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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX ESG Target TE

Index Description

STOXX ESG Target TE Indices aim to minimize tracking error to the benchmark index while ensuring an improved ESG score. The weighting of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma�s Risk Model and Optimizer to construct the indices.

Key facts

  • STOXX ESG Target TE Indices minimize the tracking error to the benchmark index.
  • The aggregate ESG scores of the STOXX ESG Target TE Indices are substantially improved over the benchmark index.
  • Turnover is held to levels comparable to the benchmark index.

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 Target TE N/A 100.4 0.5 0.3 5.5 0.0 5.5 0.0 9.8
EURO STOXX 7,139.0 5,120.4 17.5 6.5 274.8 1.9 5.4 0.0 4.0

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 Target TE 3.2 15.9 15.9 20.3 45.4 N/A N/A 16.1 6.4 7.9
EURO STOXX 3.2 15.7 15.7 19.3 44.3 N/A N/A 15.9 6.1 7.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX ESG Target TE N/A N/A 13.3 16.9 19.7 N/A N/A 0.8 0.3 0.4
EURO STOXX N/A N/A 13.3 17.0 19.7 N/A N/A 0.8 0.3 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.8 0.9 0.9 1.0 1.0
Index to benchmark Beta Annualized information ratio
EURO STOXX ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.1 0.2 0.2 0.3 0.1

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

2Based on EURIBOR1M

(EUR, Price), all data as of December 29, 2023

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX ESG Target TE

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 Target TE 15.2 12.3 13.1 13.1 1.7 3.9 1.1 16.3
EURO STOXX 15.6 12.4 13.1 13.1 1.7 3.8 1.1 10.2

Performance and annual returns

Methodology

The weighting of each constituent security in STOXX ESG Target TE Indices is determined by optimization to minimize the tracking error to the benchmark index. In addition, the methodology constrains the ESG to a minimum value, quarterly turnover to a maximum value, and limits the active country and industry exposures.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0583522443 SXXEETA SXXEETA INDEX .SXXEETA
Net Return EUR CH0583522526 SXXTETA SXXTETA INDEX .SXXTETA
Gross Return EUR CH0583522625 SXXGETA .SXXGETA
Price USD CH0583522518 SXXKETA SXXKETA INDEX .SXXKETA
Net Return USD CH0583522807 SXXUETA SXXUETA INDEX .SXXUETA
Gross Return USD CH0583522567 SXXETA .SXXETA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2017
Inception date Apr. 22, 2021
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX ESG Target TE

Top 10 Components4

Company Supersector Country Weight
ASML HLDG Technology Netherlands 5.524%
LVMH MOET HENNESSY Consumer Products and Services France 3.615%
SAP Technology Germany 3.307%
TOTALENERGIES Energy France 2.846%
SIEMENS Industrial Goods and Services Germany 2.615%
SCHNEIDER ELECTRIC Industrial Goods and Services France 2.584%
L'OREAL Consumer Products and Services France 2.458%
ALLIANZ Insurance Germany 2.360%
SANOFI Health Care France 2.180%
IBERDROLA Utilities Spain 1.685%

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

4Based on the composition as of December 29, 2023