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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global 1800 ESG Broad Market

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Index Description

The STOXX ESG Broad Market Indices track the performance of a selection of STOXX indices after a set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the ISS ESG's Norms-based screening or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco Production, Small Arms, Military Contracting, ESG Controversies, coal, oil, gas and energy production, aligned with the EU Paris Aligned Benchmarks (PAB) exclusions. The remaining securities are ranked in descending order of their ISS ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.

Key facts

  • ESG screened versions of STOXX Benchmark Indices.
  • Indices select 80% of the securities from underlying indices.
  • Screening provided by ISS-ESG.
  • Transparent free-float market-cap weighting scheme.
  • Suitable as underlying for mandates, 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
STOXX Global 1800 ESG Broad Market 50,379.5 45,736.8 31.9 10.0 2,580.2 0.5 5.6 0.0 6.4
STOXX Global 1800 58,347.7 53,055.2 29.5 9.9 2,580.2 0.1 4.9 0.0 3.1

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 1800 ESG Broad Market 6.1 14.7 5.9 28.6 56.6 N/A N/A 5.9 8.8 9.5
STOXX Global 1800 5.8 13.2 4.8 26.5 52.2 N/A N/A 4.8 8.2 8.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global 1800 ESG Broad Market N/A N/A 11.8 14.1 17.6 N/A N/A 0.5 0.5 0.5
STOXX Global 1800 N/A N/A 11.7 14.0 17.6 N/A N/A 0.4 0.5 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Global 1800 ESG Broad Market 1.0 1.0 1.0 1.0 1.0 0.7 0.9 0.9 0.8 0.8
Index to benchmark Beta Annualized information ratio
STOXX Global 1800 ESG Broad Market 1.0 1.0 1.0 1.0 1.0 5.1 1.7 1.2 0.7 0.7

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

2Based on EURIBOR1M

(EUR, Price), all data as of November 30, 2023

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global 1800 ESG Broad Market

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 1800 ESG Broad Market 21.1 17.4 19.1 19.1 3.0 2.3 1.9 20.6
STOXX Global 1800 20.2 17.2 18.1 18.1 0.1 2.3 1.8 16.2

Performance and annual returns

Methodology

Companies that are non-compliant based on the ISS ESG's Norms-based screening or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco Production, Small Arms, Military Contracting, ESG Controversies, coal, oil, gas and energy production, aligned with the EU Paris Aligned Benchmarks (PAB) exclusions. The remaining securities are ranked in descending order of their ISS ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index. The selection is applied across all industry groups, selecting the highest scorers and preserving the 80% selection ratio within each of the industry groups. The indices are reviewed quarterly, and components are weighted by free-float market capitalization, with a maximum capped weight of 10%. Deleted companies are not replaced.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1107032505 SXWPESGB SXWPESGB INDEX .SXWPESGB
Net Return EUR CH1107032513 SXWRESGB SXWRESGB INDEX .SXWRESGB
Gross Return EUR CH1107032521 SXWWESGB .SXWWESGB
Price USD CH1107032539 SXWLESGB SXWLESGB INDEX .SXWLESGB
Net Return USD CH1107032547 SXWVESGB SXWVESGB INDEX .SXWVESGB
Gross Return USD CH1107032554 SXWZESGB .SXWZESGB

Quick Facts

Weighting Free-float market cap
Cap Factor 0.1
No. of components 80% of the underlying universe
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 00:00:00 22:15:00
Base value/base date 100 as of March. 19, 2012
History Available from Mar. 19, 2012
Inception date April. 09, 2021
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
Microsoft Corp. Technology USA 5.641%
Apple Inc. Technology USA 5.602%
Amazon.com Inc. Retail USA 2.730%
NVIDIA Corp. Technology USA 2.315%
ALPHABET CLASS C Technology USA 1.557%
META PLATFORMS CLASS A Technology USA 1.457%
TESLA Automobiles and Parts USA 1.329%
UnitedHealth Group Inc. Health Care USA 1.026%
Eli Lilly & Co. Health Care USA 1.005%
JPMorgan Chase & Co. Banks USA 0.909%

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

4Based on the composition as of November 30, 2023

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.