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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global ESG Social Leaders

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Index Description

The STOXX Global ESG Social Leaders index offers a representation of the leading global companies in terms of social criteria, based on ESG indicators provided by Sustainalytics. Together with the STOXX Global ESG Environmental Leaders and the STOXX Global ESG Governance Leaders indices, the index forms the STOXX Global ESG Leaders index. 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

  • 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 Social Leaders N/A 1.1 0.0 0.0 0.0 0.0 0.5 0.3 63.1
STOXX Global 1800 67,209.4 61,203.6 34.0 11.2 2,954.9 0.7 4.8 0.0 2.9

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 Social Leaders -2.5 -2.5 4.0 13.4 41.7 N/A N/A 4.0 4.3 7.3
STOXX Global 1800 1.3 1.3 17.2 26.0 73.9 N/A N/A 17.5 8.1 11.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global ESG Social Leaders N/A N/A 15.5 17.8 19.9 N/A N/A 0.0 0.2 0.3
STOXX Global 1800 N/A N/A 11.1 15.1 17.9 N/A N/A 1.2 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX Global ESG Social Leaders 0.7 0.7 0.8 0.8 0.8 10.1 10.1 9.8 11.2 11.2
Index to benchmark Beta Annualized information ratio
STOXX Global ESG Social Leaders 1.0 1.0 1.1 0.9 0.9 -4.4 -4.4 -1.2 -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 January 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global ESG Social 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 Social Leaders 19.0 12.8 13.1 12.7 1.4 3.8 1.0 15.9
STOXX Global 1800 21.8 18.4 19.8 18.0 3.1 2.5 2.0 20.2

Performance and annual returns

Methodology

The STOXX Global ESG Social Leaders index offers a representation of the leading global companies in terms of social criteria, based on ESG indicators provided by Sustainalytics. Together with the STOXX Global ESG Environmental Leaders and the STOXX Global ESG Governance Leaders indices, the index forms the STOXX Global ESG Leaders index.

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 CH0126704102 SXWESSGU SXWESSGU INDEX .SXWESSGU
Price EUR CH0126704136 SXWESGSP SXWESGSP INDEX .SXWESGSP
Gross Return EUR CH0126704177 SXWESGST SXWESGST INDEX .SXWESGST
Price GBP CH0126704219 SXWESSGX SXWESSGX INDEX .SXWESSGX
Gross Return GBP CH0126704250 SXWESSGZ SXWESSGZ INDEX .SXWESSGZ
Price USD CH0126704300 SXWESGSK SXWESGSK INDEX .SXWESGSK

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
ASML HLDG Technology Netherlands 0.453%
TELEPERFORMANCE Industrial Goods and Services France 0.444%
INTERMEDIATE CAPITAL GRP Financial Services UK 0.440%
HERA Utilities Italy 0.440%
SIEMENS ENERGY Energy Germany 0.434%
MEDIOBANCA Financial Services Italy 0.432%
SPIE Construction and Materials France 0.431%
EURAZEO Financial Services France 0.429%
MONCLER Consumer Products and Services Italy 0.426%
UNICREDIT Banks Italy 0.422%

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

4Based on the composition as of January 31, 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.