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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global ESG Governance Leaders

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Index Description

The STOXX Global ESG Governance Leaders indices consist of one broad and three specialized indices for the areas of environmental, social and governance. The three specialized indices form the broad STOXX Global ESG Leaders Index. The indices provide access to global sustainability leaders through quantitative selection. The sustainability data in environmental, social and governance areas are provided by Sustainalytics. The indices follow a bottom-up approach and are based on companies' ESG scores.

Key facts

  • Scoring methodology looks at each company individually and makes clear differentiations between different types of companies.
  • Specialized indices - STOXX Global ESG Environmental Leaders, Social Leaders and Governance Leaders - are also available separately and may be combined in all variations.
  • Methodology allows a detailed attribution of sustainability performance for index components and non-components.

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 Global ESG Governance Leaders N/A 1.1 0.0 0.0 0.0 0.0 0.6 0.3 47.0
STOXX Global 1800 75,713.7 69,622.1 38.7 12.1 3,434.8 1.0 4.9 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 Global ESG Governance Leaders -6.0 8.1 28.3 8.3 43.0 N/A N/A 28.7 2.7 7.5
STOXX Global 1800 -2.1 16.8 34.0 21.0 78.1 N/A N/A 34.5 6.6 12.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global ESG Governance Leaders N/A N/A 13.4 17.9 20.0 N/A N/A 2.0 0.1 0.3
STOXX Global 1800 N/A N/A 10.8 15.2 18.0 N/A N/A 2.7 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX Global ESG Governance Leaders 0.7 0.7 0.7 0.7 0.8 6.4 9.9 10.4 12.2 12.3
Index to benchmark Beta Annualized information ratio
STOXX Global ESG Governance Leaders 0.7 0.7 0.8 0.9 0.9 -7.1 -1.0 -0.4 -0.3 -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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global ESG Governance Leaders

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 Global ESG Governance Leaders 19.6 13.5 14.2 14.2 1.5 4.8 1.0 20.5
STOXX Global 1800 23.5 20.8 21.8 21.8 3.5 2.6 2.3 23.3

Performance and annual returns

Methodology

The universe consists of all stocks in the STOXX Global 1800 Index. Companies that do not comply based on Sustainalytics Global Standards Screening assessment, ESG Controversies, ESG Risk Ratings, or are involved in Controversial Weapons, Tobacco, Thermal Coal, Unconventional Oil & Gas, Military Contracting, or Small Arms are excluded. Companies passing the initial selection criteria are ranked by STOXX according to a transparent evaluation system provided by Sustainalytics. The system ranges from 0 to 100 points and is applied for each category: environmental, social and governance. To be included in one of the specialized indices, e.g. the STOXX Global ESG Social Leaders Index, companies must score in the top quartile (25th percentile) in that category and get an above average score (50th percentile) in the other two (governance, environmental). Index components are weighted according to their ESG scores.
The detailed methodology including exclusion criteria and the calculation formula can be found in the ESG rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0126704144 SXWESGGP SXWESGGP INDEX .SXWESGGP
Gross Return EUR CH0126704185 SXWESGGT SXWESGGT INDEX .SXWESGGT
Gross Return GBP CH0126704268 SXWESGGZ SXWESGGZ INDEX .SXWESGGZ
Price GBP CH0126704227 SXWESGGX SXWESGGX INDEX .SXWESGGX
Price USD CH0126704078 SXWESGGK SXWESGGK INDEX .SXWESGGK
Gross Return USD CH0126704276 SXWESGGU SXWESGGU INDEX .SXWESGGU

Quick Facts

Weighting Normalized ESG scores
Cap Factor N/A
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 22:15:00
Base value/base date 100 as of March. 25, 2011
History Available from Sep. 21, 2001
Inception date April. 04, 2011
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
South32 Australia Basic Resources Australia 0.588%
SANDFIRE RESOURCES Basic Resources Australia 0.575%
ANGLO AMERICAN Basic Resources UK 0.571%
NORSK HYDRO Basic Resources Norway 0.569%
SIEMENS ENERGY Energy Germany 0.563%
ELIS Industrial Goods and Services France 0.556%
SIGNIFY Construction and Materials Netherlands 0.551%
UNIPOL GRUPPO Insurance Italy 0.546%
FORTESCUE Basic Resources Australia 0.542%
BOLIDEN Basic Resources Sweden 0.536%

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 Global ESG Governance Leaders

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.