICES

EURO STOXX ESG-X & Ex Nuclear Power Value

Top 10 Components4

Company Supersector Country Weight
L'OREAL Consumer Products and Services France 7.614%
SAP Technology Germany 5.110%
STELLANTIS Automobiles and Parts Italy 4.395%
BEIERSDORF Personal Care, Drug and Grocery Stores Germany 3.993%
VEOLIA ENVIRONNEMENT Utilities France 3.707%
DEUTSCHE POST Industrial Goods and Services Germany 3.607%
DEUTSCHE TELEKOM Telecommunications Germany 3.421%
MERCK Health Care Germany 3.374%
ANHEUSER-BUSCH INBEV Food, Beverage and Tobacco Belgium 3.151%
IBERDROLA Utilities Spain 3.148%

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

4Based on the composition as of May 31, 2024